Related papers: Extreme deviations and applications
In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to model various static physics systems such as elastic…
The theory of large deviations deals with the probabilities of rare events (or fluctuations) that are exponentially small as a function of some parameter, e.g., the number of random components of a system, the time over which a stochastic…
Extreme value theory provides rigorous theory and statistical tools for extrapolation in machine learning, particularly in settings where traditional methods struggle due to data scarcity in the tails. A broad range of tasks benefit from…
The probabilistic approach to turbulence is applied to investigate density fluctuations in supersonic turbulence. We derive kinetic equations for the probability distribution function (PDF) of the logarithm of the density field, $s$, in…
In this paper, I present a completely new type of upper and lower bounds on the right-tail probabilities of continuous random variables with unbounded support and with semi-bounded support from the left. The presented upper and lower…
We consider the quintic one dimensional nonlinear Schr\"odinger equation with forcing and both linear and nonlinear dissipation. Quintic nonlinearity results in multiple collapse events randomly distributed in space and time forming forced…
Skewness and non-Gaussian behavior are essential features of the distribution of short-scale velocity increments in isotropic turbulent flows. Yet, although the skewness has been generally linked to time-reversal symmetry breaking and…
We discuss the generation and statistics of the density fluctuations in highly compressible polytropic turbulence, based on a simple model and one-dimensional numerical simulations. Observing that density structures tend to form in a…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
We study the full distribution $P_{N}\left(A\right)$ of sums $A = \sum_{i=1}^N$ where $x_1, \dots, x_N$ are $N \gg 1$ independent and identically distributed random variables each sampled from a given distribution $p(x)$ with a…
Stretched exponential relaxation is a ubiquitous feature of homogeneous glasses. The stretched exponential decay function can be derived from the diffusion-trap model, which predicts certain critical values of the fractional stretching…
Let (Z_n)_{n\in\N_0} be a d-dimensional random walk in random scenery, i.e., Z_n=\sum_{k=0}^{n-1}Y_{S_k} with (S_k)_{k\in\N_0} a random walk in Z^d and (Y_z)_{z\in Z^d} an i.i.d. scenery, independent of the walk. We assume that the random…
We present a natural framework for studying the persistence problem in two-dimensional fluid turbulence by using the Okubo-Weiss parameter $\Lambda$ to distinguish between vortical and extensional regions. We then use a direct numerical…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
Many systems in nature and laboratories are far from equilibrium and exhibit significant fluctuations, invalidating the key assumptions of small fluctuations and short memory time in or near equilibrium. A full knowledge of Probability…
We present a perturbation theory by extending a prescription due to Feynman for computing the probability density function for the random flight motion. The method can be applied to a wide variety of otherwise difficult circumstances. The…
The rupture of a polymer chain maintained at temperature $T$ under fixed tension is prototypical to a wide array of systems failing under constant external strain and random perturbations. Past research focused on analytic and numerical…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
It is shown phenomenologically that the fractional derivative $\xi=D^\alpha u$ of order $\alpha$ of a multifractal function has a power-law tail $\propto |\xi| ^{-p_\star}$ in its cumulative probability, for a suitable range of $\alpha$'s.…