Related papers: Tail of a linear diffusion with Markov switching
Consider a sequence of i.i.d. random Lipschitz functions $\{\Psi_n\}_{n \geq 0}$. Using this sequence we can define a Markov chain via the recursive formula $R_{n+1} = \Psi_{n+1}(R_n)$. It is a well known fact that under some mild moment…
Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler representations in terms of densities rather than cumulative…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
This paper provides a new path method that can be used to determine when an ergodic continuous-time Markov chain on $\mathbb Z^d$ converges exponentially fast to its stationary distribution in $L^2$. Specifically, we provide general…
We consider a two-node fluid network with batch arrivals of random size having a heavy-tailed distribution. We are interested in the tail asymptotics for the stationary distribution of a two-dimensional queue-length process. The tail…
We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…
In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the…
Diffusion models have emerged as powerful generative frameworks with widespread applications across machine learning and artificial intelligence systems. While current research has predominantly focused on linear diffusions, these…
We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not…
We investigate the relaxation of long-tailed distributions under stochastic dynamics that do not support such tails. Linear relaxation is found to be a borderline case in which long tails are exponentially suppressed in time but not…
This chapter shows how toroidal diffusions are convenient methodological tools for modelling protein evolution in a probabilistic framework. The chapter addresses the construction of ergodic diffusions with stationary distributions equal to…
Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…
A model of homogeneously driven dissipative system, consisting of a collection of $N$ particles that are characterized by only their velocities, is considered. Adopting a discrete time dynamics, at each time step, a pair of velocities is…
This paper presents precise large deviation estimates for solutions to stochastic fixed point equations of the type V =_d f(V), where f(v) = Av + g(v) for a random function g(v) = o(v) a.s. as v tends to infinity. Specifically, we provide…
We compute the stationary in-degree probability, $P_{in}(k)$, for a growing network model with directed edges and arbitrary out-degree probability. In particular, under preferential linking, we find that if the nodes have a light tail…
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate conjectures for diffusions with inert drift.
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
For a stochastic difference equation $D_n=A_nD_{n-1}+B_n$ which stabilises upon time we study tail distribution asymptotics of $D_n$ under the assumption that the distribution of $\log(1+|A_1|+|B_1|)$ is heavy-tailed, that is, all its…