Related papers: Weak and almost sure limits for the parabolic Ande…
Heavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases…
Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60's, going back to Nagaev's seminal work. Many extensions in the…
We investigate the use of optimization to compute bounds for extremal performance measures. This approach takes a non-parametric viewpoint that aims to alleviate the issue of model misspecification possibly encountered by conventional…
This paper is concerned with supersolutions to parabolic equations of the form \begin{equation} \partial_t U (x,t)-D(x)\Delta U(x,t)=0, \quad (x,t)\in \mathbb{R}^N \times (0,\infty), \end{equation} where $D\in C(\mathbb{R}^N)$ is positive.…
If $p>1+2/n$ then the equation $u_t-\Delta u = u^p, \quad x\in{\mathbb R}^n,\ t>0,$ possesses both positive global solutions and positive solutions which blow up in finite time. We study the large time behavior of radial positive solutions…
In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…
Let $\{X_1, X_2, ... \}$ be a sequence of dependent heavy-tailed random variables with distributions $F_1, F_2,...$ on $(-\infty,\infty)$, and let $\tau$ be a nonnegative integer-valued random variable independent of the sequence $\{X_k, k…
We review some applications of central limit theorems and extreme values statistics in the context of disordered systems. We discuss several problems, in particular concerning Random Matrix Theory and the generalisation of the Tracy-Widom…
We study deterministic power-law quantum hopping model with an amplitude $J(r) \propto - r^{-\beta}$ and local Gaussian disorder in low dimensions $d=1,2$ under the condition $d < \beta < 3d/2$. We demonstrate unusual combination of…
We study the long time behaviour of solutions of semi-linear parabolic equation of the following type $\partial_t u-\Delta u+a_0(x)u^q=0$ where $a_0(x) \geq d_0 \exp(\frac{\omega(|x|)}{|x|^2})$, $d_0>0$, $1>q>0$ and $\omega$ a positive…
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by using limit theorems for some well chosen geometric sums. We…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
In this manuscript we consider a non-local porous medium equation with non-local diffusion effects given by a fractional heat operator \begin{equation*} \partial_t u = \mbox{div}(u\nabla p),\qquad \partial_t p = -(-\Delta)^s p + u^2,…
We study the stochastic growth process in discrete time $x_{i+1} = (1 + \mu_i) x_i$ with growth rate $\mu_i = \rho e^{Z_i - \frac12 var(Z_i)}$ proportional to the exponential of an Ornstein-Uhlenbeck (O-U) process $dZ_t = - \gamma Z_t dt +…
Weibull distribution is widely used in modelling health data. However, its lack of sufficient tail flexibility often results in poor fit in extreme events. We proposed another three-parameter extension of the Weibull distribution with…
This paper deals with a parabolic partial differential equation that includes a non-linear nonlocal in time term. This term is the product of a so-called interaction potential and the solution of the problem. The interaction potential…
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter…
In this paper non-asymptotic exponential estimates are derived for the tail distribution of polynomial martingale differences in terms unconditional tails distributions of summands. Applications are considered in the theory of polynomials…
This paper studies the tail probability of weighted sums of the form $\sum_{i=1}^n c_i X_i$, where random variables $X_i$'s are either independent or pairwise quasi-asymptotical independent with heavy tails. Using $h$-insensitive function,…
We study the parabolic Anderson model (PAM) \begin{equation} {\partial \over \partial t}u(t,x) =\frac{1}{2}\Delta u(t,x) + u(t,x)\xi(x), \quad t>0, x\in \mathbb{R}^d, \quad \text{and} \quad u(0,x) \equiv 1, \quad \forall x\in \mathbb{R}^d,…