概率论
We study failure rate monotonicity and generalized convex transform stochastic ordering properties of random variables, with a concern on applications. We are especially interested in the effect of a tail weight iteration procedure to…
Random intersection graphs model networks with communities, assuming an underlying bipartite structure of groups and individuals, where these groups may overlap. Group memberships are generated through the bipartite configuration model.…
We consider subgraph counts in general preferential attachment models with power-law degree exponent $\tau>2$. For all subgraphs $H$, we find the scaling of the expected number of subgraphs as a power of the number of vertices. We prove our…
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…
We study an urn process with two urns, initialized with a ball each. Balls are added sequentially, the urn being chosen independently with probability proportional to the $\alpha^{th}$ power $(\alpha >1)$ of the existing number of balls. We…
We consider SDEs of the form $dX_t = |f(X_t)|/t^{\gamma} dt+1/t^{\gamma} dB_t$, where $f(x)$ behaves comparably to $|x|^k$ in a neighborhood of the origin, for $k\in [1,\infty)$. We show that there exists a threshold value…
The effect of small noise in a smooth dynamical system is negligible on any finite time interval. Here we study situations when it persists on intervals increasing to infinity. Such asymptotic regime occurs when the system starts from…
This paper investigates Hawkes processes on the positive real line exhibiting both self-excitation and inhibition. Each point of this point process impacts its future intensity by the addition of a signed reproduction function. The case of…
This paper gives a new flavor of what Peter Jagers and his co-authors call `the path to extinction'. In a neutral population with constant size $N$, we assume that each individual at time $0$ carries a distinct type, or allele. We consider…
The non-stationary Erlang-A queue is a fundamental queueing model that is used to describe the dynamic behavior of large scale multi-server service systems that may experience customer abandonments, such as call centers, hospitals, and…
In the paper we consider the asymptotics of logarithmic tails of a perpetuity $$R \stackrel{d}{=}\sum_{j=1}^\infty Q_j \prod_{k=1}^{j-1}M_k,\qquad(M_n,Q_n)_{n=1}^\infty \mbox{ are i.i.d. copies of }(M,Q),$$ in the case when…
We study a model for the destruction of a random network by fire. Suppose that we are given a multigraph of minimum degree at least 2 having real-valued edge-lengths. We pick a uniform point from along the length and set it alight; the…
We consider discrete time Markov chains with Polish state space. The large deviations principle for empirical measures of a Markov chain can equivalently be stated in Laplace principle form, which builds on the convex dual pair of relative…
This paper analyzes the first order behavior (that is, the right sided derivative) of the volume of the dilation $A\oplus tQ$ as $t$ converges to zero. Here $A$ and $Q$ are subsets of $n$-dimensional Euclidean space, $A$ has finite…
Let $(M_t: t > 0)$ be a Markov process of tessellations of ${\mathbb R}^\ell$ and $({\cal C}_t:\, t > 0)$ the process of their zero cells (zero polytopes) which has the same distribution as the corresponding process for Poisson hyperplane…
We consider a model for complex networks that was recently proposed as a model for complex networks by Krioukov et al. In this model, nodes are chosen randomly inside a disk in the hyperbolic plane and two nodes are connected if they are at…
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of…
We study a variant of Gilbert's disc model, in which discs are positioned at the points of a Poisson process in $\mathbb{R}^2$ with radii determined by an underlying stationary and ergodic random field $\varphi:\mathbb{R}^2\to[0,\infty)$,…
A common tool in the practice of Markov Chain Monte Carlo is to use approximating transition kernels to speed up computation when the desired kernel is slow to evaluate or intractable. A limited set of quantitative tools exist to assess the…
We consider the so-called frog model with random initial configurations. The dynamics of this model is described as follows: Some particles are randomly assigned on any site of the multidimensional cubic lattice. Initially, only particles…