4 papers
Only Segmented Heavy Tails Can Produce a Light-Tailed Minimum
Sergey Foss, Michael Scheutzow, Anton Tarasenko
A random variable has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (λξ) <\infty$ for some , and has…
Rivers under Noise
Michael Scheutzow, Michael Grinfeld
We consider the deterministic and stochastic versions of a first order non-autonomous differential equation which allows us to discuss the persistence of rivers ("fleuves") under n…
Compressibility and Stochastic Stability of Monotone Markov Chain
Sergey Foss, Michael Scheutzow
For a stochastically monotone Markov chain taking values in a Polish space, we present a number of conditions for existence and for uniqueness of its stationary regime, as well as…
Harnack Inequality for Functional SDEs with Bounded Memory
A. Es-Sarhir, M-K. von Renesse, M. Scheutzow
We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality \cite{MR1481127}.…