arXiv subjects

Mine Çağlar

Publications and source records attributed to Mine Çağlar.

5 recordsLinked to original sources

arXiv2026

A Self-Exciting Model of Eddy Formation at Submesoscale

Ocean eddies are highly dynamic structures marked by frequent splitting and merging events. They exhibit complex spatio-temporal clustering that traditional Poisson models fail to capture. In this paper, a novel spatio-temporal Hawkes process is introduced to model self-exciting eddy fields on the basis of high-frequency ocean flow data. We formulate a triggering kernel that couples the self-excitation intensity with spatial deformation caused by the strain rate magnitude. To characterize the asymptotic behavior of the eddy field, we derive a Volterra integral equation that governs the expected eddy intensity over time and space. We develop an Expectation-Maximization (EM) algorithm that treats the unobserved parent-child relationships as latent branching structures for parameter estimation. We further extend this framework to accommodate a time-varying, non-homogeneous background intensity, modifying both the EM updates and the analytical Volterra solution accordingly. Finally, we propose a two-stage simulation framework utilizing a cluster representation algorithm. The simulated empirical paths of eddy formation are compared together with numerical solution of the Volterra equation for mean rate as validation of the Hawkes model.

stat.ME↗

arXiv2026

Conditional Path Decomposition at the Infimum and Maximum Drawdowns for Spectrally Negative Lévy Processes

We study maximum-drawdown laws conditioned on extremes for a spectrally negative Lévy process and observed up to an independent exponential time. The main contribution is a set of scale-function characterizations of the pre-infimum path arising from two decompositions of the process. The first is the decomposition at the infimum into pre-infimum and post-infimum components. The second, under the ordering in which the infimum is attained before the supremum, decomposes the path into pre-infimum, intermediate, and post-supremum components. We also identify the distribution of the supremum for the pre-infimum process in the first decomposition. The resulting conditional laws are expressed as Doob $h$-transforms of killed spectrally negative Lévy processes and they yield explicit formulas for the maximum drawdown on each independent path component. The results confirm the classical decompositions for Brownian motion.

math.PR↗

arXiv2025

Chaotic and Predictable Representations for Markov Additive Processes with Levy Modulator

Our main result is the martingale representations for Markov additive processes where the modulator is a Levy process. These processes have three parts: the modulator, the jumps of the ordinate triggered by the modulator, and the semimartingale part of the ordinate with parameters depending on the modulator. We orthogonalize Teugels martingales constructed from these parts to give a chaotic representation of square-integrable random variables as a sum of stochastic integrals with respect to the orthogonal sequence obtained. Consequently, a predictable representation of square-integrable martingales is derived in terms of the ordinate and the Teugels martingales.

math.PR↗

arXiv2024

Long Time Behavior of General Markov Additive Processes

We study general Markov additive processes when the state space of the modulator is a Polish space. Under some regularity assumptions, our main result is the characterization of the long-time behavior of the ordinate in terms of the associated ladder time process and the excursion measure. An important application of Markov additive processes is the Lamperti-Kiu transform, which gives a correspondence between $\mathbb{R}^d\backslash \{0\}$-valued self-similar Markov processes and $S^{d-1}\times \mathbb{R}$-valued Markov additive processes. The asymptotic behavior of the radial distance from the origin of a self-similar Markov process can be characterized by the long-time behavior of the ordinate of the corresponding Markov additive process. We show the applicability of our assumptions on some well-known self-similar Markov processes.

math.PR↗

arXiv2018

Conditional speed of branching Brownian motion, skeleton decomposition and application to random obstacles

We study a branching Brownian motion $Z$ in $\mathbb{R}^d$, among obstacles scattered according to a Poisson random measure with a radially decaying intensity. Obstacles are balls with constant radius and each one works as a trap for the whole motion when hit by a particle. Considering a general offspring distribution, we derive the decay rate of the annealed probability that none of the particles of $Z$ hits a trap, asymptotically in time $t$. This proves to be a rich problem motivating the proof of a more general result about the speed of branching Brownian motion conditioned on non-extinction. We provide an appropriate "skeleton" decomposition for the underlying Galton-Watson process when supercritical and show that the "doomed" particles do not contribute to the asymptotic decay rate.

math.PR↗