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Mladen Savov

Publications and source records attributed to Mladen Savov.

At least 19 recordsLinked to original sources
arXiv2026

Asymptotics for Beta-Splitting Trees via Homogeneous Fragmentations and Meromorphic Potential Theory

Inspired by recent work of Aldous, Janson, and Pittel on the critical beta-splitting model, we study the full beta-splitting family for beta greater than minus two through a canonical continuous-time embedding into a homogeneous exchangeable fragmentation. In this representation, the frequency of a tagged fragment is described by a subordinator. We express the continuous height of a typical leaf, its occupation probabilities, the discrete height, and the total continuous-time length in terms of the potential measure of this subordinator. Renewal theory yields first-order asymptotics and a central limit theorem for the continuous height. A regenerative-composition representation gives Gaussian limits for the discrete height above and at the critical value, and a non-Gaussian power-law limit below it. We also obtain residue expansions for the potential measure and the mean continuous height using meromorphic potential theory and generalized Nevanlinna functions. Finally, we study the maximum continuous-time height, proving a law of large numbers and a mixed Gumbel limit. At the critical parameter value, this resolves an open problem of Aldous and Janson.

math.PR↗
arXiv2026

Recent developments in exponential functionals of Lévy processes

This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued Lévy processes. Since the publication of the seminal survey by Bertoin and Yor, substantial advances have been made in understanding the structure and properties of these random variables. At the same time, numerous applications of these quantities have emerged across various different contexts of modern applied probability. Motivated by all this, in this manuscript, we provide a detailed overview of these developments, beginning with a discussion of the class of special functions that have played a central role in recent progress, and then organising the main results on exponential functionals into thematic groups. Moreover, we complement several of these results and set them within a unified framework. Throughout, we strive to offer a coherent historical account of each contribution, highlighting both the probabilistic and analytical techniques that have driven the advances in the field.

math.PR↗
arXiv2026

Some developments of exchangeable measure-valued Pólya sequences

Measure-valued Pólya sequences (MVPS) are processes whose dynamics are governed by generalized Pólya urn schemes with infinitely many colors. Assuming a general reinforcement rule, exchangeable MVPSs can be viewed as extensions of Blackwell and MacQueen's Pólya sequence, which characterizes an exchangeable sequence whose directing random measure has a Dirichlet process prior distribution. Here, we show that the prior distribution of any exchangeable MVPS is a Dirichlet process mixture with respect to a latent parameter that is associated with the atoms of an emergent conditioning $σ$-algebra. As the mixing components have disjoint supports, the directing random measure can be interpreted as a random histogram with bins randomly located on these same atoms. Furthermore, we extend the basic exchangeable MVPS to include a null component in the reinforcement, which corresponds to the presence of a fixed component in the directing random measure. Finally, we examine the effects of relaxing exchangeability to conditional identity in distribution (c.i.d.) and find out that the two are equivalent for balanced MVPSs. The paper features a complementary study of some properties of probability kernels that underlies the analysis of exchangeable and c.i.d. MVPSs.

math.PR↗
arXiv2025

Bivariate Bernstein-gamma functions, potential measures, and asymptotics of exponential functionals of Lévy processes

Let $ξ$ be a Lévy process and $I_ξ(t):=\int_{0}^te^{-ξ_s}\mathrm{d} s$, $t\geq 0,$ be the exponential functional of Lévy processes on deterministic horizon. Given that $\lim_{t\to \infty}ξ_t=-\infty$ we evaluate for general functions $F$ an upper bound on the rate of decay of $\mathbb{E}\left(F(I_ξ(t))\right)$ based on an explicit integral criterion. When $\mathbb{E}\left(ξ_1\right)\in\left(-\infty,0\right)$ and $\mathbb{P}\left(ξ_1>t\right)$ is regularly varying of index $α>1$ at infinity, we show that the law of $I_ξ(t)$, suitably normed and rescaled, converges weakly to a probability measure stemming from a new generalisation of the product factorisation of classical exponential functionals. These results substantially improve upon the existing literature and are obtained via a novel combination between Mellin inversion of the Laplace transform of $\mathbb{E}\left(I^{-a}_ξ(t)\mathbf{1}_{\left\{I_ξ(t)\leq x\right\}}\right)$, $a\in (0,1)$, $x\in(0,\infty],$ and Tauberian theory augmented for integer-valued $α$ by a suitable application of the one-large jump principle in the context of the de Haan theory. The methodology rests upon the representation of the aforementioned Mellin transform in terms of the recently introduced bivariate Bernstein-gamma functions for which we develop the following new results of independent interest (for general $ξ$): we link these functions to the $q$-potentials of $ξ$; we show that their derivatives at zero are finite upon the finiteness of the aforementioned integral criterion; we offer neat estimates of those derivatives along complex lines. These results are useful in various applications of the exponential functionals themselves and in different contexts where properties of bivariate Bernstein-gamma functions are needed. $ξ$ need not be non-lattice.

math.PR↗
arXiv2025

On the probability of n equidistant points in high-dimensional lattices

Consider $n$ $d$-dimensional vectors with iid entries from a lattice distribution $X$. We show that the probability that all distances between them are equal is asymptotically \[ C_n\cdot\frac{1}{d^{(m-1)/2}} \quad \text{for} \quad d \to \infty \quad \text{and} \quad m = \binom{n}{2}, \] with an explicit constant in terms of the first 4 moments of $X$. Moreover, we generalise this result to encompass all finitely supported $X$, as well as under different distances. Our method relies on the relatively rarely used multidimensional local limit theorem and an analysis of the lattice on $\mathbb{Z}^{\binom{n}{2}}$ spanned by the image of the \emph{overlapping} map \[ H : \{0,1\}^n \to \{0,1\}^{\binom{n}{2}}, \quad (v_1, \dots, v_n) \mapsto \Bigl( \mathbf{1}_{\{v_i \neq v_j\}} \Bigr)_{1 \le i < j \le n}. \]

math.PR↗
arXiv2024

Sufficientness postulates for measure-valued Pólya urn sequences

In a recent paper, the authors studied the distribution properties of a class of exchangeable processes, called measure-valued Pólya sequences (MVPS), which arise as the observation process in a generalized urn sampling scheme. Here we present several results in the form of "sufficientness" postulates that characterize their predictive distributions. In particular, we show that exchangeable MVPSs are the unique exchangeable models whose predictive distributions are a mixture of the marginal distribution and the average of a probability kernel evaluated at past observation. When the latter coincides with the empirical measure, we recover a well-known result for the exchangeable model with a Dirichlet process prior. In addition, we provide a "pure" sufficientness postulate for exchangeable MVPSs that does not assume a particular analytic form for the predictive distributions. Two other sufficientness postulates consider the case when the state space is finite.

math.PR↗
arXiv2024

Characterization of exchangeable measure-valued Pólya urn sequences

Measure-valued Pólya urn sequences (MVPS) are a generalization of the observation processes generated by $k$-color Pólya urn models, where the space of colors $\mathbb{X}$ is a complete separable metric space and the urn composition is a finite measure on $\mathbb{X}$, in which case reinforcement reduces to a summation of measures. In this paper, we prove a representation theorem for the reinforcement measures $R$ of all exchangeable MVPSs, which leads to a characterization result for their directing random measures $\tilde{P}$. In particular, when $\mathbb{X}$ is countable or $R$ is dominated by the initial distribution $ν$, then any exchangeable MVPS is a Dirichlet process mixture model over a family of probability distributions with disjoint supports. Furthermore, for all exchangeable MVPSs, the predictive distributions converge on a set of probability one in total variation to $\tilde{P}$. Importantly, we do not restrict our analysis to balanced MVPSs, in the terminology of $k$-color urns, but rather show that the only non-balanced exchangeable MVPSs are sequences of i.i.d. random variables.

math.PR↗
arXiv2024

Properties and conjectures regarding discrete renewal sequences

In this work we review and derive some elementary properties of the discrete renewal sequences based on a positive, finite and integer-valued random variable. Our results consider these sequences as dependent on the probability masses of the underlying random variable. In particular we study the minima and the maxima of these sequences and prove that they are attained for indices of the sequences smaller or equal than the support of the underlying random variable. Noting that the minimum itself is a minimum of multi-variate polynomials we conjecture that one universal polynomial envelopes the minimum from below and that it is maximal in some sense and largest in another. We prove this conjecture in a special case.

math.PR↗
arXiv2024

Regularity and asymptotics of densities of inverse subordinators

In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the literature, using a useful modification of the saddle point method, we obtain the large asymptotic behaviour of these densities (and their derivatives) for a specific region of space and time and quantify how the ratio between time and space affects the explicit speed of convergence. The asymptotics is governed by an exponential term depending on the Laplace exponent of the subordinator and the region represents the behaviour of the subordinator when it is atypically small (the inverse one is larger than usual). As a result a route to the derivation of novel general or particular fine estimates for densities with explicit constants in the speed of convergence in the region of the lower envelope/the law of iterated logarithm is available. Furthermore, under mild conditions, we provide a power series representation for densities (and their derivatives) of subordinators and inverse subordinators. This representation is explicit and based on the derivatives of the convolution of the tails of the corresponding Lévy measure, whose smoothness is also investigated. In this context the methods adopted are based on Laplace inversion and strongly rely on the theory of Bernstein functions extended to the cut complex plane. As a result, smoothness properties of densities (and their derivatives) and their behaviour near zero immediately follow.

math.PR↗
arXiv2023

Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions

In this work, we consider moments of exponential functionals of Lévy processes on a deterministic horizon. We derive two convolutional identities regarding these moments. The first one relates the complex moments of the exponential functional of a general Lévy process up to a deterministic time to those of the dual Lévy process. The second convolutional identity links the complex moments of the exponential functional of a Lévy process, which is not a compound Poisson process, to those of the exponential functionals of its ascending/descending ladder heights on a random horizon determined by the respective local times. As a consequence, we derive a universal expression for the half-negative moment of the exponential functional of any symmetric Lévy process, which resembles in its universality the passage time of symmetric random walks. The $(n-1/2)^{th}$, $n\geq 0$ moments are also discussed. On the other hand, under extremely mild conditions, we obtain a series expansion for the complex moments (including those with negative real part) of the exponential functionals of subordinators. This significantly extends previous results and offers neat expressions for the negative real moments. In a special case, it turns out that the Riemann zeta function is the minus first moment of the exponential functional of the Gamma subordinator indexed in time.

math.PR↗
arXiv2023

Conditions for existence and uniqueness of the inverse first-passage time problem applicable for Lévy processes and diffusions

For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $ξ>0$. For Markov processes we give additional conditions under which the solutions are unique and solutions corresponding to ordered initial states fulfill a comparison principle. As examples we show that these conditions include Lévy processes with infinite activity or unbounded variation and diffusions on an interval with appropriate behavior at the boundaries. Our methods are based on the techniques used in the case of Brownian motion and rely on discrete approximations of solutions via $Γ$-convergence from [3] (Anulova 1980) and [12] (Chen et. al. 2011) combined with stochastic ordering arguments adapted from [34] (Klump and Kolb 2023).

math.PR↗
arXiv2023

Mixed Poisson process with Stacy mixing variable -- Working version

Stacy distribution defined for the first time in 1961 provides a flexible framework for modelling of a wide range of real-life behaviours. It appears under different names in the scientific literature and contains many useful particular cases. Homogeneous Poisson processes are appropriate apriori models for the number of renewals up to a given time $t>0$. This paper mixes them and considers a Mixed Poisson process with Stacy mixing variable. We call it a Poisson-Stacy process. The resulting counting process is one of the Generalised Negative Binomial processes, and the distribution of its time-intersections are very-well investigated in the scientific literature. Here we define and investigate their joint probability distributions. Then, the corresponding mixed renewal process is investigated and Exp-Stacy and Erlang-Stacy distributions are defined and partially studied. The paper finishes with a simulation study of these stochastic processes. Some plots of the probability density functions, probability mass functions, mean square regressions and sample paths are drawn together with the corresponding code for the simulations.

math.PR↗
arXiv2023

Asymptotics for densities of exponential functionals of subordinators

In this paper we derive non-classical Tauberian asymptotic at infinity for the tail, the density and the derivatives thereof of a large class of exponential functionals of subordinators. More precisely, we consider the case when the Lévy measure of the subordinator satisfies the well-known and mild condition of positive increase. This is achieved via a convoluted application of the saddle point method to the Mellin transform of these exponential functionals which is given in terms of Bernstein-gamma functions. To apply the saddle point method we improved the Stirling type of asymptotic for Bernstein-gamma functions and the latter is of interest beyond this paper as the Bernstein-gamma functions are applicable in different settings especially through their asymptotic behaviour in the complex plane. As an application we have derived the asymptotic of the density and its derivatives for all exponential functionals of non-decreasing, potentially compound Poisson processes which turns out to be precisely as that of an exponentially distributed random variable. We show further that a large class of densities are even analytic in a cone of the complex plane.

math.PR↗
arXiv2019

On the maximal multiplicity of block sizes in a random set partition

We study the asymptotic behavior of the maximal multiplicity $M_n=M_n(σ)$ of the blocks in a set partition of $[n]=\{1,2,...,n\}$, assuming that $σ$ is chosen uniformly at random from the set of all such partitions. Let $W=W(n)$ be the unique positive root of the equation $We^W=n$ and let $f_n$ be the fractional part of $W(n)$. Furthermore, let $R_n=W^{\lfloor W\rfloor}/\lfloor W\rfloor !$ and let $\vartheta_n=\min{\{f_n,1-f_n\}}$. We show that, over a subsequence $\{n_k\}_{k\ge 1}$, $(M_{n_k}-R_{n_k})/\sqrt{R_{n_k}}$ converges weakly, as $k\to\infty$, to $\max{\{Z_1,Z_2-u\}}$, where $Z_1$ and $Z_2$ are two independent copies of a standard normal random variable and either $u=\left(\frac{1}{2π}\right)^{1/4}\lim_{k\to\infty}\vartheta_{n_k}\frac{\sqrt{n_k}}{\log^{7/4}{n_k}}\in [0,\infty)$ or $u=\infty$. The proof uses the saddle point method. A comparison with the similar statistic for random integer partitions of $n$ is also given.

math.CO↗
arXiv2019

A Characterization of the Finiteness of Perpetual Integrals of Levy Processes

We derive a criterium for the almost sure finiteness of perpetual integrals of \LL processes for a class of real functions including all continuous functions and for general one-dimensional Lévy processes that drifts to plus infinity. This generalizes previous work of Döring and Kyprianou, who considered Lévy processes having a local time, leaving the general case as an open problem. It turns out, that the criterium in the general situation simplifies significantly in the situation, where the process has a local time, but we also demonstrate that in general our criterium can not be reduced. This answers an open problem posed in \cite{doring}.

math.PR↗
arXiv2019

Bivariate Bernstein-gamma functions and moments of exponential functionals of subordinators

In this paper, we extend recent work on the functions that we call Bernstein-gamma to the class of bivariate Bernstein-gamma functions. In the more general bivariate setting, we determine Stirling-type asymptotic bounds which generalise, improve upon and streamline those found for the univariate Bernstein-gamma functions. Then, we demonstrate the importance and power of these results through an application to exponential functionals of Lévy processes. In more detail, for a subordinator (a non-decreasing Lévy process) $(X_s)_{s\geq 0}$, we study its \textit{exponential functional}, $\int_0^t e^{-X_s}ds $, evaluated at a finite, deterministic time $t>0$. Our main result here is an explicit infinite convolution formula for the Mellin transform (complex moments) of the exponential functional up to time $t$ which under very minor restrictions is shown to be equivalent to an infinite series. We believe this work can be regarded as a stepping stone towards a more in-depth study of general exponential functionals of Lévy processes on a finite time horizon.

math.PR↗
arXiv2019

On Doney's striking factorization of the arc-sine law

R. Doney identifies a striking factorization of the arc-sine law in terms of the suprema of two independent stable processes of the same index by an elegant random walks approximation. In this paper, we provide an alternative proof and a generalization of this factorization based on the theory recently developed for the exponential functional of Lévy processes. As a by-product, we provide some interesting distributional properties for these variables and also some new examples of the factorization of the arc-sine law.

math.PR↗