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The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries' positioning in global value chains. We…
Convection-diffusion equations provide the basis for describing heat and mass transfer phenomena as well as processes of continuum mechanics. To handle flows in porous media, the fundamental issue is to model correctly the convective…
Arrival processes to service systems often display fluctuations that are larger than anticipated under the Poisson assumption, a phenomenon that is referred to as overdispersion. Motivated by this, we analyze a class of discrete stochastic…
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
In many inverse problems, model parameters cannot be precisely determined from observational data. Bayesian inference provides a mechanism for capturing the resulting parameter uncertainty, but typically at a high computational cost. This…
We propose a new technique for a-posteriori diffusion analysis of numerical schemes. The scalar linear advection equation with a broadband signal as initial conditions is numerically solved to simulate a traveling linear wave. A diffusion…
Conditions on the generator of a Markov process to control the fluctuations of its bridges are found. In particular, continuous time random walks on graphs and gradient diffusions are considered. Under these conditions, a concentration of…
Due to network operation and maintenance relying heavily on network traffic monitoring, traffic matrix analysis has been one of the most crucial issues for network management related tasks. However, it is challenging to reliably obtain the…
We define a new mass transport model on a one-dimensional lattice of size $N$ with continuous masses at each site. The lattice is connected to mass reservoirs of different `chemical potentials' at the two ends. The mass transfer dynamics in…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
Given a possibly discontinuous, bounded function $f:\mathbb{R}\mapsto\mathbb{R}$, we consider the set of generalized flows, obtained by assigning a probability measure on the set of Carath\'eodory solutions to the ODE ~$\dot x = f(x)$. The…
Probabilistic interpretation of transition from the dispersive transport regime to the quasi-Gaussian one in disordered semiconductors is given in terms of truncated Levy distributions. Corresponding transport equations with fractional…
We present a data augmentation scheme to perform Markov chain Monte Carlo inference for models where data generation involves a rejection sampling algorithm. Our idea, which seems to be missing in the literature, is a simple scheme to…
Consider a network embedded in the 2D plane, where a particle diffuses along the edges of the network. It is clear that over short length scales a particle moves along a single edge and thus undergoes one-dimensional diffusion. However, on…
L\'{e}vy flight models whose jumps have infinite moments are mathematically used to describe the superdiffusion in complex systems. Exponentially tempering the Levy measure of L\'{e}vy flights leads to the tempered stable L\'{e}vy processes…
Low-frequency molecular fluctuations in the translational nonequilibrium zone of one-dimensional strong shock waves are characterised for the first time in a kinetic collisional framework in the Mach number range $2\le M\le 10$. Our…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
Topological defects dominate the deformation response of materials in processes ranging from quantum turbulence to crystal plasticity. We calculate the probability distribution function for the fluctuations in velocity $v$, using scaling…
The purpose of this paper is to examine the Lagrangian stochastic modeling of the fluid velocity seen by inertial particles in a nonhomogeneous turbulent flow. A new Langevin-type model, compatible with the transport equation of the drift…
A new class of semi-implicit numerical schemes for linear advection equation on Cartesian grids is derived that is inspired by so-called $\kappa$-schemes used with fully explicit discretizations for this type of problems. Opposite to fully…