Related papers: Time and Space Varying Copulas
Motivated by applications in systems biology, we seek a probabilistic framework based on Markov processes to represent intracellular processes. We review the formal relationships between different stochastic models referred to in the…
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
Spatio-temporal point process (STPP) is a stochastic collection of events accompanied with time and space. Due to computational complexities, existing solutions for STPPs compromise with conditional independence between time and space,…
These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
Traditional derivation of the material time derivative of volume, surface, and line integrals relies upon the notion of a referential configuration of continuum. Such a notion, however, is artificial and, probably, somewhat misleading in…
Sticky diffusion processes on bounded domains spend finite time (and finite mean time) on the lower-dimensional space given by the boundary. Once the process hits the boundary, then it starts again after a random amount of time. While on…
Complex physical dynamics can often be modeled as a Markov jump process between mesoscopic configurations. When jumps between mesoscopic states are mediated by thermodynamic reservoirs, the time-irreversibility of the jump process is a…
While diffusion models can successfully generate data and make predictions, they are predominantly designed for static images. We propose an approach for efficiently training diffusion models for probabilistic spatiotemporal forecasting,…
Many stochastic processes in the physical and biological sciences can be modelled as Brownian dynamics with multiplicative noise. However, numerical integrators for these processes can lose accuracy or even fail to converge when the…
Recently a new theory for the transport of energetic particles across a mean magnetic field was presented. Compared to other non-linear theories the new approach has the advantage that it provides a full time-dependent description of the…
We investigate the connections between microscopic chaos, defined on a dynamical level and arising from collisions between molecules, and diffusion, characterized by a mean square displacement proportional to the time. We use a number of…
The horizontal dynamics of a bouncing ball interacting with an irregular surface is investigated and is found to demonstrate behavior analogous to a random walk. Its stochastic character is substantiated by the calculation of a permutation…
Stochastic resetting is a rapidly developing topic in the field of stochastic processes and their applications. It denotes the occasional reset of a diffusing particle to its starting point and effects, inter alia, optimal first-passage…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…
We propose a variational formulation for the nonequilibrium thermodynamics of discrete open systems, i.e., discrete systems which can exchange mass and heat with the exterior. Our approach is based on a general variational formulation for…
Diffusion in an evolving environment is studied by continuos-time Monte Carlo simulations. Diffusion is modelled by continuos-time random walkers on a lattice, in a dynamic environment provided by bubbles between two one-dimensional…
Linear diffusions are used to model a large number of stochastic processes in physics, including small mechanical and electrical systems perturbed by thermal noise, as well as Brownian particles controlled by electrical and optical forces.…