Related papers: The longest excursion of stochastic processes in n…
In this review we discuss the persistence and the related first-passage properties in extended many-body nonequilibrium systems. Starting with simple systems with one or few degrees of freedom, such as random walk and random acceleration…
Understanding fluctuations of observables across stochastic trajectories is essential for various fields of research, from quantum thermal machines to biological motors. We introduce a framework to analyze the statistics of counting…
The long-term behaviors of flows of continuous-state branching processes are characterized through subordinators and extremal processes. The extremal processes arise in the case of supercritical processes with infinite mean and of…
We study the probability distribution $Q(n,t)$ of $n(t)$, the fraction of spins unflipped till time $t$, in a Ising chain with ferromagnetic interactions. The distribution shows a peak at $n=n_{max}$ and in general is non-Gaussian and…
We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlated increments. Estimates are based on observations of the…
We study the off-equilibrium dynamics of a particle in a general $N$-dimensional random potential when $N \to \infty$. We demonstrate the existence of two asymptotic time regimes: {\it i.} stationary dynamics, {\it ii.} slow aging dynamics…
Extreme events are unusual and rare large-amplitude fluctuations that occur can unexpectedly in nonlinear dynamical systems. Events above the extreme event threshold of the probability distribution of a nonlinear process characterize…
We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered L\'evy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme…
We present a simple, unified approach to determining the growth law for the characteristic length scale, $L(t)$, in the phase ordering kinetics of a system quenched from a disordered phase to within an ordered phase. This approach, based on…
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…
We investigate the coarsening kinetics of an XY model defined on a square lattice when the underlying dynamics is governed by energy-conserving Hamiltonian equation of motion. We find that the apparent super-diffusive growth of the length…
We investigate the work fluctuations in an overdamped non-equilibrium process that is stopped at a stochastic time. The latter is characterized by a first passage event that marks the completion of the non-equilibrium process. In…
Long-range interacting Hamiltonian systems are believed to relax generically towards non-equilibrium states called "quasi-stationary" because they evolve towards thermodynamic equilibrium very slowly, on a time-scale diverging with particle…
A functional method for calculating averages of the time-ordered exponential of a continuous isotropic random $N\times N$ matrix process is presented. The process is not assumed to be Gaussian. In particular, the Lyapunov exponents and…
We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…
We derive a well-behaved nonlinear extension of the non-relativistic Liouville-von Neumann dynamics driven by maximal entropy production with conservation of energy and probability. The pure state limit reduces to the usual Schroedinger…
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…
A central problem in population ecology is understanding the consequences of stochastic fluctuations. Analytically tractable models with Gaussian driving noise have led to important, general insights, but they fail to capture rare,…
It is a challenging issue to analyze complex dynamics from observed and simulated data. An advantage of extracting dynamic behaviors from data is that this approach enables the investigation of nonlinear phenomena whose mathematical models…
We study the existence and uniqueness of (locally) absolutely continuous trajectories of a dynamical system governed by a nonexpansive operator. The weak convergence of the orbits to a fixed point of the operator is investigated by relying…