Related papers: Stochastic velocity motions and processes with ran…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
Motivated by various recent experimental findings, we propose a dynamical model of intermittently self-propelled particles: active particles that recurrently switch between two modes of motion, namely an active run-state and a turn state,…
Motion under stochastic resetting serves to model a myriad of processes in physics and beyond, but in most cases studied to date resetting to the origin was assumed to take zero time or a time decoupled from the spatial position at the…
The standard Levy walk is performed by a particle that moves ballistically between randomly occurring collisions, when the intercollision time is a random variable governed by a power-law distribution. During instantaneous collision events…
The run-and-tumble particle (RTP) is one of the simplest examples of an active particle in which the direction of constant motion randomly switches. In the one-dimensional (1D) case this means switching between rightward and leftward…
Suppose we observe a trajectory of length $n$ from an exponentially $\alpha$-mixing stochastic process over a finite but potentially large state space. We consider the problem of estimating the probability mass placed by the stationary…
We investigate, by numerical simulation, the path probability of non dissipative mechanical systems undergoing stochastic motion. The aim is to search for the relationship between this probability and the usual mechanical action. The model…
In the random acceleration process a point particle moving in one dimension is accelerated by Gaussian white noise with zero mean. Although several fundamental statistical properties of the motion have been analyzed in detail, the…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
Correct prediction of particle transport by surface waves is crucial in many practical applications such as search and rescue or salvage operations and pollution tracking and clean-up efforts. Recent results have indicated transport by…
This work considers the distribution of inertial particles in turbulence using the point-particle approximation. We demonstrate that the random point process formed by the positions of particles in space is a Poisson point process with…
The propagation of light in a scattering medium is described as the motion of a special kind of a Brownian particle on which the fluctuating forces act only perpendicular to its velocity. This enforces strictly and dynamically the…
We derive expressions for the dispersion for two classes of random variables in Markov processes. Random variables like current and activity pertain to the first class, which is composed by random variables that change whenever a jump in…
We define a random walk of a particle in $\mathbb{R}^3$ where the space is rotating. The particle is not glued to the space and will collide with it at random times, resulting in changes in its velocity and direction. After many collisions,…
In this article, we study the dynamics of a nonlinear system governed by an ordinary differential equation under the combined influence of fast periodic sampling with period $\delta$ and small jump noise of size $\varepsilon, 0<…
We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…
We study the dynamics of a particle in continuous time and space, the displacement of which is governed by an internal degree of freedom (spin). In one definite limit, the so-called quantum random walk is recovered but, although quite…
We study dynamics of a classical particle in a one-dimensional potential, which is composed of two periodic components, that are time-independent, have equal amplitudes and periodicities. One of them is externally driven by a random force…
A stochastic model for a super-position of uncorrelated pulses with a random distribution of and correlations between amplitudes and velocities is analyzed. The pulses are assumed to move radially with fixed shape and amplitudes decreasing…
We consider one-dimensional Brownian motion conditioned (in a suitable sense) to have a local time at every point and at every moment bounded by some fixed constant. Our main result shows that a phenomenon of entropic repulsion occurs: that…