Related papers: The beta-Hermite and beta-Laguerre processes
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
This is a pedagogical account on reaction-diffusion systems and their relationship with integrable quantum spin chains. Reaction-diffusion systems are paradigmatic examples of non-equilibrium systems. Their long-time behaviour is strongly…
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered…
We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…
Let $\mathbf{B}_n=\mathbf {S}_n(\mathbf {S}_n+\alpha_n\mathbf {T}_N)^{-1}$, where $\mathbf {S}_n$ and $\mathbf {T}_N$ are two independent sample covariance matrices with dimension $p$ and sample sizes $n$ and $N$, respectively. This is the…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
In this paper we give a complete analysis of the phase transitions in the mean-field Blume-Emery-Griffiths lattice-spin model with respect to the canonical ensemble, showing both a second-order, continuous phase transition and a…
We study nonequilibrium phase transitions in a mass-aggregation model which allows for diffusion, aggregation on contact, dissociation, adsorption and desorption of unit masses. We analyse two limits explicitly. In the first case mass is…
We investigate proteins within heterogeneous cell membranes where non-equilibrium phenomena arises from spatial variations in concentration and temperature. We develop simulation methods building on non-equilibrium statistical mechanics to…
In this paper we give a complete analysis of the phase transitions in the mean-field Blume-Emery-Griffiths lattice-spin model with respect to the canonical ensemble, showing both a second-order, continuous phase transition and a…
We consider the limiting behavior of fluctuations of small noise diffusions with multiple scales around their homogenized deterministic limit. We allow full dependence of the coefficients on the slow and fast motion. These processes arise…
The nonexponential relaxation ocurring in complex dynamics manifested in a wide variety of systems is analyzed through a simple model of diffusion in phase space. It is found that the inability of the system to find its equilibrium state in…
This work is an extended version of the paper arXiv:0803.2669v1[math-ph], in which the main results were announced. We consider certain classical diffusion process for a wave function on the phase space. It is shown that at the time of…
Motivated by models of signaling pathways in B lymphocytes, which have extremely large nuclei, we study the question of how reaction-diffusion equations in thin $2D$ domains may be approximated by diffusion equations in regions of smaller…
We study diffusion processes of local fluctuations of heat, energy, momentum, and mass in three paradigmatic one-dimensional systems. For each system, diffusion processes of four physical quantities are simulated and the cross correlations…
The diffusion process near low order synchro-betatron resonances driven by beam-beam interactions at a crossing angle is investigated. Macroscopic observables such as beam emittance, lifetime and beam profiles are calculated. These are…
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an…
A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda>0$ such that the process is well defined for Hurst parameter…
We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct continuous time analogues of the well-known in time series…
A survey is given on asymptotic diffusion coefficients of particles in lattices with random transition rates. Exact and approximate results for single particles are reviewed. A recent exact expression in $d = 1$ which includes occupation…