Related papers: Pathwise Taylor Expansions for It\^o Random Fields

In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to model various static physics systems such as elastic…

We consider the following stochastic space-time fractional diffusion equation with vanishing initial condition:$$ \partial^{\beta} u(t, x)=- \left(-\Delta\right)^{\alpha / 2} u(t, x)+ I_{0+}^{\gamma}\left[\dot{W}(t, x)\right],\quad…

Motivated by certain problems of statistical physics we consider a stationary stochastic process in which deterministic evolution is interrupted at random times by upward jumps of a fixed size. If the evolution consists of linear decay, the…

We propose a novel mechanism for the origin of non-Gaussian tails in the probability distribution functions (PDFs) of local variables in nonlinear, diffusive, dynamical systems including passive scalars advected by chaotic velocity fields.…

Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can arise because of an underlying random…

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula and on a new…

We study approximations to a class of vector-valued equations of Burgers type driven by a multiplicative space-time white noise. A solution theory for this class of equations has been developed recently in [Hairer, Weber, Probab. Theory…

The existence of random attractors for singular stochastic partial differential equations (SPDE) perturbed by general additive noise is proven. The drift is assumed only to satisfy the standard assumptions of the variational approach to…

We introduce a new class of heavy-tailed distributions for which any weighted average of independent and identically distributed random variables is larger than one such random variable in (usual) stochastic order. We show that many…

We describe Stochastic Loewner Evolution on arbitrary Riemann surfaces with boundary using Conformal Field Theory methods. We propose in particular a CFT construction for a probability measure on (clouded) paths, and check it against known…

It is shown how Adler's trace dynamics can be applied to stochastic mechanics and other complex classical dynamical systems. Emergent non-commutivity due to the fractal nature of sample trajectories is closely related to the fact that the…

Spatially distributed problems are often approximately modelled in terms of partial differential equations (PDEs) for appropriate coarse-grained quantities (e.g. concentrations). The derivation of accurate such PDEs starting from finer…

In this paper, we establish a sufficient condition to compare linear combinations of independent and identically distributed (iid) infinite-mean random variables under usual stochastic order. We introduce a new class of distributions that…

Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…

The stochastic solution with Gaussian stationary increments is establihsed for the symmetric space-time fractional diffusion equation when $0 < \beta < \alpha \le 2$, where $0 < \beta \le 1$ and $0 < \alpha \le 2$ are the fractional…

The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…

We propose a simple model for the phenomenon of Eulerian spontaneous stochasticity in turbulence. This model is solved rigorously, proving that infinitesimal small-scale noise in otherwise a deterministic multi-scale system yields a…

We present a new perturbative formulation of non-equilibrium thermal field theory, based upon non-homogeneous free propagators and time-dependent vertices. The resulting time-dependent diagrammatic perturbation series are free of pinch…

In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…

Accelerated diffusion models hold the potential to significantly enhance the efficiency of standard diffusion processes. Theoretically, these models have been shown to achieve faster convergence rates than the standard $\mathcal…