Related papers: Foliated stochastic calculus: Harmonic measures

We study various solution behaviors of scale equations which are recently proposed in \cite{Kim}. On the contrary to conventional mathematical tools, scale equations are capable to accommodate various behaviors at different scale levels…

We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…

Previous years researchers began to simulate open quantum system, taking into account the interaction between system and the environment. One approach to deal with this problem is to use the density matrix within the Liouville-von-Neumann…

In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…

We show that Sullivan's method of constructing eigenfunctions of the Laplacian \cite{Sullivan1987RelatedAO} is applicable to non-compact simply connected harmonic manifolds of purely exponential volume growth. Thereby we extend the case of…

This paper provides a practical approach to stochastic Lie systems, i.e. stochastic differential equations whose general solutions can be written as a function depending only on a generic family of particular solutions and some constants…

We consider the limit behavior of partition function of directed polymers in random environment represented by linear model instead of a family of i.i.d.variables in $1+1$ dimensions. Under the assumption that the correlation decays…

We demonstrate how time-integration of stochastic differential equations (i.e. Brownian dynamics simulations) can be combined with continuum numerical bifurcation analysis techniques to analyze the dynamics of liquid crystalline polymers…

A Hamiltonian formulation of generic many-particle systems with space-dependent balanced loss and gain coefficients is presented. It is shown that the balancing of loss and gain necessarily occurs in a pair-wise fashion. Further, using a…

In this Letter, we clarify the physical origin of effective transport in periodic and tilted periodic systems. When Brownian dynamics is examined on the scale of a single period, the particle displacement admits a natural separation into a…

We investigate synchronization by noise for stochastic differential equations (SDEs) driven by a fractional Brownian motion (fbm) with Hurst index $H\in(0,1)$. Provided that the SDE has a negative top Lyapunov exponent, we show that a weak…

We develop a method for systematically constructing Lagrangian functions for dissipative mechanical, electrical and, mechatronic systems. We derive the equations of motion for some typical mechatronic systems using deterministic principles…

We prove the existence of a diffusion process whose invariant measure is the fractional polymer or Edwards measure for fractional Brownian motion in dimension $d\in\mathbb{N}$ with Hurst parameter $H\in(0,1)$ fulfilling $dH < 1$. The…

We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a $d$-dimensional fractional Brownian motion (fBm) $B_t$ with Hurst parameter $H>1/2$, where the integrands are vector fields…

Malliavin Calculus can be seen as a differential calculus on Wiener spaces. We present the notion of stochastic manifold for which the Malliavin Calculus plays the same role as the classical differential calculus for the differential…

We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…

The quantization of a constant of motion for the harmonic oscillator with a time-explicitly depending external force is carried out. This quantization approach is compared with the normal Hamiltonian quantization approach. Numerical results…

We solve the problem of formulating Brownian motion in a relativistically covariant framework in 1+1 and 3+1 dimensions. We obtain covariant Fokker-Planck equations with (for the isotropic case) a differential operator of invariant…

We give an exact solution to the generalized Langevin equation of motion of a charged Brownian particle in a uniform magnetic field that is driven internally by an exponentially-correlated stochastic force. A strong dissipation regime is…