Related papers: Large volatility-stabilized markets
We consider the short time behaviour of stochastic systems affected by a stochastic volatility evolving at a faster time scale. We study the asymptotics of a logarithmic functional of the process by methods of the theory of homogenisation…
We describe the resulting spatiotemporal dynamics when a homogeneous equilibrium loses stability in a spatially extended system. More precisely, we consider reaction-diffusion systems, assuming only that the reaction kinetics undergo a…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
We study densities of two-dimensional diffusion processes with one non-negative component. For such diffusions, the density may explode at the boundary, thus making a precise specification of the boundary condition in the corresponding…
Inspired by many examples in nature, stochastic resetting of random processes has been studied extensively in the past decade. In particular, various models of stochastic particle motion were considered where upon resetting the particle is…
We perform the linear stability analysis for a new model for poromechanical processes with inertia (formulated in mixed form using the solid deformation, fluid pressure, and total pressure) interacting with diffusing and reacting solutes…
In this article we discuss several aspects of the stochastic dynamics of spin models. The paper has two independent parts. Firstly, we explore a few properties of the multi-point correlations and responses of generic systems evolving in…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
An asymptotic method for finding instabilities of arbitrary $d$-dimensional large-amplitude patterns in a wide class of reaction-diffusion systems is presented. The complete stability analysis of 2- and 3-dimensional localized patterns is…
The advent and proliferation of social media have led to the development of mathematical models describing the evolution of beliefs/opinions in an ecosystem composed of socially interacting users. The goal is to gain insights into…
Diffusion processes are instrumental to describe the movement of a continuous quantity in a generic network of interacting agents. Here, we present a probabilistic framework for diffusion in networks and propose to classify agent…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
The aim of this review is to provide a concise overview of some of the generic approaches that have been developed to deal with the statistical description of large systems of interacting dissipative 'units'. The latter notion includes,…
We investigate finite size scaling aspects of disorder reaction-diffusion processes in one dimension utilizing both numerical and analytical approaches. The former averages the spectrum gap of the associated evolution operators by doubling…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo…
We prove a Large Deviations Principle (LDP) for systems of diffusions (particles) interacting through their ranks, when the number of particles tends to infinity. We show that the limiting particle density is given by the unique solution of…
Critical behaviour of two systems, subjected to the turbulent mixing, is studied by means of the field theoretic renormalization group. The first system, described by the equilibrium model A, corresponds to relaxational dynamics of a…
Time-irreversible stochastic processes are frequently used in natural sciences to explain non-equilibrium phenomena and to design efficient stochastic algorithms. Our main goal in this thesis is to analyse their dynamics by means of large…
A system of interacting multiclass finite-state jump processes is analyzed. The model under consideration consists of a block-structured network with dynamically changing multi-colors nodes. The interaction is local and described through…