Related papers: Escape Probability for Stochastic Dynamical System…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
We analyze confining mechanisms for L\'evy flights evolving under an influence of external potentials. Given a stationary probability density function (pdf), we address the reverse engineering problem: design a jump-type stochastic process…
This work is an analytical calculation of the path probability for random dynamics of mechanical system described by Langevin equation with Gaussian noise. The result shows an exponential dependence of the probability on the action. In the…
This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear…
Exact generalized stochastic representation of deterministic interaction between two dynamical (quantum or classical) systems is derived which helps when considering one of them to replace another by equivalent commutative ($c$-number…
Non-Gaussian noise influences many complex out-of-equilibrium systems on a wide range of scales such as quantum devices, active and living matter, and financial markets. Despite the ubiquitous nature of non-Gaussian noise, its effect on…
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by L\'evy processes with infinite activity. These schemes combine a compound Poisson approximation for the jump part of the…
This paper considers stochastic population dynamics driven by Levy noise. The contributions of this paper lie in that (a) Using Khasminskii-Mao theorem, we show that the stochastic differential equation associated with the model has a…
We address estimation of parametric coefficients of a pure-jump L\'evy driven univariate stochastic differential equation (SDE) model, which is observed at high frequency over a fixed time period. It is known from the previous study Masuda…
System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…
We investigate fluid transport in random velocity fields with unsteady drift. First, we propose to quantify fluid transport between flow regimes of different characteristic motion, by escape probability and mean residence time. We then…
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…
This paper presents novel method for distribution-free robust trajectory optimization and control of discrete-time, nonlinear, and non-Gaussian stochastic systems, with closed-loop guarantees on chance constraint satisfaction. Our framework…
This article is devoted to study stochastic lattice dynamical systems driven by a fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. First of all, we investigate the existence and uniqueness of pathwise mild solutions to such…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be…
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…