Related papers: Escape Probability for Stochastic Dynamical System…
We consider a slow passage through a point of loss of stability. If the passage is sufficiently slow, the dynamics are controlled by additive random disturbances, even if they are extremely small. We derive expressions for the `exit value'…
Distribution-dependent stochastic dynamical systems arise widely in engineering and science. We consider a class of such systems which model the limit behaviors of interacting particles moving in a vector field with random fluctuations. We…
We establish the large deviation principle for the slow variables in slow-fast dynamical system driven by both Brownian noises and L\'evy noises. The fast variables evolve at much faster time scale than the slow variables, but they are…
We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By…
In this paper, we focus on the statistical filtering problem in dynamical models with jumps. When a particular application relies on physical properties which are modeled by linear and Gaussian probability density functions with jumps, an…
In many practically important problems which rely on particles' transport in realistic corrugated channels, one is interested to know the probability that either of the extremities, (e.g., the one containing a chemically active site, or…
We recently proposed a method for estimation of states and parameters in stochastic differential equations, which included intermediate time points between observations and used the Laplace approximation to integrate out these intermediate…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We study inference for the driving L\'evy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the drift and scale coefficients contain finite-dimensional…
In this manuscript we show that a noise-activated escape phenomenon occurs in closed Hamiltonian systems. Due to the energy fluctuations generated by the noise, the isopotential curves open up and the particles can eventually escape in…
We develop a novel computational method for evaluating the extreme excursion probabilities arising for random initialization of nonlinear dynamical systems. The method uses a Markov chain Monte Carlo or a Laplace approximation approach to…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
We present a method for incorporating a stochastic point of view into physics exercises of mathematics education. The core of our method is the randomization of some inputs, the system model used does not differ from what we would use in…
The escape from a potential well is an archetypal problem in the study of stochastic dynamical systems, representing real-world situations from chemical reactions to leaving an established home range in movement ecology. Concurrently,…
It is shown that non-Markovian master equations for an open system which are local in time can be unravelled through a piecewise deterministic quantum jump process in its Hilbert space. We derive a stochastic Schr\"odinger equation that…
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and Poisson random measure with risk-sensitive criteria. The…
We use an effective Hamiltonian to characterize particle dynamics and find escape rates in a periodically kicked Hamiltonian. We study a model of particles in storage rings that is described by a chaotic symplectic map. Ignoring the…
This article studies the dynamics of a nonlinear dissipative reaction-diffusion equation with well-separated stable states which is perturbed by infinite-dimensional multiplicative L\'evy noise with a regularly varying component at…
We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under…
Non-universal dynamics is shown to occur in a one-dimensional non-equilibrium system of hard-core particles. The stochastic processes included are pair creation and annihilation (with rates e and e') and symmetric hopping rates which…