Related papers: Asymptotic methods for stochastic dynamical system…

This paper features and elaborates recent developments and modifications in asymptotic techniques in solving differential equation in non linear dynamics. These methods are proved to be powerful to solve weakly as well as strongly non…

The purpose of this paper is to prove ergodicity and provide asymptotic formulae for probabilities of threshold crossing related to smooth approximations of three fundamental nonlinear mechanical models: (a) an elasto-plastic oscillator,…

We discuss two independent methods of solution of a master equation whose biased jump transition rates account for long jumps of L\'{e}vy-stable type and nonetheless admit a Boltzmannian (thermal) equilibrium to arise in the large time…

In this paper, a stochastic asymptotic stabilization method is proposed for deterministic input-affine control systems, which are randomized by including Gaussian white noises in control inputs. The sufficient condition is derived for the…

This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…

We study the noise-induced escape process from chaotic attractors in nonhyperbolic systems. We provide a general mechanism of escape in the low noise limit, employing the theory of large fluctuations. Specifically, this is achieved by…

We are exploring two archetypal noise induced escape scenarios: escape from a finite interval and from the positive half-line under the action of the mixture of L\'evy and Gaussian white noises in the overdamped regime, for the random…

We study the trajectories followed by a particle subjected to weak noise when escaping from the domain of attraction of a stable fixed point. If detailed balance is absent, a _focus_ may occur along the most probable exit path, leading to a…

We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly,…

This paper reports on a new algorithm to compute the asymptotic solutions of a linear differential system. A feature of the algorithm is the ability to accommodate periodic coefficients.

We propose and analyze a specific asymptotic stochastic order for random processes based on the measure of departure discussed in the literature. As applications, we stochastically compare mixtures of order statistics and record values…

A dynamical system perturbed by white noise in a neighborhood of an unstable fixed point is considered. We obtain the exit asymptotics in the limit of vanishing noise intensity. This is a refinement of a result by Kifer (1981).

We consider the problem of obtaining effective representations for the solutions of linear, vector-valued stochastic differential equations (SDEs) driven by non-Gaussian pure-jump L\'evy processes, and we show how such representations lead…

We study the "periodic homogenization" for a class of nonlocal partial differential equations of parabolic-type with rapidly oscillating coefficients, related to stochastic differential equations driven by multiplicative isotropic…

We asymptotically derive a non-linear Langevin-like equation with non-Gaussian white noise for a wide class of stochastic systems associated with multiple stochastic environments, by developing the expansion method in our previous paper [K.…

We propose an analytical method to determine the shape of density profiles in the asymptotic long time limit for a broad class of coupled continuous time random walks which operate in the ballistic regime. In particular, we show that…

For linear transport and radiative heat transfer equations with random inputs, we develop new generalized polynomial chaos based Asymptotic-Preserving stochastic Galerkin schemes that allow efficient computation for the problems that…

We develop an asymptotic-preserving scheme to solve evolution problems containing stiff transport terms. This scheme is based to a micro-macro decomposition of the unknown, coupled with a stabilization procedure. The numerical method is…

We present a general geometrical approach to the problem of escape from a metastable state in the presence of noise. The accompanying analysis leads to a simple condition, based on the norm of the drift field, for determining whether…

This paper proposes a general symplectic Euler scheme for a class of Hamiltonian stochastic differential equations driven by L$\acute{e}$vy noise in the sense of Marcus form. The convergence of the symplectic Euler scheme for this…