Related papers: Beyond It\^o versus Stratonovich
We propose an energetic interpretation ofstochastic processes described by Langevin equations with non-uniform temperature. In order to avoid It\^{o}-Stratonovich dilemma, we start with a Kramers equation, and derive a Fokker-Plank equation…
Stochastic thermodynamics provides a framework for describing small systems like colloids or biomolecules driven out of equilibrium but still in contact with a heat bath. Both, a first-law like energy balance involving exchanged heat and…
We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…
We present a control framework for stochastic compartmental models in epidemiology. In this framework, rather than directly controlling the stochastic system, we perform optimal control of an associated Fokker-Planck equation, with the goal…
We present a systematic treatment of non-Gaussianity in stochastic systems using the Schwinger-Keldysh effective field theory framework, in which the non-Gaussianity is realized as nonlinear terms in the fluctuation field. We establish two…
Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…
The introduction of stochasticity into continuous ecological models frequently relies on phenomenological, diagonal diffusion terms that lack a rigorous microscopic basis. We demonstrate that this standard practice fundamentally…
We study a spatial birth-and-death process on the phase space of locally finite configurations $\Gamma^+ \times \Gamma^-$ over $\mathbb{R}^d$. Dynamics is described by an non-equilibrium evolution of states obtained from the Fokker-Planck…
Stochastic phenomena occurring within charged particle beams can be handled using the Vlasov-Fokker-Planck generalization of the Vlasov equation. In particular, this non-deterministic approach can deal with effects due to Coulomb scattering…
We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for…
Open quantum systems play a central role in contemporary nanoscale technologies, including molecular electronics, quantum heat engines, quantum computation and information processing. A major theoretical challenge is to construct dynamical…
The past two decades have seen a revolution in statistical physics, generalizing it to apply to systems of arbitrary size, evolving while arbitrarily far from equilibrium. Many of these new results are based on analyzing the dynamics of the…
The usual Langevin approach to describe systems driven by noise fails to describe the long time behavior of systems with multiple attractors. The solution of the associated linear Fokker-Planck equation is always unique, even though it…
This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure It\^o and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
A formalism for quantum many-body systems is proposed through a semiclassical treatment in phase space, allowing us to establish a stochastic thermodynamics incorporating quantum statistics. Specifically, we utilize a stochastic…
The Fokker-Planck equations for stochastic dynamical systems, with non-Gaussian $\alpha-$stable symmetric L\'evy motions, have a nonlocal or fractional Laplacian term. This nonlocality is the manifestation of the effect of non-Gaussian…
The dynamical evolution of a Brownian particle in an inhomogeneous medium with spatially varying friction and temperature field is important to understand conceptually. It requires to address the basic problem of relative stability of…
We consider the dynamics of systems with arbitrary friction and diffusion. These include, as a special case, systems for which friction and diffusion are connected by Einstein fluctuation-dissipation relation, e.g. Brownian motion. We study…
Convex combinations of i.i.d. random variables without a finite mean can behave in a strikingly different way from the finite-mean case: as the weight vector becomes more balanced, the resulting combination may become stochastically larger,…