Related papers: Fluctuations in multiplicative systems with jumps
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…
Stochastic evolution of various dynamic systems and reaction networks is commonly described in terms of noise assisted escape of an overdamped particle from a potential well, as devised by the paradigmatic Langevin equation in which…
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…
The diffusion behavior of particles moving in complex heterogeneous environment is a very topical issue. We characterize particle's trajectory via an underdamped Langevin system driven by a Gaussian white noise with a time dependent…
We introduce a stochastic equation for the microscopic motion of a tagged particle in the single file model. This equation provides a compact representation of several of the system's properties such as Fluctuation-Dissipation and Linear…
In wide enough systems, plane Couette flow, the flow established between two parallel plates translating in opposite directions, displays alternatively turbulent and laminar oblique bands in a given range of Reynolds numbers R. We show that…
We study Langevin dynamics with stochastic diffusivity arising from fluctuations of the surrounding medium. The diffusivity is modeled as Ornstein-Uhlenbeck process driven by symmetric dichotomous noise, which confines it to a finite…
The problem of biological motion is a very intriguing and topical issue. Many efforts are being focused on the development of novel modeling approaches for the description of anomalous diffusion in biological systems, such as the very…
Systems living in complex non equilibrated environments often exhibit subdiffusion characterized by a sublinear power-law scaling of the mean square displacement. One of the most common models to describe such subdiffusive dynamics is the…
We analyze confining mechanisms for L\'{e}vy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity…
Using the gauge/string duality, we derive a set of Langevin equations describing the dynamics of a relativistic heavy quark moving with constant average speed through the strongly-coupled N=4 SYM plasma at finite temperature. We show that…
We study the dynamics of the fluctuations of the variance $s$ of the order parameter of the Gaussian model, following a temperature quench of the thermal bath. At each time $t$, there is a critical value $s_c(t)$ of $s$ such that…
Using the recently developed covariant Ito-Langevin dynamics, we develop a non-equilibrium thermodynamic theory for small systems coupled to multiplicative noises. The theory is based on Ito-calculus, and is fully covariant under…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
We introduce a class of distributions originating from an exponential family and having a property related to the strict stability property. A characteristic function representation for this family is obtained and its properties are…
Most systems, when pushed out of equilibrium, respond by building up currents of locally-conserved observables. Understanding how microscopic dynamics determines the averages and fluctuations of these currents is one of the main open…
We present a new form of intermittency, L\'evy on-off intermittency, which arises from multiplicative $\alpha$-stable white noise close to an instability threshold. We study this problem in the linear and nonlinear regimes, both…
A Langevin equation with a special type of additive random source is considered. This random force presents a fractional order derivative of white noise, and leads to a power-law time behavior of the mean square displacement of a particle,…