Related papers: Assessing Relative Volatility/Intermittency/Energy…
We study the large-time behaviour of Brownian particles moving through a viscous medium in a confined potential, and which are further subjected to position-dependent driving forces that are periodic in time. We focus on the case where…
The asymptotics of a singularly perturbed problem is constructed. describing the transport of a polydisperse impurity in the atmosphere, taking into account the processes of precipitation and wind pick-up, as well as the processes of…
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…
A calculational approach in fluid turbulence is presented. Use is made of the attracting nature of the fluid-dynamic dynamical system. An approach is offered that effectively propagates the statistics in time. Loss of sensitivity to an…
An analytic model for steady state turbulence is employed to obtain the inertial range power spectrum of compressible turbulence. We assume that for homogeneous turbulence, the timescales controlling the energy injected at a given…
We study the statistical properties of the variation of the kinetic energy of a spherical Brownian particle that freely moves in an incompressible fluid at constant temperature. Based on the underdamped version of the generalized Langevin…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…
We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for…
Numerical simulations are used to determine the influence of the non-local and local interactions on the intermittency corrections in the scaling properties of 3D turbulence. We show that neglect of local interactions leads to an enhanced…
Weak Wave Turbulence is a powerful theory to predict statistical observables of diverse relevant physical phenomena, such as ocean waves, magnetohydrodynamics and nonlinear optics. The theory is based upon an asymptotic closure permitted in…
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential equations and derive a stable central limit theorem for the…
We obtain exact asymptotic results for the disorder averaged persistence of a Brownian particle moving in a biased Sinai landscape. We employ a new method that maps the problem of computing the persistence to the problem of finding the…
We presented a methodology to approximate the entropy production for Brownian motion in a tilted periodic potential. The approximation stems from the well known thermodynamic uncertainty relation. By applying a virial-like expansion, we…
We address the dynamical and statistical description of stably stratified turbulent boundary layers with the important example of the atmospheric boundary layer with a stable temperature stratification in mind. Traditional approaches to…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
We review some recent developments which make use of the concept of `superstatistics', an effective description for nonequilibrium systems with a varying intensive parameter such as the inverse temperature. We describe how the asymptotic…
The climate belongs to the class of non-equilibrium forced and dissipative systems, for which most results of quasi-equilibrium statistical mechanics, including the fluctuation-dissipation theorem, do not apply. We show for the first time…