Related papers: Path-wise versus kinetic modeling for equilibratin…
We analyze confining mechanisms for L\'evy flights evolving under an influence of external potentials. Given a stationary probability density function (pdf), we address the reverse engineering problem: design a jump-type stochastic process…
Modeling and parameter estimation for neuronal dynamics are often challenging because many parameters can range over orders of magnitude and are difficult to measure experimentally. Moreover, selecting a suitable model complexity requires a…
We derive the stochastic master equations which describe the evolution of open quantum systems in contact with a heat bath and undergoing indirect measurements. These equations are obtained as a limit of a quantum repeated measurement model…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
In the article, correct method for the kinetic Boltzmann equation asymptotic solution is formulated, the Hilbert method and the Enskog error are considered. The equations system of multi-component nonequilibrium gas-dynamics is derived,…
The path integral approach offers not only an exact expression for the non- equilibrium dynamics of dissipative quantum systems, but is also a convenient starting point for perturbative treatments. An alternative way to explore the…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
We describe in detail a recently proposed lattice-Boltzmann model for simulating flows with multiple phases and components. In particular, the focus is on the modeling of one-component fluid systems which obey non-ideal gas equations of…
Gaseous flows show a diverse set of behaviors on different characteristic scales. Given the coarse-grained modeling in theories of fluids, considerable uncertainties may exist between the flow-field solutions and the real physics. To study…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
The objective of this paper is to study the filtering problem for a system of partially observable processes $(X, Y)$, where $X$ is a non-Markovian pure-jump process representing the signal and $Y$ is a general jump-diffusion which provides…
A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition…
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
In this paper we introduce the well-balanced L\'{e}vy driven Ornstein-Uhlenbeck process as a moving average process of the form $X_t=\int \exp(-\lambda |t-u|)dL_u$. In contrast to L\'{e}vy driven Ornstein-Uhlenbeck processes the…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymptotic normality of the likelihood is proved with a…
Inverse problems are ubiquitous because they formalize the integration of data with mathematical models. In many scientific applications the forward model is expensive to evaluate, and adjoint computations are difficult to employ; in this…
In some recent works [G. Dimarco, L. Pareschi, Hybrid multiscale methods I. Hyperbolic Relaxation Problems, Comm. Math. Sci., 1, (2006), pp. 155-177], [G. Dimarco, L. Pareschi, Hybrid multiscale methods II. Kinetic equations, SIAM…
This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. We discuss analytical and numerical methods for the solution of master equations, keeping our focus on…