Related papers: On differentiability of stochastic flow for a mult…
We complete the kinetic theory of two-dimensional (2D) point vortices initiated in previous works. We use a simpler and more physical formalism. We consider a system of 2D point vortices submitted to a small external stochastic perturbation…
We study uncertainty in the dynamics of time-dependent flows by identifying barriers and enhancers to stochastic transport. This topological segmentation is closely related to the theory of Lagrangian coherent structures and is based on a…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
We consider a d-dimensional stochastic differential equation with additive noise and a drift coefficient which is assumed only to be a bounded Borel function. We show that, for almost all choices of the driving Brownian path, the equation…
We study $\mathbb{R}^d$-valued mean field stochastic differential equations with a diffusion coefficient depending on the $L_p$-norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global…
We consider the line, surface and volume elements of fluid in stationary isotropic incompressible stochastic flow in $d$-dimensional space and investigate the long-time evolution of their statistic properties. We report the discovery of a…
This is an expository article on the score-based diffusion models, with a particular focus on the formulation via stochastic differential equations (SDE). After a gentle introduction, we discuss the two pillars in the diffusion modeling --…
We provide a general framework for the stability of solutions to stochastic partial differential equations with respect to perturbations of the drift. More precisely, we consider stochastic partial differential equations with drift given as…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
In this paper we consider a diffusion process obtained as a small random perturbation of a dynamical system attracted to a stable equilibrium point. The drift and the diffusive perturbation are assumed to evolve slowly in time. We describe…
Let $X$ be a regular one-dimensional transient diffusion and $L^y$ be its local time at $y$. The stochastic differential equation (SDE) whose solution corresponds to the process $X$ conditioned on $[L^y_{\infty}=a]$ for a given $a\geq 0$ is…
Streaming Dynamic Mode Decomposition (sDMD) (Hemati et al., Phys. Fluids 26(2014)) is a low-storage version of Dynamic Mode Decomposition (DMD) (Schmid, J. Fluid Mech. 656 (2010)), a data-driven method to extract spatio-temporal flow…
We study how stochastic differential equation (SDE) based ideas can inspire new modifications to existing algorithms for a set of problems in computer vision. Loosely speaking, our formulation is related to both explicit and implicit…
The influence of an underlying carrier flow on the terminal velocity of sedimenting particles is investigated both analytically and numerically. Our theoretical framework works for a general class of (laminar or turbulent) velocity fields…
A large deviation principle is established for a general class of stochastic flows in the small noise limit. This result is then applied to a Bayesian formulation of an image matching problem, and an approximate maximum likelihood property…
We consider coupled diffusions in $n$-dimensional space and on a compact manifold and the resulting effective advective-diffusive motion on large scales in space. The effective drift (advection) and effective diffusion are determined as a…
Self-interacting diffusions are solutions to SDEs with a drift term depending on the process and its normalized occupation measure $\mu_t$ (via an interaction potential and a confinement potential). We establish a relation between the…
We develop a consistent method for estimating the parameters of a rich class of path-dependent SDEs, called signature SDEs, which can model general path-dependent phenomena. Path signatures are iterated integrals of a given path with the…
The Cauchy problem for a multidimensional linear transport equation with unbounded drift is investigated. Provided the drift is Holder continuous , existence, uniqueness and strong stability of solutions are obtained. The proofs are based…
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of…