Related papers: The small noise limit of order-based diffusion pro…
In this paper, a link between monotonicity of deterministic dynamical systems and propagation of order by Markov processes is established. The order propagation has received considerable attention in the literature, however, this notion is…
In this work we study the transport properties of non-interacting overdamped particles, moving on tilted disordered potentials, subjected to Gaussian white noise. We give exact formulas for the drift and diffusion coefficients for the case…
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…
We analyze the dynamics of particles in two dimensions with constant speed and a stochastic switching angle dynamics defined by a correlated dichotomous Markov process (telegraph noise) plus Gaussian white noise. We study various cases of…
We introduce and analyze a model for the transport of particles or energy in extended lattice systems. The dynamics of the model acts on a discrete phase space at discrete times but has nonetheless some of the characteristic properties of…
We consider a system of stochastic differential equations driven by a standard n-dimensional Brownian motion where the drift coefficient satisfies a Novikov-type condition while the diffusion coefficient is the identity matrix. We define a…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
Many approaches to modelling reaction-diffusion systems with anomalous transport rely on deterministic equations and ignore fluctuations arising due to finite particle numbers. Starting from an individual-based model we use a…
In this article, we study the dynamics of a nonlinear system governed by an ordinary differential equation under the combined influence of fast periodic sampling with period $\delta$ and small jump noise of size $\varepsilon, 0<…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
Occupation time fluctuation limits of particle systems in R^d with independent motions (symmetric stable Levy process, with or without critical branching) have been studied assuming initial distributions given by Poisson random measures…
Classical Stokes' drift is the small time-averaged drift velocity of suspended non-diffusing particles in a fluid due to the presence of a wave. We consider the effect of adding diffusion to the motion of the particles, and show in…
We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
We consider the motion of a particle governed by a weakly random Hamiltonian flow. We identify temporal and spatial scales on which the particle trajectory converges to a spatial Brownian motion. The main technical issue in the proof is to…
We analyze the strong noise limit of one-dimensional stochastic differential equations (SDEs). Our initial motivation comes from continuous measurements of open quantum systems. In this context, Bauer, Bernard and Tilloy pointed out an…
We study fast / slow systems driven by a fractional Brownian motion $B$ with Hurst parameter $H\in (\frac 13, 1]$. Surprisingly, the slow dynamic converges on suitable timescales to a limiting Markov process and we describe its generator.…
This work considers the distribution of inertial particles in turbulence using the point-particle approximation. We demonstrate that the random point process formed by the positions of particles in space is a Poisson point process with…
We develop diffusion models for time-varying correlation using stochastic processes defined on the unit circle. Specifically, we study Brownian motion on the circle and the von Mises diffusion, and propose their use as continuous-time…