Related papers: The small noise limit of order-based diffusion pro…
For large systems of Brownian particles interacting through their ranks introduced in (Banner, Fernholz, Karatzas, 2005), the empirical cumulative distribution function satisfies a porous medium PDE. However, when we introduce a common…
We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period $T$ and a small Gaussian random perturbation of…
The most frequently used in physical application diffusive (based on the Fokker-Planck equation) model leans upon the assumption of small jumps of a macroscopic variable for each given realization of the stochastic process. This imposes…
We consider the dynamics of systems with arbitrary friction and diffusion. These include, as a special case, systems for which friction and diffusion are connected by Einstein fluctuation-dissipation relation, e.g. Brownian motion. We study…
We establish a central limit theorem and large deviations principle that characterises small noise fluctuations of the generalised Dean--Kawasaki stochastic PDE. The fluctuations agree to first order with fluctuations of certain interacting…
An overview of the author's papers on the new approach to the Brownian coagulation theory and its generalization to the diffusion-limited reaction rate theory is presented. The traditional diffusion approach of the Smoluchowski theory for…
We study the isothermal Brownian dynamics of a particle in a system with spatially varying diffusivity. Due to the heterogeneity of the system, the particle's mean displacement does not vanish even if it does not experience any physical…
We study a class of interacting particle systems on $\mathbb{R}$ with two types. Particles evolve by independent jumps sampled from a fixed distribution, with type-dependent jump rates $v_+$, $v_-$ and stochastic type switching driven by…
We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge posed by drift coefficients that are discontinuous with respect…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
We study the large deviation behavior of a system of diffusing particles with a mean field interaction, described through a collection of stochastic differential equations, in which each particle is driven by a vanishing independent…
The main purpose of the paper is an essentially probabilistic analysis of relativistic quantum mechanics. It is based on the assumption that whenever probability distributions arise, there exists a stochastic process that is either…
We introduce a model of self-propelled particles carrying out a Brownian motion with a diffusion coefficient which depends on the local density of particles within a certain finite radius. Numerical simulations show that in a range of…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
We analyze here different types of fractional differential equations, under the assumption that their fractional order $\nu \in (0,1] $ is random\ with probability density $n(\nu).$ We start by considering the fractional extension of the…
We study the convergence of $N-$particle systems described by SDEs driven by Brownian motion and Poisson random measure, where the coefficients depend on the empirical measure of the system. Every particle jumps with a jump rate depending…
Brownian motion is the perpetual irregular motion exhibited by small particles immersed in a fluid. Such random motion of the particles is produced by statistical fluctuations in the collisions they suffer with the molecules of the…
The aim of this paper is to develop tractable large deviation approximations for the empirical measure of a small noise diffusion. The starting point is the Freidlin-Wentzell theory, which shows how to approximate via a large deviation…
We consider interacting systems particle driven by i.i.d. fractional Brownian motions, subject to irregular, possibly distributional, pairwise interactions. We show propagation of chaos and mean field convergence to the law of the…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…