Related papers: Weak noise and non-hyperbolic unstable fixed point…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, $W_t = B_t + \mu t, t\geq 0,$ where $(B_t)$ is a…
It is well known that a random multiplicative process with weak additive noise generates a power-law probability distribution. It has recently been recognized that this process exhibits another type of power law: the moment of the…
A noisy damping parameter in the equation of motion of a nonlinear oscillator renders the fixed point of the system unstable when the amplitude of the noise is sufficiently large. However, the stability diagram of the system can not be…
We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard…
Diffusive transport in many complex systems features a crossover between anomalous diffusion at short times and normal diffusion at long times. This behavior can be mathematically modeled by cutting off (tempering) beyond a mesoscopic…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
It has been shown by various authors under different assumptions that the diameter of a bounded non-trivial set $\gamma$ under the action of a stochastic flow grows linearly in time. We show that the asymptotic linear expansion speed if…
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic volatility models. We work on a condition on the…
We define the notion of $\varepsilon$-flexible periodic point: it is a periodic point with stable index equal to two whose dynamics restricted to the stable direction admits $\varepsilon$-perturbations both to a homothety and a saddle…
We consider overdamped Brownian dynamics in a periodic potential with temporally oscillating amplitude. We analyze the transport which shows effective diffusion enhanced by the oscillations and derive approximate expressions for the…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
High frequencies at which ultrasonic waves travel give rise to nonlinear phenomena. In thermoviscous fluids, these are captured by Blackstock's acoustic wave equation with strong damping. We revisit in this work its well-posedness analysis.…
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail…
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven…
Markovian diffusion processes yield a system of conservation laws which couple various conditional expectation values (local moments). Solutions of that closed system of deterministic partial differential equations stand for a regular…
We propose and study a one-dimensional $2\times 2$ hyperbolic Eulerian system with local relaxation from critical threshold phenomena perspective. The system features dynamic transition between strictly and weakly hyperbolic. For different…
It is considered to re-formulate quantum theory as it appears: A theory of continuous and causal time evolution, interrupted by discontinuous and stochastic jumps. To develop the (missing) theory of jumps a heuristic-phenomenological…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…