Related papers: Stability of Numerical Methods for Jump Diffusions…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
Advances in experimental techniques allow the collection of high-resolution spatio-temporal data that track individual motile entities over time. These tracking data motivate the use of mathematical models to characterise the motion…
This article is concerned with stability analysis and stabilization of randomly switched nonlinear systems. These systems may be regarded as piecewise deterministic stochastic systems: the discrete switches are triggered by a stochastic…
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
This paper presents and analyzes the compensated projected Euler-Maruyama method for stochastic differential equations with jumps under a global monotonicity condition. Compared with existing conditions, this condition allows the…
We study the numerical behaviour of a particle method for gradient flows involving linear and nonlinear diffusion. This method relies on the discretisation of the energy via non-overlapping balls centred at the particles. The resulting…
Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…
We consider the periodic problem for two-fluid non-isentropic Euler-Maxwell systems in plasmas. By means of suitable choices of symmetrizers and an induction argument on the order of the time-space derivatives of solutions in energy…
Diffusion processes have been applied with great success to model the dynamics of large populations throughout science, in particular biology. One advantage is that they bridge two different scales: the microscopic and the macroscopic one.…
The purpose of this paper is to consider the exit-time problem for a finite-range Markov jump process, i.e, the distance the particle can jump is bounded independent of its location. Such jump diffusions are expedient models for anomalous…
Random metastability occurs when an externally forced or noisy system possesses more than one state of apparent equilibrium. This work investigates fluctuations in a class of random dynamical systems, arising from randomly perturbing a…
In this paper, we present a model based on a local thermodynamic equilibrium, weakly ionized plasma-mixture model used for medical and technical applications in etching processes. We consider a simplified model based on the Maxwell-Stefan…
Some sufficient conditions on the algebraic stability of non-homogeneous regime-switching diffusion processes are established. In this work we focus on determining the decay rate of a stochastic system which switches randomly between…
This paper explores the analytical approach for obtaining the multiple solutions of three-wave interacting system in (1+1) dimensions. We present a novel approach by expressing the wave solutions in terms of Jacobi elliptic functions and…
In this paper, we are interested in conditional McKean-Vlasov jump diffusions, which are also termed as McKean-Vlasov stochastic differential equations with jump idiosyncratic noise and jump common noise. As far as conditional McKean-Vlasov…
The numerical instability observed in the Electromagnetic-Particle-in-cell (EM-PIC) simulations with a plasma drifting with relativistic velocities is studied using both theory and computer simulations. We derive the numerical dispersion…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
In this work, we are interested in problems that are related to the physical phenomena of diffusion. We will focus on the theoretical aspect of the study, such as existence, uniqueness and non-explosive solutions. We will weaken the…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…