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The coupling between advection and diffusion in position space can often lead to enhanced mass transport compared to diffusion without flow. An important framework used to characterize the long-time diffusive transport in position space is…
The polar representation theorem for the n-dimensional time-dependent linear Hamiltonian system with continuous coefficients, states that, given two isotropic solutions (Q1, P1) and (Q2, P2), with the identity matrix as Wronskian,the…
We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…
We consider Schr\"odinger operators $H$ on $R^n$ with variable coefficients. Let $H_0=-\frac12\triangle$ be the free Schr\"odinger operator and we suppose $H$ is a "short-range" perturbation of $H_0$. Then, under the nontrapping condition,…
In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous function of the FSDE. Such an FBSDE is associated with a…
Our Recent advancements in stochastic processes have illuminated a paradox associated with the Einstein model of Brownian motion. The model predicts an infinite propagation speed, conflicting with the second law of thermodynamics. The…
One of the unitary forms of the quantum mechanical time evolution operator is given by Cayley's approximation. A numerical implementation of the same involves the replacement of second derivatives in Hamiltonian with the three-point…
We introduce a framework for approximate dynamic programming that we apply to discrete time chains on $\mathbb{Z}_+^d$ with countable action sets. Our approach is grounded in the approximation of the (controlled) chain's generator by that…
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\}$ of a continuous local martingale $M$ is itself a continuous local martingale. We give a necessary and sufficient condition for the process $Z$ to be a true martingale in the…
We investigate the rate functions that emerge in our previous works towards large deviation principle for the matrix liberation process driven by the unitary Brownian motion as well as the unitary Brownian motion itself. Our approach is…
The non-Markovian behaviour of open quantum systems interacting with a reservoir can often be described in terms of a time-local master equation involving a time-dependent generator which is not in Lindblad form. A systematic perturbation…
We derive a Markovian master equation that models the evolution of systems subject to driving and control fields. Our approach combines time rescaling and weak-coupling limits for the system-environment interaction with a secular…
We consider a finite family of invertible $2 \times 2$ real matrices and a transitive Markov shift on the index set. Let $\lambda$ be the top Lyapunov exponent for random matrix products driven by the Markov shift. We prove that, if the…
Martingale representation theorem for set-valued martingales was proposed by M. Kisielewicz [J. Math. Anal. Appl. 2014]. We shall prove that the result holds only for very special case: the set-valued martingale degenerates to the…
The key factor currently limiting the advancement of computational power of electronic computation is no longer the manufacturing density and speed of components, but rather their high energy consumption. While it has been widely argued…
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space…
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale…
This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…
We define a time dependent empirical process based on $n$ independent fractional Brownian motions and describe strong approximations to it by Gaussian processes. They lead to strong approximations and functional laws of the iterated…
We describe a method for removing the numerical errors in the modeling of linear evolution equations that are caused by approximating the time derivative by a finite difference operator. The method is based on integral transforms realized…