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Kesten's stochastic recurrent equation is a classical subject of research in probability theory and its applications. Recently, it has garnered attention as a model for stochastic gradient descent with a quadratic objective function and the…
In this paper, we consider stationarity of a class of second-order stochastic evolution equations with memory, driven by Wiener processes or Levy jump processes, in Hilbert spaces. The strategy is to formulate by reduction some first-order…
This paper consider the LAN property for the mixed O-U process under high-frequency observation when H>3/4. As considered in mixed fractional Brownian motion, we will also use the projection step to get the non-diagonal rate matrix.
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time…
Adsorption to a surface, reversible-binding, and trapping are all prevalent scenarios where particles exhibit "stickiness". Escape and first-passage times are known to be drastically affected, but detailed understanding of this phenomenon…
This note is devoted to continuity results of the time derivative of the solution to the one-dimensional parabolic obstacle problem with variable coefficients. It applies to the smooth fit principle in numerical analysis and in financial…
By using a change of scale and space, we study a class of stochastic differential equations (SDEs) whose solutions are drift--perturbed and exhibit behaviour analogous to standard Brownian motion including to the Law of the Iterated…
Based on a system-reservoir model, where the reservoir is driven by an external stationary, Gaussian noise with arbitrary decaying correlation function, we study the escape rate from a metastable state in the energy diffusion regime. For…
We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $\varepsilon ^2$. When $\varepsilon =0$ such equations have an unstable non-hyperbolic fixed point and the drift…
We study the escape problem for interacting, self-propelled particles confined to a disc, where particles can exit through one open slot on the circumference. Within a minimal 2D Vicsek model, we numerically study the statistics of escape…
By using absolutely continuous lower bounds of the L\'evy measure, explicit gradient estimates are derived for the semigroup of the corresponding L\'evy process with a linear drift. A derivative formula is presented for the conditional…
Classical escape in 2D Hamiltonian systems with the mixed state has been studied numerically and analytically. The wide class of potentials with the mixed state is presented by polinomial potentials. In potentials, where the mixed state…
The paper is concerned with one-dimensional two-sided Ornstein-Uhlenbeck type processes with delay or anticipation. We prove existence and uniqueness requiring almost sure boundedness on the left half-axis in case of delay and almost sure…
The scientific question resolved by this paper is that the continuity equation appears as an equivalent language of the system of first-order linear ODE. The main result characterizes the fact that the continuity equation contains…
We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
The double row transfer matrix of the open O(N) spin chain is diagonalized and the Bethe Ansatz equations are also derived by the algebraic Bethe Ansatz method including the so far missing case when the residual symmetry is…
We characterise the nonequilibrium stationary state of a generic multivariate Ornstein-Uhlenbeck process involving $N$ degrees of freedom. The irreversibility of the process is encoded in the antisymmetric part of the Onsager matrix. The…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
The purpose of this article is to derive the crossover from the Ornstein-Uhlenbeck process to energy solutions of the stochastic Burgers equation with characteristic operators given in terms of fractional operators, such as the regional…