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A fluctuation law of the energy in freely-decaying, homogeneous and isotropic turbulence is derived within standard closure hypotheses for 3D incompressible flow. In particular, a fluctuation-dissipation relation is derived which relates…
The long-time/large-scale, small-friction asymptotic for the one dimensional Langevin equation with a periodic potential is studied in this paper. It is shown that the Freidlin-Wentzell and central limit theorem (homogenization) limits…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
A random walk problem with particles on discrete double infinite linear grids is discussed. The model is based on the work of Montroll and others. A probability connected with the problem is given in the form of integrals containing…
Score-based diffusion models have proven effective in image generation and have gained widespread usage; however, the underlying factors contributing to the performance disparity between stochastic and deterministic (i.e., the probability…
This paper considers the problem of minimizing the time average of a controlled stochastic process subject to multiple time average constraints on other related processes. The probability distribution of the random events in the system is…
The diffusion of a fractional Brownian particle passing over the saddle point is studied in the field of the metastable potential. The barrier escaping probability is found to be greatly related to the fractional exponent $\alpha$.…
A correlated random walk approach to diffusion is applied to the disordered nonoverlapping Lorentz gas. By invoking the Lu-Torquato theory for chord-length distributions in random media [J. Chem. Phys. 98, 6472 (1993)], an analytic…
Random walks are studied on disordered cellular networks in 2-and 3-dimensional spaces with arbitrary curvature. The coefficients of the evolution equation are calculated in term of the structural properties of the cellular system. The…
A fractional diffusion equation with advection term is rigorously derived from a kinetic transport model with a linear turning operator, featuring a fat-tailed equilibrium distribution and a small directional bias due to a given vector…
We point out a connection between anomalous quantum transport in an optical lattice and Tsallis' generalized thermostatistics. Specifically, we show that the momentum equation for the semiclassical Wigner function that describes atomic…
Anomalous subdiffusion characterizes transport in diverse physical systems and is especially prevalent inside biological cells. In cell biology, the prevailing model for chemical activation rates has recently changed from the first passage…
We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those…
In population genetics, diffusions on the unit interval are often used to model the frequency path of an allele. In this setting we derive approximations for fixation probabilities, expected hitting times and the expected…
A relation between the effective diffusion coefficient in a lattice with random site energies and random trasition rates and the macroscopic conductivity in a random resistor network allows for elucidating possible sources of anomalous…
We study a Follow-the-Leader (FtL) ODE model for traffic flow with rough road condition, and analyze stationary traveling wave profiles where the solutions of the FtL model trace along, near the jump in the road condition. We derive a…
We consider an one-dimensional conservation law with random space-time forcing and calculate using large deviations the exponentially small probabilities of anomalous shock profile displacements. Under suitable hypotheses on the spatial…
Employing time-dependent projection formalism, a Fokker-Planck equation with non-Markovian transport coefficients is derived for large amplitude collective motion. Properties of transport coefficients for diffusion processes in a potential…
The theory of finite-size scaling explains how the singular behavior of thermodynamic quantities in the critical point of a phase transition emerges when the size of the system becomes infinite. Usually, this theory is presented in a…
This work is concerned with Freidlin-Wentzell type large deviation principle for a family of multi-scale quasilinear and semilinear stochastic partial differential equations. Employing the weak convergence method and Khasminskii's time…