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We extend a model of positive feedback and contagion in large mean-field systems, by introducing a common source of noise driven by Brownian motion. Although the driving dynamics are continuous, the positive feedback effect can lead to…
We consider quantum Hamiltonian systems composed of mutually interacting "dynamical subsystem" with one or several degrees of freedom and "thermostat" with arbitrary many degrees of freedom, under assumptions that the interaction ensures…
The third Newton law for mean velocity fields is utilised to generate anomalous (enhanced) or non-dispersive diffusion-type processes which, in particular, can be interpreted as a probabilistic counterpart of the Schr\"{o}dinger picture…
Some limit theorems are proven for the linear oscillator with random coefficients. The asymptotic behaviour of the moments is studied in detail. The technique presented in this paper can be applied to general linear systems with noise and…
The derivation of a Moving Boundary Approximation or of the response of a coherent structure like a front, vortex or pulse to external forces and noise, is generally valid under two conditions: the existence of a separation of time scales…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
In this paper we characterise the global stability, global boundedness and recurrence of solutions of a scalar nonlinear stochastic differential equation. The differential equation is a perturbed version of a globally stable autonomous…
We study the large deviations of time-integrated observables of Markov diffusions that have perfectly reflecting boundaries. We discuss how the standard spectral approach to dynamical large deviations must be modified to account for such…
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approach (see [Bernoulli 15 (2009) 634--658,…
Linear diffusions are used to model a large number of stochastic processes in physics, including small mechanical and electrical systems perturbed by thermal noise, as well as Brownian particles controlled by electrical and optical forces.…
We study the isothermal Brownian dynamics of a particle in a system with spatially varying diffusivity. Due to the heterogeneity of the system, the particle's mean displacement does not vanish even if it does not experience any physical…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…
We prove the existence and uniqueness of a strong solution of a stochastic differential equation with normal reflection representing the random motion of finitely many globules. Each globule is a sphere with time-dependent random radius and…
The analysis of diffusive energy spreading in quantized chaotic driven systems, leads to a universal paradigm for the emergence of a quantum anomaly. In the classical approximation a driven chaotic system exhibits stochastic-like diffusion…
We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value $b$, we provide the limiting distribution for the amount of time that the workload process…
We investigate the impact of non-local perturbations on driven diffusive systems. Two different problems are considered here. In one case, we introduce a non-local particle conservation along the direction of the drive and in another case,…
Nonlinear diffusion is studied in the presence of multiplicative noise. The nonlinearity can be viewed as a ``wall'' limiting the motion of the diffusing field. A dynamic phase transition occurs when the system ``unbinds'' from the wall.…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
We discuss recent work on the static and dynamical properties of the asymmetric exclusion process, generalized to include the effect of disorder. We study in turn: random disorder in the properties of particles; disorder in the spatial…
In this work we study partial differential equations defined in a domain that moves in time according to the flow of a given ordinary differential equation, starting out of a given initial domain. We first derive a formulation for a…