Related papers: From Markovian to non-Markovian persistence expone…
We study the relation between L\'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L\'evy processes and nonlinear Markovian convolution…
We study the distance between the two rightmost particles in branching Brownian motion. Derrida and the second author have shown that the long-time limit $d_{12}$ of this random variable can be expressed in terms of PDEs related to the…
For certain natural families of topologies, we study continuity and stability of statistical properties of random walks on linear groups over local fields. We extend large deviation results known in the Archimedean case to non-Archimedean…
We investigate the first-passage dynamics of symmetric and asymmetric L\'evy flights in a semi-infinite and bounded intervals. By solving the space-fractional diffusion equation, we analyse the fractional-order moments of the first-passage…
In a general $C^1$ domain, we study the perturbative Cauchy theory for the Boltzmann equation with Maxwell boundary conditions with an accommodation coefficient $\alpha$ in $(\sqrt{2/3},1]$, and discuss this threshold. We consider…
Owing to the Chapman-Kolmogorov equation for Markovian dynamics,any equilibrium trajectory of a Brownian particle in a solvent fluid can be viewed as the superposition of an uncountable number of non-equilibrium states. This property…
It was recently proven that the correlation function of the stationary version of a reflected L\'evy process is nonnegative, nonincreasing and convex. In another branch of the literature it was established that the mean value of the…
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the…
We present the derivation of conserved tensors associated to higher-order symmetries in the higher derivative Maxwell Abelian gauge field theories. In our model, the wave operator of the higher derived theory is a $n$-th order polynomial…
In this review we discuss the persistence and the related first-passage properties in extended many-body nonequilibrium systems. Starting with simple systems with one or few degrees of freedom, such as random walk and random acceleration…
For characterizing the Brownian motion in a bounded domain: $\Omega$, it is well-known that the boundary conditions of the classical diffusion equation just rely on the given information of the solution along the boundary of a domain; on…
It is common, when dealing with quantum processes involving a subsystem of a much larger composite closed system, to treat them as effectively memory-less (Markovian). While open systems theory tells us that non-Markovian processes should…
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motions of i.i.d. lengths with i.i.d. directions. Assuming speed 1 and motions in the domain of beta-stable attraction, we prove functional limit…
The survival problem for a diffusing particle moving among random traps is considered. We introduce a simple argument to derive the quenched asymptotics of the survival probability from the Lifshitz tail effect for the associated operator.…
We collect some applications of the variational formula established by Schr\"oder (1988) and Rue\ss (2013) for the quenched Lyapunov exponent of Brownian motion in stationary and ergodic nonnegative potential. We show for example that the…
A `persistence exponent' $\theta$ is defined for nonequilibrium critical phenomena. It describes the probability, $p(t) \sim t^{-\theta}$, that the global order parameter has not changed sign in the time interval $t$ following a quench to…
We consider a one-dimensional run-and-tumble particle, or persistent random walk, in the presence of an absorbing boundary located at the origin. After each tumbling event, which occurs at a constant rate $\gamma$, the (new) velocity of the…
Turbulent suspensions of heavy particles in incompressible flows have gained much attention in recent years. A large amount of work focused on the impact that the inertia and the dissipative dynamics of the particles have on their dynamical…
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between…
We study a one-dimensional stochastic differential equation driven by a stable L\'evy process of order $\alpha$ with drift and diffusion coefficients $b,\sigma$. When $\alpha\in (1,2)$, we investigate pathwise uniqueness for this equation.…