Related papers: Approximation of stochastic processes by non-expan…
Stochastic dynamical systems arise naturally across nearly all areas of science and engineering. Typically, a dynamical system model is based on some prior knowledge about the underlying dynamics of interest in which probabilistic features…
We investigate stochastic averaging theory for locally Lipschitz discrete-time nonlinear systems with stochastic perturbation and its applications to convergence analysis of discrete-time stochastic extremum seeking algorithms. Firstly, by…
We derive the non-equilibrium fluctuations of one-dimensional symmetric simple exclusion processes in contact with slowed stochastic reservoirs which are regulated by a factor $n^{-\theta}$. Depending on the range of $\theta$ we obtain…
We consider certain random matrix eigenvalue dynamics, akin to Dyson Brownian motion, introduced by Rider and Valko. We show that from every initial condition, including ones involving coinciding coordinates, the dynamics, enhanced with…
The bidomain system of degenerate reaction-diffusion equations is a well-established spatial model of electrical activity in cardiac tissue, with "reaction" linked to the cellular action potential and "diffusion" representing current flow…
We extend flow matching to ensembles of linear systems in both deterministic and stochastic settings. Averaging over system parameters induces memory leading to a non-Markovian interpolation problem for the stochastic case. In this setting,…
In this work it is shown how the immersed boundary method of (Peskin2002) for modeling flexible structures immersed in a fluid can be extended to include thermal fluctuations. A stochastic numerical method is proposed which deals with…
Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…
We develop a class of non-Gaussian translation processes that extend classical stochastic differential equations (SDEs) by prescribing arbitrary absolutely continuous marginal distributions. Our approach uses a copula-based transformation…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
We construct non-negative martingale solutions to the stochastic porous medium equation in one dimension with homogeneous Dirichlet boundary conditions which exhibit a type of sticky behavior at zero. The construction uses the stochastic…
Stochastic processes are proposed whose master equations coincide with classical wave, telegraph, and Klein-Gordon equations. Similar to predecessors based on the Goldstein-Kac telegraph process, the model describes the motion of particles…
We present a stochastic version of the Cucker-Smale flocking dynamics based on a markovian $N$-particle system of pair interactions with unbounded and, in general, non-Lipschitz continuous interaction potential. We establish the infinite…
We derive exact expressions for the finite-time statistics of extrema (maximum and minimum) of the spatial displacement and the fluctuating entropy flow of biased random walks. Our approach captures key features of extreme events in…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
Markedly increased computational power and data acquisition have led to growing interest in data-driven inverse dynamics problems. These seek to answer a fundamental question: What can we learn from time series measurements of a complex…
The large-deviation method can be used to study the measurement trajectories of open quantum systems. For optical arrangements this formalism allows to describe the long time properties of the (non-equilibrium) photon counting statistics in…
A variety of real-world applications are modeled via hyperbolic conservation laws. To account for uncertainties or insufficient measurements, random coefficients may be incorporated. These random fields may depend discontinuously on the…
A system of stochastic differential equations describing diffusive phenomena, which has arbitrary friction depending on both state and distribution is investigated. The Smoluchowski-Kramers approximation is seen to describe dynamics in the…
This is a set of four lectures devoted to simple ideas about turbulent transport, a ubiquitous non-equilibrium phenomenon. In the course similar to that given by the author in 2006 in Warwick [45], we discuss lessons which have been learned…