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We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…
We introduce and study a family of random processes with a discrete time related to products of random matrices. Such processes are formed by singular values of random matrix products, and the number of factors in a random matrix product…
We discuss uniform infinite causal triangulations and equivalence to the size biased branching process measure - the critical Galton-Watson branching process distribution conditioned on non-extinction. Using known results from the theory of…
Let $X_{i,n},n\in \mathbb{N},1\leq i\leq n$, be a triangular array of independent $\mathbb{R}^d$-valued Gaussian random vectors with correlation matrices $\Sigma_{i,n}$. We give necessary conditions under which the row-wise maxima converge…
One-dimensional reaction-diffusion systems are mapped through a similarity transformation onto integrable (and a priori non-stochastic) quantum chains. Time-dependent properties of these chemical models can then be found exactly. The…
We suggest measuring the one-particle density matrix of a trapped ultracold atomic cloud by scattering fast atoms in a pure momentum state off the cloud. The lowest-order probability for the process, resulting in a pair of outcoming fast…
We study in some generality intertwinings between $h$-transforms of Karlin-McGregor semigroups associated with one dimensional diffusion processes and those of their Siegmund duals. We obtain couplings so that the corresponding processes…
We extend the classical Douglas integral, which expresses the Dirichlet integral of a harmonic function on the unit disk in terms of its value on boundary, to the case of conservative symmetric diffusion in terms of Feller measure, by using…
Diffusion models for continuous state spaces based on Gaussian noising processes are now relatively well understood from both practical and theoretical perspectives. In contrast, results for diffusion models on discrete state spaces remain…
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general…
We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…
The purpose of this paper is to provide an exact formula for the second moment of the empirical correlation of two independent Gaussian random walks as well as implicit formulas for higher moments. The proofs are based on a symbolically…
Noncolliding diffusion processes reported in the present paper are $N$-particle systems of diffusion processes in one-dimension, which are conditioned so that all particles start from the origin and never collide with each other in a finite…
Some models of diffusion-limited reaction processes in one dimension lend themselves to exact analysis. The known approaches yield exact expressions for a limited number of quantities of interest, such as the particle concentration, or the…
Consider a locally finite Dawson-Watanabe superprocess $\xi=(\xi_t)$ in $\mathsf{R}^d$ with $d\geq2$. Our main results include some recursive formulas for the moment measures of $\xi$, with connections to the uniform Brownian tree, a…
Motivated by the task of computing normalizing constants and importance sampling in high dimensions, we study the dimension dependence of fluctuations for additive functionals of time-inhomogeneous Langevin-type diffusions on…
This work discusses the homogenization analysis for diffusion processes on scale-free metric graphs, using weak variational formulations. The oscillations of the diffusion coefficient along the edges of a metric graph induce internal…
When analyzing data from multiple sources, it is often convenient to strike a careful balance between two goals: capturing the heterogeneity of the samples and sharing information across them. We introduce a novel framework to model a…
We study the asymptotics of certain measures on partitions (the so-called z-measures and their relatives) in two different regimes: near the diagonal of the corresponding Young diagram and in the intermediate zone between the diagonal and…
In this paper, we study properties of the dual process and Schrodinger-type operators of a non-symmetric diffusion with measure-valued drift. Let mu=(mu^1,..., mu^d) be such that each mu^i is a signed measure on R^d belonging to the Kato…