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We study Markov processes associated with stochastic differential equations, whose non-linearities are gradients of convex functionals. We prove a general result of existence of such Markov processes and a priori estimates on the transition…
This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…
The over-damped motion of a Brownian particle in an asymmetric, bistable, fluctuating potential shows noise induced stability: For intermediate fluctuation rates the mean occupancy of minima with an energy above the absolute minimum is…
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…
The complete physical understanding of the optimization of the thermodynamic work still is an important open problem in stochastic thermodynamics. We address this issue using the Hamiltonian approach of linear response theory in finite time…
A dilute suspension of motile microorganisms subjected to a strong ambient flow, such as algae in the ocean, can be modelled as a population of non-interacting, orientable active Brownian particles (ABPs). Using the Smoluchowski equation…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…
Recently, it has been shown that stochastic spatial Lotka-Volterra models when suitably rescaled can converge to a super Brownian motion. We show that the limit process could be a super stable process if the kernel of the underlying motion…
We consider motion of an overdamped Brownian particle subject to stochastic resetting in one dimension. In contrast to the usual setting where the particle is instantaneously reset to a preferred location (say, the origin), here we consider…
Spatially isotropic max-stable processes have been used to model extreme spatial or space-time observations. One prominent model is the Brown-Resnick process, which has been successfully fitted to time series, spatial data and space-time…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
Stochastic dynamics in the energy representation is employed as a method to study non-equilibrium Brownian-like systems. It is shown that the equation of motion for the energy of such systems can be taken in the form of the Langevin…
The continued-fraction method to solve classical Fokker--Planck equations has been adapted to tackle quantum master equations of the Caldeira--Leggett type. This can be done taking advantage of the phase-space (Wigner) representation of the…
In this paper we focus on the pathwise stability of mild solutions for a class of stochastic partial differential equations which are driven by switching-diffusion processes with jumps. In comparison to the existing literature, we show…
The intermittent on-off switching of feedback control is considered as a major mechanism of postural stabilization during human quiet standing, which can be modeled by switched-type hybrid stochastic delay differential equations with…
We study the Einstein-Maxwell system of equations in spherically symmetric gravitational fields for static interior spacetimes. The condition for pressure isotropy is reduced to a recurrence equation with variable, rational coefficients. We…
We consider an interacting particle system modeled as a system of $N$ stochastic differential equations driven by Brownian motions. We prove that the (mollified) empirical process converges, uniformly in time and space variables, to the…
We solve the time-dependent Fokker-Planck equation for a two-dimensional active Brownian particle exploring a rectangular domain with absorbing boundary and in the presence of a parabolic barrier along one direction. By taking those of a…