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A multiscale analysis of 1D stochastic bistable reaction-diffusion equations with additive noise is carried out w.r.t. travelling waves within the variational approach to stochastic partial differential equations. It is shown with explicit…
The escape probability is a deterministic concept that quantifies some aspects of stochastic dynamics. This issue has been investigated previously for dynamical systems driven by Gaussian Brownian motions. The present work considers escape…
We consider the dynamics of a continuously monitored qubit in the limit of strong measurement rate where the quantum trajectory is described by a stochastic master equation with Poisson noise. Such limits are expected to give rise to…
We investigate a general class of models for swarming/self-collective behaviour in domains with boundaries. The model is expressed as a stochastic system of interacting particles subject to both reflecting boundary condition and common…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
In the paper, we consider the no-explosion condition and pathwise uniqueness for SDEs driven by a Poisson random measure with coefficients that are super-linear and non-Lipschitz. We give a comparison theorem in the one-dimensional case…
To bridge the gap between idealised communication models and the stochastic reality of networked systems, we introduce a framework for embedding asynchronous communication directly into algorithm dynamics using stochastic differential…
In this paper, a partially observed stochastic linear Stackelberg differential game with mean-variance criteria is studied. Randomness comes from Brownian motions and Poisson random measures. which leads to a circular dependency. We follow…
In this paper we study the classical solution to the master equation arising from mean-field games (MFGs) driven by jump-diffusion processes. The master equation, a nonlinear partial differential equation on Wasserstein space, characterizes…
In this paper, we investigate stochastic partial differential equations driven by multi-parameter anisotropic fractional Levy noises, including the stochastic Poisson equation, the linear heat equation, and the quasi-linear heat equation.…
Large populations of globally-coupled identical maps subjected to independent additive noise are shown to undergo qualitative changes as the features of the stochastic process are varied. We show that for strong coupling, the collective…
Stochastic storage models based on essentially non-Gaussian noise are considered. The stochastic description of physical systems based on stochastic storage models is associated with generalized Poisson (or shot) noise, in which the jump…
Constructing numerical models of noisy partial differential equations is very delicate. Our long term aim is to use modern dynamical systems theory to derive discretisations of dissipative stochastic partial differential equations. As a…
Semilinear stochastic evolution equations with multiplicative Poisson noise and monotone nonlinear drift are considered. We do not impose coercivity conditions on coefficients. A novel method of proof for establishing existence and…
In this paper, we establish a large deviation principle for a stochastic evolution equation which describes the system governing the nematic liquid crystals driven by pure jump noise. The proof is based on the weak convergence approach.
We derive a time-convolutionless master equation for the spin-boson model in the weak coupling limit. The temporarily negative decay rates in the master equation indicate short time memory effects in the dynamics which is explicitly…
We investigate the Poisson regression method for Markov and semi-Markov jump processes from a nonparametric angle, allowing the lengths of the time and duration intervals in the partition to vary with the number of observations. Imposing no…
We investigate the evolution of the quantum state for a free particle placed into a random external potential of white-noise type. The master equation for the density matrix is derived by means of path integral method. We propose an…
This paper considers stochastic population dynamics driven by Levy noise. The contributions of this paper lie in that (a) Using Khasminskii-Mao theorem, we show that the stochastic differential equation associated with the model has a…
We explore the properties of discrete-time stochastic processes with a bounded state space, whose deterministic limit is given by a map of the unit interval. We find that, in the mesoscopic description of the system, the large jumps between…