Related papers: Variational calculus for diffusions
We give a variational formulation for $-\log\mathbb{E}_\nu\left[e^{-f}|\mathcal{F}_t\right]$ for a large class of measures $\nu$. We give a refined entropic characterization of the invertibility of some perturbations of the identity. We…
We provide a framework to derive a variational formulation for $-\log\mathbb{E}_\nu\left[e^{-f}\right]$ for a large class of measures $\nu$. We use a family of perturbations of the identity $(W^u)$ whose invertibility we characterize thanks…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…
Invariant conditions for conformable fractional problems of the calculus of variations under the presence of external forces in the dynamics are studied. Depending on the type of transformations considered, different necessary conditions of…
We give a proper fractional extension of the classical calculus of variations. Necessary optimality conditions of Euler-Lagrange type for variational problems containing both classical and fractional derivatives are proved. The fundamental…
Using the asymmetric fractional calculus of variations, we derive a fractional Lagrangian variational formulation of the convection-diffusion equation in the special case of constant coefficients.
The inversion theorem and convolution theorem of the conformable fractional Laplace transforms are developed. All the elementary properties of the classical Laplace transform are extended to the conformable fractional transform, and using…
We consider Brownian particles immersed in the fluid which flow is turbulent. We study the limit where the particles' inertia is weak and their velocity relaxes fast to the velocity of the flow. The trajectories of the particles in this…
We obtain a non-linear generalization of the relativistic diffusion of particles with spin. We discuss diffusion equations whose non-linearity is a consequence of quantum statistics. We show that the assumptions of the relativistic…
We consider a diffusion process in $\mathbb{R}^d$ with a generator of the form $ L:=\frac 12 e^{V(x)}div(e^{-V(x)}\nabla ) $ where $V$ is measurable and periodic. We only assume that $e^V$ and $e^{-V}$ are locally integrable. We then show…
The purpose of this paper is to establish a variational representation \log \E [e^{f(B)}] = \sup_h \E [f(B + \int_0^{\cdot} d<B>_s h_s) - 1/2 \int_0^1 h_s \cdot (d<B>_s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here \E…
There remains a useful relation between diffusion and mobility for a Langevin particle in a periodic medium subject to nonconservative forces. The usual fluctuation-dissipation relation easily gets modified and the mobility matrix is no…
The detailed fluctuation theorems of the exact form $P(A)/P(-A)=e^A$ exist only for a handful of variables $A$, namely for work (Crooks theorem), for total entropy change (Seifert's theorem), etc. However, the so-called modified detailed…
Diffusion of small particles is omnipresent in a plentiful number of processes occurring in Nature. As such, it is widely studied and exerted in almost all branches of sciences. It constitutes such a broad and often rather complex subject…
We give a proper fractional extension of the classical calculus of variations by considering variational functionals with a Lagrangian depending on a combined Caputo fractional derivative and the classical derivative. Euler-Lagrange…
We consider an equation with drift and either critical or supercritical fractional diffusion. Under a regularity assumption for the vector field that is marginally stronger than what is required for Holder continuity of the solutions, we…
Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…
The Bou\'e-Dupuis variational formula gives a representation for log Laplace transforms of bounded measurable functions of a finite dimensional Brownian motion on a compact time interval as an infimum of a suitable cost over a collection of…
We introduce a fractional theory of the calculus of variations for multiple integrals. Our approach uses the recent notions of Riemann-Liouville fractional derivatives and integrals in the sense of Jumarie. Main results provide fractional…