Related papers: Feynman-Kac equation for anomalous processes with …
It is well-known that compositions of Markov processes with inverse subordinators are governed by integro-differential equations of generalized fractional type. This kind of processes are of wide interest in statistical physics as they are…
We investigate the observables of the one-dimensional model for anomalous transport in semiconductor devices where diffusion arises from scattering at dislocations at fixed random positions, known as L\'evy-Lorentz gas. To gain insight into…
The use of reaction-diffusion models rests on the key assumption that the underlying diffusive process is Gaussian. However, a growing number of studies have pointed out the prevalence of anomalous diffusion, and there is a need to…
Fractional kinetic equations employ non-integer calculus to model anomalous relaxation and diffusion in many systems. While this approach is well explored, it so far failed to describe an important class of transport in disordered systems.…
Many physical, biological or social systems are governed by history-dependent dynamics or are composed of strongly interacting units, showing an extreme diversity of microscopic behaviour. Macroscopically, however, they can be efficiently…
The Feynman-Kac formula provides a way to understand solutions to elliptic partial differential equations in terms of expectations of continuous time Markov processes. This connection allows for the creation of numerical schemes for…
Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these…
In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional L\'{e}vy process with moments of all orders. The results are important from a…
Diffusion in nonhomogeneous media is described by a dynamical process driven by a general Levy noise and subordinated to a random time; the subordinator depends on the position. This problem is approximated by a multiplicative process…
We consider a continuous random walk model for describing normal as well as anomalous diffusion of particles subjected to an external force when these particles diffuse in a uniformly expanding (or contracting) medium. A general equation…
The transport equation of active motion is generalised to consider time-fractional dynamics for describing the anomalous diffusion of self-propelled particles observed in many different systems. In the present study, we consider an…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
Functionals of particles' paths have diverse applications in physics, mathematics, hydrology, economics, and other fields. Under the framework of continuous time random walk (CTRW), the governing equations for the probability density…
We study large deviations principles for $ N $ random processes on the lattice $ \Z^d $ with finite time horizon $ [0,\beta] $ under a symmetrised measure where all initial and terminal points are uniformly given by a random permutation.…
This article develops a methodology allowing application of the complete machinery of particle-based inference methods upon the class of continuous-discrete State Space Models (CD-SSMs). Such models correspond to a latent continuous-time…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
We are discussing long-time, scaling limit for the anomalous diffusion composed of the subordinated L\'evy-Wiener process. The limiting anomalous diffusion is in general non-Markov, even in the regime, where ensemble averages of a…
We propose an interpolation expression using the difference moment (Kolmogorov transient structural function) of the second order as the average characteristic of displacements for identifying the anomalous diffusion in complex processes…
The L\'evy walk model is a stochastic framework of enhanced diffusion with many applications in physics and biology. Here we investigate the time averaged mean squared displacement $\bar{\delta^2}$ often used to analyze single particle…