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In this paper, we consider a subclass of piecewise deterministic Markov processes with a Polish state space that involve a deterministic motion punctuated by random jumps, occurring in a Poisson-like fashion with some state-dependent rate,…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
A key feature of the classical Fluctuation Dissipation theorem is its ability to approximate the average response of a dynamical system to a sufficiently small external perturbation from an appropriate time correlation function of the…
It was recently argued [Phys. Rev. Lett 108, 220402 (2012)] that the stochastic dynamics of an open quantum system are not inherent to the system, but rather depend on the existence and nature of a distant detector. The proposed…
This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L\'evy process and the switching part depends on the jump…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
A position-dependent stochastic diffusion model of gating in ion channels is developed by considering the spatial variation of the diffusion coefficient between the closed and open states. It is assumed that a sensor which regulates the…
Score-based diffusion models generate samples from an unknown target distribution using a time-reversed diffusion process. While such models represent state-of-the-art approaches in industrial applications such as artificial image…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-$m$ distribution. We show that the associated Master equation can be written as a spatial…
We investigate the two-points correlation function for several boundary-driven interacting particle systems. Our goal is to show that the time evolution of that correlation function is solution to a partial differential equation that can be…
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent by the process at a previous state of the underlying Markov…
We study interacting particle systems on the real line which generalize the Hammersley process [D. Aldous and P. Diaconis, Prob. Theory Relat. Fields 103, 199-213 (1995)]. Particles jump to the right to a randomly chosen point between their…
A Markovian single-server queue is studied in an interactive random environment. The arrival and service rates of the queue depend on the environment, while the transition dynamics of the random environment depends on the queue length. We…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…