Related papers: Jump Locations of Jump-Diffusion Processes with St…
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…
We perform a detailed comparison between a Markov Switching Jump Diffusion Model and a Markov Switching {\alpha}-Stable Distribution Model with respect to the analysis of non-stationary data. We show that the jump diffusion model is…
We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…
Point processes often have a natural interpretation with respect to a continuous process. We propose a point process construction that describes arrival time observations in terms of the state of a latent diffusion process. In this…
Data-dependent metrics are powerful tools for learning the underlying structure of high-dimensional data. This article develops and analyzes a data-dependent metric known as diffusion state distance (DSD), which compares points using a…
Dynamical systems having many coexisting attractors present interesting properties from both fundamental theoretical and modelling points of view. When such dynamics is under bounded random perturbations, the basins of attraction are no…
We establish a general framework using a diffusion approximation to simulate forward-in-time state counts or frequencies for cladogenetic state-dependent speciation-extinction (ClaSSE) models. We apply the framework to various two- and…
We present a general model allowing one to calculate the distribution function of energetic particles in the interstellar medium, and hence any relevant nuclear reaction rate, for any given time-dependent injection function, as well as in…
Inspired by many examples in nature, stochastic resetting of random processes has been studied extensively in the past decade. In particular, various models of stochastic particle motion were considered where upon resetting the particle is…
We discuss a reaction-diffusion model in one dimension subjected to an external driving force. Each lattice site may be occupied by at most one particle. The particles hop with asymmetric rates (the sum of which is one) to the right or left…
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion…
We experimentally investigate the steady states of two granular assemblies differing in their material properties and allowed to exchange volume with each other under external agitation in the vicinity of their jamming transition. We…
We present a stochastic mean-reverting jump-diffusion model to simulate rainfall time series and validate it using long-term half-hourly rain fall data from the North-East region of India. The model captures the intermittent and…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
In this paper, we study formal synthesis of control policies for partially observed jump-diffusion systems against complex logic specifications. Given a state estimator, we utilize a discretization-free approach for formal synthesis of…
We consider a one-dimensional stochastic reaction-diffusion generalizing the totally asymmetric simple exclusion process, and aiming at describing single lane roads with vehicles that can change speed. To each particle is associated a jump…
The random walk process in a nonhomogeneous medium, characterised by a L\'evy stable distribution of jump length, is discussed. The width depends on a position: either before the jump or after that. In the latter case, the density slope is…
The most frequently used in physical application diffusive (based on the Fokker-Planck equation) model leans upon the assumption of small jumps of a macroscopic variable for each given realization of the stochastic process. This imposes…
We analyze the thermodynamic structure of jump diffusions combining Brownian and Poisson noise, a class of stochastic dynamics relevant to nonequilibrium statistical physics. For such nonlocal dynamics, the free energy admits a full…