Related papers: Jump Locations of Jump-Diffusion Processes with St…
The transition mechanism of jump processes between two different subsets in state space reveals important dynamical information of the processes and therefore has attracted considerable attention in the past years. In this paper, we study…
We study a two state ``jumping diffusivity'' model for a Brownian process alternating between two different diffusion constants, $D_{+}>D_{-}$, with random waiting times in both states whose distribution is rather general. In the limit of…
In this paper, we introduce a new jump process modeling which involves a particular kind of non-Gaussian stochastic processes with random jumps at random time points. The main goal of this study is to provide an accurate tracking technique…
Path-wise observables--functionals of stochastic trajectories--are at the heart of time-average statistical mechanics and are central to thermodynamic inequalities such as uncertainty relations, speed limits, and correlation-bounds. They…
We consider zero-range processes in ${\mathbb{Z}}^d$ with site dependent jump rates. The rate for a particle jump from site $x$ to $y$ in ${\mathbb{Z}}^d$ is given by $\lambda_xg(k)p(y-x)$, where $p(\cdot)$ is a probability in…
We study the spread of a quantum-mechanical wavepacket in a noisy environment, modeled using a tight-binding Hamiltonian. Despite the coherent dynamics, the fluctuating environment may give rise to diffusive behavior. When correlations…
Typical generative diffusion models rely on a Gaussian diffusion process for training the backward transformations, which can then be used to generate samples from Gaussian noise. However, real world data often takes place in discrete-state…
Within a concept of the fractional diffusion equation and subordination, the paper examines the influence of a competition between long waiting times and long jumps on the escape from the potential well. Applying analytical arguments and…
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the…
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…
In this paper we consider the distribution of the location of the path supremum in a fixed interval for self-similar processes with stationary increments. To this end, a point process is constructed and its relation to the distribution of…
Positioning systems in self-organizing networks generally rely on measurements such as delay and received signal strength, which may be difficult to obtain and often require dedicated equipment. An alternative to such approaches is to use…
This paper considers an $n$-particle jump-diffusion system with mean filed interaction, where the coefficients are locally Lipschitz continuous. We address the convergence as $n\to\infty$ of the empirical measure of the jump-diffusions to…
We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…
In this paper, we propose a new method to measure the probabilistic robustness of stochastic jump linear system with respect to both the initial state uncertainties and the randomness in switching. Wasserstein distance which defines a…
We evaluate the significance of a recently proposed bivariate jump-diffusion model for a data-driven characterization of interactions between complex dynamical systems. For various coupled and non-coupled jump-diffusion processes, we find…
In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models…
We study the connection between transport phenomenon and escape rate statistics in two-dimensional standard map. For the purpose of having an open phase space, we let the momentum co-ordinate vary freely and restrict only angle with…
This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further…