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"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called "Belavkin" or "Stochastic Schr\"odinger Equations" and describe random phenomena in continuous measurement theory of Open…
The authors present a method of indicator random processes, applicable to constructing models of jump processes associated with diffusion process. Indicator random processes are processes that take only two values: 1 and 0, in accordance…
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.…
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal integrability conditions, the kernel can be approximated by…
We perform a thorough analysis of the relationship between discrete and series representation path integral methods, which are the main numerical techniques used in connection with the Feynman-Kac formula. First, a new interpretation of the…
In this article we study the long time behavior of linear functionals of branching diffusion processesas well as the time reversal of the spinal process by means of spectral properties of the Feynman-Kacsemigroup. We generalize for this non…
We review some recent results concerning the derivation of the diffusion equation and the validation of Fick's law for the microscopic model given by the random Lorentz Gas. These results are achieved by using a linear kinetic equation as…
The exit time probability, which gives the likelihood that an initial condition leaves a prescribed region of the phase space of a dynamical system at, or before, a given time, is arguably one of the most natural and important transport…
The Pitman-Yor process is a random discrete measure. The random weights or masses follow the two-parameter Poisson-Dirichlet distribution with parameters $0<\alpha<1, \theta>-\alpha$. The parameters $\alpha$ and $\theta$ correspond to the…
We introduce diffusions on a space of interval partitions of the unit interval that are stationary with the Poisson-Dirichlet laws with parameters $(\alpha,0)$ and $(\alpha,\alpha)$. The construction has two steps. The first is a general…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
In a closed single-particle quantum system, spatial disorder induces Anderson localization of eigenstates and halts wave propagation. The phenomenon is vulnerable to interaction with environment and decoherence, that is believed to restore…
We introduce a novel class of generative models based on piecewise deterministic Markov processes (PDMPs), a family of non-diffusive stochastic processes consisting of deterministic motion and random jumps at random times. Similarly to…
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…
Collective diffusion coefficient in a two-dimensional lattice gas on a nonhomogeneous substrate is investigated using variational approach. Particles reside at adsorption sites with different well depths potentials and jump randomly between…
The paper examines a class of first order linear hyperbolic systems, proposed as a generalization of the Goldstein-Kac model for velocity-jump processes and determined by a finite number of speeds and corresponding transition rates. It is…
In classical diffusion, particle step-sizes have a Gaussian distribution. However, in superdiffusion, they have power-law tails, with transport dominated by rare, long L\'evy flights. Similarly, if the time interval between scattering…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
Anomalous diffusion and L\'evy flights, which are characterized by the occurrence of random discrete jumps of all scales, have been observed in a plethora of natural and engineered systems, ranging from the motion of molecules to climate…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…