Related papers: Recurrence and Ergodicity of Switching Diffusions …
By means of rather general arguments, based on an approach due to Derrida that makes use of samples of finite size, we analyse the effective diffusivity and drift tensors in certain types of random medium in which the motion of the…
This paper is devoted to the study of a stochastic process obtained by random switching between a finite collection of vector fields. Such processes have recently been the focus of much attention in the case where the switching times are…
We study a diffusion process with random space-time dependent coefficients. Moreover the diffusion matrix is allowed to degenerate. An invariance principle is proved provided that the diffusion coefficient is controlled by a time…
We quantitatively study the interaction between diffusion and mixing in both the continuous, and discrete time setting. In discrete time, we consider a mixing dynamical system interposed with diffusion. In continuous time, we consider the…
We consider statistical inference for a class of dynamic mixed-effect models described by stochastic differential equations whose drift and diffusion coefficients simultaneously depend on fixed- and random-effect parameters. Assuming that…
We present a new decomposition of transfer entropy to characterize the degree of synergy- and redundancy-dominated influence a time series has upon the interaction between other time series. We prove the existence of a class of time series,…
We analyse how the sampling dynamics of distributions evolve in score-based diffusion models using cross-fluctuations, a centered-moment statistic from statistical physics. Specifically, we show that starting from an unbiased isotropic…
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…
Stochastic systems feature, in general, both coherent dynamics and incoherent transitions between different states. We propose a method to identify the coherent part in the full counting statistics for the transitions. The proposal is…
The time series theory is set in this work under the domain of general elliptically contoured distributions. The advent of a time series approach that is in accordance with the expected reality of dependence between errors, transfers the…
We consider a model for a population in a heterogeneous environment, with logistic type local population dynamics, under the assumption that individuals can switch between two different nonzero rates of diffusion. Such switching behavior…
We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…
Systems are studied in which transport is possible due to large extension with open boundaries in certain directions but the particles responsible for transport can disappear from it by leaving it in other directions, by chemical reaction…
We study noisy heterogeneous diffusion processes with a position dependent diffusivity of the form $D(x)\sim D_0|x|^\alpha$ in the presence of annealed and quenched disorder of the environment, corresponding to an effective variation of the…
We show the relation between processes which are modeled by a Langevin equation with multiplicative noise and infinite ergodic theory. We concentrate on a spatially dependent diffusion coefficient that behaves as ${D(x)}\sim…
We quantify nonergodic and aging behaviors of nanocrystals (or quantum dots) based on stochastic model. Ergodicity breaking is characterized based on time average intensity and time average correlation function, which remain random even in…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
We study the diffusion of a particle with a time-dependent diffusion constant $D(t)$ that switches between random values drawn from a distribution $W(D)$ at a fixed rate $r$. Using a renewal approach, we compute exactly the moments of the…
We examine characteristic properties of deterministic and stochastic diffusion in low-dimensional chaotic dynamical systems. As an example, we consider a periodic array of scatterers defined by a simple chaotic map on the line. Adding…
We study the typical behavior of random walkers on the microcanonical configuration space of mean-field disordered systems. Passive walks have an ergodicity-breaking transition at precisely the energy density associated with the dynamical…