Related papers: An introduction to stochastic processes associated…
Stochastic processes are proposed whose master equations coincide with classical wave, telegraph, and Klein-Gordon equations. Similar to predecessors based on the Goldstein-Kac telegraph process, the model describes the motion of particles…
This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school…
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We…
We address the problem of estimating steady-state quantities associated to systems of stochastic chemical kinetics. In most cases of interest these systems are analytically intractable, and one has to resort to computational methods to…
We study large deviations for the current of one-dimensional stochastic particle systems with periodic boundary conditions. Following a recent approach based on an earlier result by Jensen and Varadhan, we compare several candidates for…
Starting from a simple definition of stationary regime in first-order relaxation processes, we obtain that experimental results are to be fitted to a power-law when approaching the stationary limit. On the basis of this result we propose a…
We present a reformulation of unsteady turbulent flow simulations. The initial condition is relaxed and information is allowed to propagate both forward and backward in time. Simulations of chaotic dynamical systems with this reformulation…
We propose a new formulation of stochastic thermodynamics for systems subjected to nonequilibrium constraints (i.e. broken detailed balance at steady state) and furthermore driven by external time-dependent forces. A splitting of the second…
We study general stochastic birth and death processes including delay. We develop several approaches for the analytical treatment of these non-Markovian systems, valid, not only for constant delays, but also for stochastic delays with…
The methods of the probability theory have been used in order to build up a new model of hysteresis. It turns out that the reversal points of the control parameter (e. g., the magnetic field) are Markov points which determine the stochastic…
Finding upper limits on the rate of events from a proposed process in the presence of unknown backgrounds is an often encountered problem in the search for rare processes. Methods based on unusually large "gaps", or spacings, in the event…
Based on the wavelet-defined multiscale random noise proposed in [Doklady Physics 2003, v.48, 478], a multiscale version of the stochastic quantization procedure is considered. A new type of the commutation relations emerging from the…
Motivated by the study of the metastable stochastic Ising model at subcritical temperature and in the limit of a vanishing magnetic field, we extend the notion of ($\kappa$, $\lambda$)-capacities between sets, as well as the associated…
Coupled dynamical systems with one slow element and many fast elements are analyzed. By averaging over the dynamics of the fast variables, the adiabatic kinetic branch is introduced for the dynamics of the slow variable in the adiabatic…
For Markov processes evolving on multiple time-scales a combination of large component scalings and averaging of rapid fluctuations can lead to useful limits for model approximation. A general approach to proving a law of large numbers to a…
The estimation of the covariance function of a stochastic process, or signal, is of integral importance for a multitude of signal processing applications. In this work, we derive closed-form expressions for the variance of covariance…
This work develops new results for stochastic approximation algorithms. The emphases are on treating algorithms and limits with discontinuities. The main ingredients include the use of differential inclusions, set-valued analysis, and…
The process of fluctuations of trajectory observables of stochastic systems is related to processes with independent increments from the risk theory. The first-passage times of variables of the thermodynamics of trajectories, in particular,…
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…