Related papers: Semi-Markov processes, integro-differential equati…
The fractional Fokker-Planck equation, which contains a variable diffusion coefficient, is discussed and solved. It corresponds to the L\'evy flights in a nonhomogeneous medium. For the case with the linear drift, the solution is stationary…
We consider a model of a particle trapped in a harmonic optical trap but with the addition of a non-conservative radiation induced force. This model is known to correctly describe experimentally observed trapped particle statistics for a…
We construct a planar diffusion process whose infinitesimal generator depends only on the order of the components of the process. Speaking informally and a bit imprecisely for the moment, imagine you run two Brownian-like particles on the…
Fluctuation theorems are key to understanding both fundamental and applied aspects of non-equilibrium thermodynamics of small systems. We study the non-Markovian entropy production fluctuation theorem for the diffusion process of charged…
We consider different Markovian embedding schemes of non-Markovian stochastic processes that are described by generalized Langevin equations (GLE) and obey thermal detailed balance under equilibrium conditions. At thermal equilibrium…
We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing.…
We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the variance process is…
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related financial derivatives. Volterra processes are in general…
The quasi-coherent effects in two-dimensional incompressible turbulence are analyzed starting from the test particle trajectories. They can acquire coherent aspects when the stochastic potential has slow time variation and the motion is not…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
We introduce an abstract Hilbert space-valued framework of Markovian lifts for stochastic Volterra equations with operator-valued Volterra kernels. Our main results address the existence and characterisation of possibly multiple limit…
We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…
We introduce a pathwise integration for Volterra processes driven by L\'evy noise or martingale noise. These processes are widely used in applications to turbulence, signal processes, biology, and in environmental finance. Indeed they…
The non-Markovian continuous-time random walk model, featuring fat-tailed waiting times and narrow distributed displacements with a non-zero mean, is a well studied model for anomalous diffusion. Using an analytical approach, we recently…
We develop an Onsager-Machlup-type theory for nonequilibrium semi-Markov processes. Our main result is an exact large time asymptotics for the joint probability of the occupation times and the currents in the system, establishing some…
We introduce numerical methods for simulating the diffusive motion of rigid bodies of arbitrary shape immersed in a viscous fluid. We parameterize the orientation of the bodies using normalized quaternions, which are numerically robust,…
We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in…
Overdamped Brownian motion of a self-propelled particle is studied by solving the Langevin equation analytically. On top of translational and rotational diffusion, in the context of the presented model, the "active" particle is driven along…
We consider additive functionals of Markov processes in continuous time with general (metric) state spaces. We derive concentration bounds for their exponential moments and moments of finite order. Applications include diffusions,…
Motivated by entropic optimal transport, time reversal of diffusion processes is revisited. An integration by parts formula is derived for the carr\'e du champ of a Markov process in an abstract space. It leads to a time reversal formula…