Related papers: Semi-Markov processes, integro-differential equati…
We investigate the dynamics of tracer particles in the random average process (RAP), a single-file system in one dimension. In addition to the position, every particle possesses an internal spin variable $\sigma (t)$ that can alternate…
In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
Intracellular transport of organelles is fundamental to cell function and health. The mounting evidence suggests that this transport is in fact anomalous. However, the reasons for the anomaly is still under debate. We examined experimental…
We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of…
Inertial effects in fluctuations of the work to sustain a system in a nonequilibrium steady state are discussed for a dragged massive Brownian particle model using a path integral approach. We calculate the work distribution function in the…
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
Tracer tests in natural porous media sometimes show abnormalities that suggest considering a fractional variant of the Advection Diffusion Equation supplemented by a time derivative of non-integer order. We are describing an inverse method…
We consider the influence of active speed fluctuations on the dynamics of a $d$-dimensional active Brownian particle performing a persistent stochastic motion. We use the Laplace transform of the Fokker-Planck equation to obtain exact…
We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non--Markovian point process exhibit power--law scaling. We…
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model…
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither…
We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…
We study the stationary states of an over-damped active Brownian particle (ABP) in a harmonic trap in two dimensions, via mathematical calculations and numerical simulations. In addition to translational diffusion, the ABP self-propels with…
We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcoming which hinders their large-time analysis. We circumvent…
Active and diffusive motion in Brownian particles are regularly observed in fluidic environments, albeit at different time scales. Here, we experimentally study the dynamics of highly asymmetric microclusters trapped in air employing…
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our framework encompasses a large class of stochastic linear…
We investigate a local modification of a variable-order fractional wave equation, which describes the propagation of diffusive wave in viscoelastic media with evolving physical property. We incorporate an equivalent formulation to prove the…
Motivated by nanoscale growth of ultra-thin films, we study a model of deposition, on an interval substrate, of particles that perform Brownian motions until any two meet, when they nucleate to form a static island, which acts as an…