Related papers: Infinite Ergodic Theory for Heterogeneous Diffusio…
In this paper, we study systems of $N$ interacting particles described by the classical and relativistic Langevin dynamics with singular forces and multiplicative noises. For the classical model, we prove the ergodicity, obtaining an…
Many complex systems are described by Langevin-type equations in which the noise exhibits long-range correlations and couples to the system in a state-dependent, multiplicative manner, leading to heterogeneous non-Markovian diffusion. Here,…
We analyze diffusion processes with finite propagation speed in a non-homogeneous medium in terms of the heterogeneous telegrapher's equation. In the diffusion limit of infinite-velocity propagation we recover the results for the…
We consider the problem of density estimation in the context of multiscale Langevin diffusion processes, where a single-scale homogenized surrogate model can be derived. In particular, our aim is to learn the density of the invariant…
A detailed study of the mean-field solution of Langevin equations with multiplicative noise is presented. Three different regimes depending on noise-intensity (weak, intermediate, and strong-noise) are identified by performing a…
The state-dependent diffusion, which concerns the Brownian motion of a particle in inhomogeneous media has been described phenomenologically in a number of ways. Based on a system-reservoir nonlinear coupling model we present a microscopic…
Reaction-diffusion systems which include processes of the form A+A->A or A+A->0 are characterised by the appearance of `imaginary' multiplicative noise terms in an effective Langevin-type description. However, if `real' as well as…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
We prove explicit and sharp two-sided estimates for the transition density of the Langevin process with quadratic potential, killed outside of the position interval (0,1). The long-time asymptotics of this transition density are also…
A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…
The Langevin equation is ubiquitously employed to numerically simulate plasmas, colloids and electrolytes. However, the usual assumption of white noise becomes untenable when the system is subject to an external AC electric field. This is…
We study Langevin dynamics with noise projected onto the directions orthogonal to an isometric group action. This mathematical model is introduced to shed new light on the effects of symmetry on stochastic gradient descent for…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential…
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…
Recently, anomalous subdiffusion, aging, and scatter of the diffusion coefficient have been reported in many single-particle-tracking experiments, though origins of these behaviors are still elusive. Here, as a model to describe such…
We solve the generalized Langevin equation driven by a stochastic force with power-law autocorrelation function. A stationary Markov process has been applied as a model of the noise. However, the resulting velocity variance does not…
We study the asymptotic properties of the trajectories of a discrete-time random dynamical system in an infinite-dimensional Hilbert space. Under some natural assumptions on the model, we establish a multiplica-tive ergodic theorem with an…
A Langevin equation is suggested to describe a system driven by correlated Gaussian white noise as well as with positive and negative damping demarcated by a critical velocity. The equation can be transformed into the Fokker-Planck equation…