Related papers: Relaxation Functions of Ornstein-Uhlenbeck Process…
In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
We study a dynamic model of relaxor ferroelectrics based on the spherical random-bond---random-field model and the Langevin equations of motion. The solution to these equations is obtained in the long-time limit where the system reaches an…
We study the Langevin dynamics of diffusive particles with regular pairwise interactions under mean-field scaling. By approximating empirical distributions with conditional distributions, we establish coercive and contractive properties for…
The Ornstein-Uhlenbeck process may be used to generate a noise signal with a finite correlation time. If a one-dimensional stochastic process is driven by such a noise source, it may be analysed by solving a Fokker-Planck equation in two…
We use molecular dynamics computer simulations to study the relaxation dynamics of Na2O-2(SiO2) in its molten, highly viscous state. We find that at low temperatures the incoherent intermediate scattering function for Na relaxes about 100…
In this paper, we derive general theorems for controlling (vector-valued) first order ordinary differential equations such that its solutions stop at a finite time $T>0$ and apply them to relaxation and dissipative oscillation processes. We…
We study the thermodynamics of the (2+1) dimensional Gross-Neveu model inspired from graphene. We focus on the entropy density of the Gaussian fluctuation beyond the mean field. The full in-medium, momentum-dependent evaluation reveals that…
In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dY_{s}^{(1)}$% , where $u$ is a $\beta$-H\"older continuous process with $\beta > 1-H$ and…
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to well-known distributions from directional statistics, since…
Active particles self-propel themselves with a stochastically evolving velocity, generating a persistent motion leading to a non-diffusive behavior of the position distribution. Nevertheless, an effective diffusive behavior emerges at times…
We describe and demonstrate a method to reconstruct an amplitude equation from the nonlinear relaxation dynamics in the succession of the Rosensweig instability. A flat layer of a ferrofluid is cooled such that the liquid has a relatively…
We study the first-passage dynamics of a non-Markovian stochastic process with time-averaged feedback, which we model as a one-dimensional Ornstein--Uhlenbeck process wherein the particle drift is modified by the empirical mean of its…
We derive the Markov-modulated generalized Ornstein-Uhlenbeck process by embedding a Markov-modulated random recurrence equation in continuous time. The obtained process turns out to be the unique solution of a certain stochastic…
We extend the theoretical results for any FOU(p) processes for the case in which the Hurst parameter is less than 1/2 and we show theoretically and by simulations that under some conditions on T and the sample size n it is possible to…
Statistical properties of spike trains as well as other neurophysiological data suggest a number of mathematical models of neurons. These models range from entirely descriptive ones to those deduced from the properties of the real neurons.…
We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those…
We complete the kinetic theory of inhomogeneous systems with long-range interactions initiated in previous works. We use a simpler and more physical formalism. We consider a system of particles submitted to a small external stochastic…
We consider the effect of geometric confinement on the steady-state properties of a one-dimensional active suspension subject to thermal noise. The random active force is modeled by an Ornstein-Uhlenbeck process and the system is studied…
Celebrated fluctuation-dissipation theorem (FDT) linking the response function to time dependent correlations of observables measured in the reference unperturbed state is one of the central results in equilibrium statistical mechanics. In…
For soft matter systems strongly driven by stationary flow, we discuss an extended fluctuation-dissipation theorem (FDT). Beyond the linear response regime, the FDT for the stress acquires an additional contribution involving the observable…