Related papers: Relaxation Functions of Ornstein-Uhlenbeck Process…
Active Ornstein-Uhlenbeck particles (AOUPs) are overdamped particles in an interaction potential subject to external Ornstein-Uhlenbeck noises. They can be transformed into a system of underdamped particles under additional velocity…
We combine earlier investigations of linear systems with L\'{e}vy fluctuations [Physica {\bf 113A}, 203, (1982)] with recent discussions of L\'{e}vy flights in external force fields [Phys.Rev. {\bf E 59},2736, (1999)]. We give a complete…
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…
For an Ornstein-Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The approach used is remarkable and can be extended to investigate…
We consider the motion of an active Brownian particle with speed fluctuations in d-dimensions in the presence of both translational and orientational diffusion. We use an Ornstein-Uhlenbeck process for active speed generation. Using a…
Systems of particles with long range interactions present two important processes: first, the formation of out-of-equilibrium quasi-stationary states (QSS), and the collisional relaxation towards Maxwell-Boltzmann equilibrium in a much…
Denoising diffusion probabilistic models (DDPMs) represent a recent advance in generative modelling that has delivered state-of-the-art results across many domains of applications. Despite their success, a rigorous theoretical understanding…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fractional Ornstein-Uhlenbeck process. This model is a multivariate…
We establish an important connection between coherent quantum feedback and the Ornstein-Uhlenbeck process in quantum optics. We show that an emitter with fluctuating energy levels in front of a mirror results in an Ornstein-Uhlenbeck…
We study a gas of hard rods on a ring, driven by an external thermostat, with either elastic or inelastic collisions, which exhibits sub-diffusive behavior $<x^2 > \sim t^{1/2}$. We show the validity of the usual Fluctuation-Dissipation…
In this paper, we address high-dimensional parametric estimation of the drift function in diffusion models, specifically focusing on a $d$-dimensional ergodic diffusion process observed at discrete time points. We consider both a general…
Fluctuations associated with relaxations in far-from-equilibrium regime is of fundamental interest for a large variety of systems within broad scales. Recent advances in techniques such as spectroscopy have generated the possibility for…
Standard Ornstein-Uhlenbeck (OU) models often yield biased parameter estimates when measurement error is ignored. While the Ornstein-Uhlenbeck State Space Model (OUSSM) addresses this in univariate settings, multidimensional extensions…
The Omori-Utsu law shows the temporal power-law-like decrease of the frequency of earthquake aftershocks and, interestingly, is found in a variety of complex systems/phenomena exhibiting catastrophes. Now, it may be interpreted as a…
We revisit the celebrated Wilemski-Fixman (WF) treatment for the looping time of a free-draining polymer. The WF theory introduces a sink term into the Fokker-Planck equation for the $3(N+1)$-dimensional Ornstein-Uhlenbeck process of the…
Lognormality was found experimentally for coarse-grained squared turbulence velocity and velocity increment when the coarsening scale is comparable to the correlation scale of the velocity (Mouri et al. Phys. Fluids 21, 065107, 2009). We…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
The Fokker-Planck (FP) equation governs the evolution of densities for stochastic dynamics of physical systems, such as the Langevin dynamics and the Lorenz system. This work simulates FP equations through a mean field control (MFC)…
We study a frictionless pendulum subject to multiplicative random noise. Because of destructive interference between the angular displacement of the system and the noise term, the energy fluctuations are reduced when the noise has a…