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We derive universal bounds for the finite-time survival probability of the stochastic work extracted in steady-state heat engines and the stochastic heat dissipated to the environment. We also find estimates for the time-dependent…
We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish…
We study the stochastically forced system of isentropic Euler equations of gas dynamics with a $\gamma$-law for the pressure. We show the existence of martingale weak entropy solutions; we also discuss the existence and characterization of…
This paper proposes a new model for individuals movement in ecology. The movement process is defined as a solution to a stochastic differential equation whose drift is the gradient of a multimodal potential surface. This offers a new…
By one of the most fundamental principles in physics, a dynamical system will exhibit those motions which extremise an action functional. This leads to the formation of the Euler-Lagrange equations, which serve as a model of how the system…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
Averaging is an important method to extract effective macroscopic dynamics from complex systems with slow modes and fast modes. This article derives an averaged equation for a class of stochastic partial differential equations without any…
We consider deterministic and stochastic perturbations of dynamical systems with conservation laws in $\R^3$. The Landau-Lifshitz equation for the magnetization dynamics in ferromagnetics is a special case of our system. The averaging…
We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by $\alpha-$stable…
The complete physical understanding of the optimization of the thermodynamic work still is an important open problem in stochastic thermodynamics. We address this issue using the Hamiltonian approach of linear response theory in finite time…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
Starting at the mesoscopic level with a general formulation of stochastic thermodynamics in terms of Markov jump processes, we identify the scaling conditions that ensure the emergence of a (typically nonlinear) deterministic dynamics and…
We propose a novel algorithmic method for constructing invariant variational schemes of systems of ordinary differential equations that are the Euler-Lagrange equations of a variational principle. The method is based on the invariantization…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
In {\em{Holm}, Proc. Roy. Soc. A 471 (2015)} stochastic fluid equations were derived by employing a variational principle with an assumed stochastic Lagrangian particle dynamics. Here we show that the same stochastic Lagrangian dynamics…
This paper is a contribution to the general program of embedding theories of dynamical systems. Following our previous work on the Stochastic embedding theory developed with S. Darses, we define the fractional embedding of differential…
At the core of optimal control theory is the Pontryagin maximum principle - the celebrated first order necessary optimality condition - whose solutions are called extremals and which are obtained through a function called Hamiltonian, akin…
Large deviations for additive path functionals of stochastic processes have attracted significant research interest, in particular in the context of stochastic particle systems and statistical physics. Efficient numerical `cloning'…
In this paper, we extend the \emph{principle of least action} and show that a \emph{Lagrange density} always exists for the usual linear pde or linear fractional problems $\oA\,u=f$ in physics, if the usual causality conditions $u|_{t<0}=0$…
In this paper, we introduce a class of processes that contains many natural examples. The interesting feature of such type processes lays on its infinite memory that allows it to record a quite ancient history. Then, using the martingale…