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We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of class Sigma. After investigating convergence properties and…
We consider stationary stochastic processes arising from dynamical systems by evaluating a given observable along the orbits of the system. We focus on the extremal behaviour of the process, which is related to the entrance in certain…
Nonlinear energy-conserving drift-fluid equations that are suitable to describe self-consistent finite-beta low-frequency electromagnetic (drift-Alfven) turbulent fluctuations in a nonuniform, anisotropic, magnetized plasma are derived from…
We offer a new proof of the classical law of large numbers for a general class of branching Markov processes based on the asymptotic behaviour of the moments developed in \cite{bmoments, gonzalez2022erratum}. Moreover, we show that the law…
In the present work we redefine and generalize the action principle for dissipative systems proposed by Riewe by fixing the mathematical inconsistencies present in the original approach. In order to formulate a quadratic Lagrangian for…
We consider the problem of constructing an action functional for physical systems whose classical equations of motion cannot be directly identified with Euler-Lagrange equations for an action principle. Two ways of action principle…
While classical concentration inequalities are typically restricted to two special cases -- independence and martingale difference sequences -- we extend concentration inequalities to a much broader class of stochastic processes by relaxing…
We formulate a stochastic least-action principle for solutions of the incompressible Navier-Stokes equation, which formally reduces to Hamilton's principle for the incompressible Euler solutions in the case of zero viscosity. We use this…
We reexamine the problem of having nonconservative equations of motion arise from the use of a variational principle. In particular, a formalism is developed that allows the inclusion of fractional derivatives. This is done within the…
Stochastic mechanics is regarded as a physical theory to explain quantum mechanics with classical terms such that some of the quantum mechanics paradoxes can be avoided. Here we propose a new variational principle to uncover more insights…
We study a minimisation problem in $L^p$ and $L^\infty$ for certain cost functionals, where the class of admissible mappings is constrained by the Navier-Stokes equations. Problems of this type are motivated by variational data assimilation…
Eulerian-Lagrangian models of particle-laden (multiphase) flows describe fluid flow and particle dynamics in the Eulerian and Lagrangian frameworks respectively. Regardless of whether the flow is turbulent or laminar, the particle dynamics…
We review the development and practical uses of a generalized Maupertuis least action principle in classical mechanics, in which the action is varied under the constraint of fixed mean energy for the trial trajectory. The original…
We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in…
Markovian diffusion processes yield a system of conservation laws which couple various conditional expectation values (local moments). Solutions of that closed system of deterministic partial differential equations stand for a regular…
We develop a Lagrangian approach to conservation-law anomalies in weak solutions of inviscid Burgers equation, motivated by previous work on the Kraichnan model of turbulent scalar advection. We show that the entropy solutions of Burgers…
In recent works, the authors considered various Lagrangians, which are invariant under a Lie group action, in the case where the independent variables are themselves invariant. Using a moving frame for the Lie group action, they showed how…
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…
The following principle of minimum energy may be a powerful substitute to the dynamical perturbation method, when the latter is hard to apply. Fluid elements of self-gravitating barotropic flows, whose vortex lines extend to the boundary of…
Extracting governing stochastic differential equation models from elusive data is crucial to understand and forecast dynamics for complex systems. We devise a method to extract the drift term and estimate the diffusion coefficient of a…