Related papers: Long exit times near a repelling equilibrium
The narrow escape problem concerns the time needed for a diffusing particle to exit a confining domain through a small hole in the boundary. While this problem is now well-understood, determining the escape time for a particle that must…
We study the influence of an external driving field on the coherence properties of a qubit under the influence of bit-flip noise. In the presence of driving, two paradigmatic cases are considered: (i) a field that results for a suitable…
Systems of stochastic particles evolving in a multi-well energy landscape and attracted to their barycenter is the prototypical example of mean-field process undergoing phase transitions: at low temperature, the corresponding mean-field…
Stochastic evolution of various dynamic systems and reaction networks is commonly described in terms of noise assisted escape of an overdamped particle from a potential well, as devised by the paradigmatic Langevin equation in which…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
We construct superharmonic functions and give sharp bounds for the expected exit time and probability of survival for isotropic unimodal L\'evy processes
We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a L\'evy space-time white noise. When a spatial point is fixed and time tends to infinity, we show that the solution develops unusually high…
An extension and generalization of a recently presented approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For a stochastic process in N dimensions which is superimposed…
We study the asymptotics of solutions to a particular class of systems of linear wave equations, namely, of silent equations. We obtain asymptotic estimates of all orders for the solutions, and show that solutions are uniquely determined by…
We study the statistical properties of overdamped particles driven by two cross-correlated multiplicative Gaussian white noises in a time-dependent environment. Using the Langevin and Fokker-Planck approaches, we derive the exact…
The effect of multiplicative stochastic perturbations on Hamiltonian systems on the plane is investigated. It is assumed that perturbations fade with time and preserve a stable equilibrium of the limiting system. The paper investigates…
Many physical and chemical phenomena are governed by stochastic escape across potential barriers. The escape time depends on the structure of the noise and the shape of the potential barrier. By applying $\alpha$-stable noise from the…
We study the Escape Problem for discrete-time linear dynamical systems over compact semialgebraic sets. We establish a uniform upper bound on the number of iterations it takes for every orbit of a rational matrix to escape a compact…
This note studies the exponential convergence of input-output signals of discrete-time nonlinear systems composed of a feedback interconnection of a linear time-invariant system and a nonlinear uncertainty. Both the open-loop subsystems are…
We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we…
Some limit theorems are proven for the linear oscillator with random coefficients. The asymptotic behaviour of the moments is studied in detail. The technique presented in this paper can be applied to general linear systems with noise and…
Maximum likelihood estimators for time-dependent mean functions within Gaussian processes are provided in the context of continuous observations. We find the widest possible class of mean functions for which the likelihood function can be…
In this paper we provide an analysis of a mean first passage time problem of a random walker subject to a bi-variate $\alpha$-stable L\'evy type noise from a 2-dimensional disk. For an appropriate choice of parameters the mean first passage…
We consider two dimensional random walks conditioned to stay in the positive quadrant. Assuming that the increments of the walk have finite second moments and that the drift vector is co-oriented with one of two axes, we construct positive…
We present a theoretical framework for characterizing incremental stability of nonlinear stochastic systems perturbed by compound Poisson shot noise and finite-measure L\'{e}vy noise. For each noise type, we compare trajectories of the…