Related papers: A variational characterization of the optimal exit…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
A new approach to describing aerosol behavior is proposed. Boundary functionals of random process theory are applied to describe the behavior of aerosol concentrations during coagulation. It is shown that considering the first-passage time…
For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.
We consider the motion of a rigid body due to the pressure of a surrounded two-dimensional irrotational perfect incompressible fluid, the whole system being confined in a bounded domain with an impermeable condition on a part of the…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
We formulate the theory for a self-propelled domain in an excitable reaction-diffusion system in two dimensions where the domain deforms from a circular shape when the propagation velocity is increased. In the singular limit where the width…
Turbulent wall flows offer the most direct means for understanding the effects of boundaries and viscosity on turbulent fluctuations. Available data on mean-square fluctuations in these flows show apparent contradiction with classical…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel from the origin…
We call a system bouncing ball billiard if it consists of a particle that is subjected to a constant vertical force and bounces inelastically on a one-dimendional vibrating periodically corrugated floor. Here we choose circular scatterers…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
The boundary integral method is extended to derive closed integro-differential equations applicable to computation of the shape and propagation speed of a steadily moving spot and to the analysis of dynamic instabilities in the sharp…
A finite-time fluctuation theorem is proved for the diffusion-influenced surface reaction A<->B in a domain with any geometry where the species A and B undergo diffusive transport between the reservoir and the catalytic surface. A…
We propose a model of sub-diffusion in which an external force is acting on a particle at all times not only at the moment of jump. The implication of this assumption is the dependence of the random trapping time on the force with the…
We numerically investigate the mean exit time of an inertial active Brownian particle from a circular cavity with single or multiple exit windows. Our simulation results witness distinct escape mechanisms depending upon the relative…
In this paper we develop a metastability theory for a class of stochastic reaction-diffusion equations exposed to small multiplicative noise. We consider the case where the unperturbed reaction-diffusion equation features multiple…
We study theoretically the effects of dissipation on the performances of a variational quantum algorithm used to approximately solve a combinatorial optimization problem, the Maximum Independent Set, on a platform of neutral atoms. We take…
We use an effective Hamiltonian to characterize particle dynamics and find escape rates in a periodically kicked Hamiltonian. We study a model of particles in storage rings that is described by a chaotic symplectic map. Ignoring the…
The reactive process of barrier escaping from the metastable potential well is studied together with the extension of Kramers' rate formula to the fractional case. Characteristic quantities are computed for an thimbleful of insight into the…
We identify the integrable stopping time $\tau_*$ with minimal $L^1$-distance to the last-passage time $\gamma_z$ to a given level $z>0$, for an arbitrary non-negative time-homogeneous transient diffusion $X$. We demonstrate that $\tau_*$…
We study the asymptotic diffusion processes with (generally nonlocal) open boundaries in one dimension which are exactly solvable by means of the recently developed recursion formula. We investigate the stationary states, which cannot be…