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We propose a data-driven approach for propagating uncertainty in stochastic power grid simulations and apply it to the estimation of transmission line failure probabilities. A reduced-order equation governing the evolution of the observed…
Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the…
The stochastic theory of relativistic quantum mechanics presented here is modelled on the one that has been proposed previously and that was claimed to be a promising substitute to the orthodox theory in the non-relativistic domain. So it…
Random walks are the simplest way to explore or search a graph, and have revealed a very useful tool to investigate and characterize the structural properties of complex networks from the real world, e.g. they have been used to identify the…
Suppose that a $d$-dimensional domain is filled with a gas of (in general, interacting) diffusive particles with density $n_0$. A particle is absorbed whenever it reaches the domain boundary. Employing macroscopic fluctuation theory, we…
Typically, in the description of active Brownian particles, a constant effective propulsion force is assumed, which is then subjected to fluctuations in orientation and translation leading to a persistent random walk with an enlarged…
Stochastic line integrals provide a useful tool for quantitatively characterizing irreversibility and detailed balance violation in noise-driven dynamical systems. A particular realization is the stochastic area, recently studied in coupled…
The connection between absorbing boundary conditions and hard walls is well established in the mathematical literature for a variety of stochastic models, including for instance the Brownian motion. In this paper we explore this duality for…
Stochastic thermodynamics is a developing theory for systems out of thermal equilibrium. It allows to formulate a wealth of nontrivial relations among thermodynamic quantities such as heat dissipation, excess work, and entropy production in…
The method of choice for integrating the time-dependent Fokker-Planck equation in high-dimension is to generate samples from the solution via integration of the associated stochastic differential equation. Here, we study an alternative…
In this paper, the development of a mathematical method is presented to explore spatially non-uniform phases with no long-range order in mathematical models of first order phase transitions. We use essential results regarding the…
Recent low-thrust space missions have highlighted the importance of designing trajectories that are robust against uncertainties. In its complete form, this process is formulated as a nonlinear constrained stochastic optimal control…
Non-equilibrium stochastic dynamics of several active Brownian systems are modeled in terms of non-linear velocity dependent force. In general, this force may consist of both even and odd functions of velocity. We derive the expression for…
We consider shock measures in a class of conserving stochastic particle systems on Z. These shock measures have a product structure with a step-like density profile and include a second class particle at the shock position. We show for the…
We study the connection between transport phenomenon and escape rate statistics in two-dimensional standard map. For the purpose of having an open phase space, we let the momentum co-ordinate vary freely and restrict only angle with…
Path integrals are a ubiquitous tool in theoretical physics. However, their use is sometimes hindered by the lack of control on various manipulations -- such as performing a change of the integration path -- one would like to carry out in…
.Stochastic models based on random diffusivities, such as the diffusing-diffusivity approach, are popular concepts for the description of non-Gaussian diffusion in heterogeneous media. Studies of these models typically focus on the moments…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
The transport of excitation probabilities amongst weakly coupled subunits is investigated for a class of finite quantum systems. It is demonstrated that the dynamical behavior of the transported quantity depends on the considered length…
We present a model of diffusion in heterogeneous environment, which qualitatively reflects the transport properties of a polymeric membrane with carbon nanotubes. We derived Fokker-Planck equation from system of stochastic equations,…