Related papers: A variational characterization of Langevin$\boldsy…
This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…
This article considers a class of metastable non-reversible diffusion processes whose invariant measure is a Gibbs measure associated with a Morse potential. In a companion paper [32], we proved the Eyring-Kramers formula for the…
Stochastic differential equations of Langevin-diffusion form have received significant attention, thanks to their foundational role in both Bayesian sampling algorithms and optimization in machine learning. In the latter, they serve as a…
How can we learn the laws underlying the dynamics of stochastic systems when their trajectories are sampled sparsely in time? Existing methods either require temporally resolved high-frequency observations, or rely on geometric arguments…
Obtaining coarse-grained models that accurately incorporate finite-size effects is an important open challenge in the study of complex, multi-scale systems. We apply Langevin regression, a recently developed method for finding stochastic…
In this paper, we investigate the limiting dynamics of invariant measures of the stochastic Landau-Lifshitz-Bloch equation driven by the Stratonovich noise defined on the entire space $\R^2$. We first prove the set of all invariant measures…
It is shown that time reversibility of Hamiltonian microscopic dynamics and Gibbs canonical statistical ensemble of initial conditions for it together produce an exact virial expansion for probability distribution of path of molecular…
In this manuscript, we consider the Langevin dynamics on $\mathbb{R}^d$ with an overdamped vector field and driven by multiplicative Brownian noise of small amplitude $\sqrt{\epsilon}$, $\epsilon>0$. Under suitable assumptions on the vector…
We introduce a scheme for deriving an optimally-parametrised Langevin dynamics of few collective variables from data generated in molecular dynamics simulations. The drift and the position-dependent diffusion profiles governing the Langevin…
We study the long-time behavior of almost periodic solutions to stochastic scalar conservation laws in any space dimension, under the assumption of Lipschitz continuity of the flux functions and a non-degeneracy condition. We show the…
We show that for a potential with summable variations on an irreducible sofic shift in one dimension, the equilibrium measures are precisely the shift-invariant Gibbs measures. The main tool in the proof is a preservation of Gibbsianness…
We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the…
Statistics of molecular random walks in a fluid is considered with the help of Bogolyubov equation for generating functional of distribution functions. An invariance group of this equation is found. It results in many exact relations…
A general approach to a broad class of asymptotic problems related to long-time influence of small perturbations, of both deterministic and stochastic type, is presented in the paper. The main characteristic of this influence is a limiting…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
In this paper we give a solution to the quickest drift change detection problem for a multivariate L\'evy process consisting of both continuous (Gaussian) and jump components in the Bayesian approach. We do it for a general 0-modified…
As a starting point we prove a functional central limit theorem for estimators of the invariant measure of a geometrically ergodic Harris-recurrent Markov chain in a multi-scale space. This allows to construct confidence bands for the…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
Memory effects, sometimes, can not be neglected. In the framework of continuous time random walk, memory effect is modeled by the correlated waiting times. In this paper, we derive the two-point probability distribution of the stochastic…