Related papers: A continuous-time Ehrenfest model with catastrophe…
If the Ehrenfest time tau_E of a ballistic cavity is not negligible in comparison to its dwell time tau_D, the weak localization correction to the cavity's transmission is suppressed proportional to exp(-tau_E/tau_D). At the same time,…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
Given the observation of a high-dimensional Ornstein-Uhlenbeck (OU) process in continuous time, we proceed to the inference of the drift parameter under a row-sparsity assumption. Towards that aim, we consider the negative log-likelihood of…
An $N$-particle system with stochastic interactions is considered. Interactions are driven by a Brownian noise term and total energy conservation is imposed. The evolution of the system, in velocity space, is a diffusion on a…
In this paper we introduce a new diffusion approximation for the steady-state customer count of the Erlang-C system. Unlike previous diffusion approximations, which use the steady-state distribution of a diffusion process with a constant…
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…
We prove six theorems concerning exponentially accurate semiclassical quantum mechanics. Two of these theorems are known results, but have new proofs. Under appropriate hypotheses, they conclude that the exact and approximate dynamics of an…
The canonical Evans--Majumdar model for diffusion with stochastic resetting to the origin assumes that resetting takes zero time: upon resetting the diffusing particle is teleported back to the origin to start its motion anew. However, in…
There is only limited experimental evidence for the existence in nature of phase transitions of Ehrenfest order greater than two. However, there is no physical reason for their non-existence, and such transitions certainly exist in a number…
We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled Ornstein-Uhlenbeck process with fast reversion to a…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
The paper examines a class of first order linear hyperbolic systems, proposed as a generalization of the Goldstein-Kac model for velocity-jump processes and determined by a finite number of speeds and corresponding transition rates. It is…
I introduce a general, Bayesian method for modelling univariate time series data assumed to be drawn from a continuous, stochastic process. The method accommodates arbitrary temporal sampling, and takes into account measurement…
Stochastic Langevin molecular dynamics for nuclei is derived from the Ehrenfest Hamiltonian system (also called quantum classical molecular dynamics) in a Kac-Zwanzig setting, with the initial data for the electrons stochastically perturbed…
Statistical testing is classically used as an exploratory tool to search for association between a phenotype and many possible explanatory variables. This approach often leads to multiple testing under dependence. We assume a hierarchical…
We investigate extreme value statistics (EVS) of general discrete time and continuous space symmetric jump processes. We first show that for unbounded jump processes, the semi-infinite propagator $G_0(x,n)$, defined as the probability for a…
We consider a branching particle system consisting of particles moving according to the Ornstein-Uhlenbeck process in $\Rd$ and undergoing a binary, supercritical branching with a constant rate $\lambda>0$. This system is known to fulfil a…
The characterization of particle diffusion is a classical problem in physics and probability theory. The field of microrheology is based on experiments in which microscopic tracer beads are placed into a non-Newtonian fluid and tracked…
Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X=\{X_t,t\geq0\}$ of the form $d X_{t}=\left(L(t)+\alpha X_{t}\right) d t+ dB^H_{t}, \quad t \geq 0$, where $L(t)=\sum_{i=1}^{p}\mu_i\phi_i (t)$ is a periodic parametric…
Statistical properties of spike trains as well as other neurophysiological data suggest a number of mathematical models of neurons. These models range from entirely descriptive ones to those deduced from the properties of the real neurons.…