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We consider overdamped Langevin diffusions in Euclidean space, with curvature equal to the spectral gap. This includes the Ornstein-Uhlenbeck process as well as non-Gaussian and non-product extensions with convex interaction, such as the…
In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of…
In this work the diffusion in the quenched trap model with diverging mean waiting times is examined. The approach of randomly stopped time is extensively applied in order to obtain asymptotically exact representation of the disorder…
What happens when a continuously evolving stochastic process is interrupted with large changes at random intervals $\tau$ distributed as a power-law $\sim \tau^{-(1+\alpha)};\alpha>0$? Modeling the stochastic process by diffusion and the…
It is considered to re-formulate quantum theory as it appears: A theory of continuous and causal time evolution, interrupted by discontinuous and stochastic jumps. To develop the (missing) theory of jumps a heuristic-phenomenological…
We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied in detail. Letting the parameter of the exponential time tend…
We describe the quantum mechanical spreading of a Gaussian wave packet by means of the semiclassical WKB approximation of Berry and Balazs. We find that the time scale $\tau$ on which this approximation breaks down in a chaotic system is…
We study the convergence to equilibrium of the Dyson-Jacobi process, a system of n interacting particles on the segment [0, 1] arising from Random Matrix Theory. We establish the occurence of a cutoff phenomenon for the intrinsic…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we…
Irreversible drift-diffusion processes are very common in biochemical reactions. They have a non-equilibrium stationary state (invariant measure) which does not satisfy detailed balance. For the corresponding Fokker-Planck equation on a…
The aim of this paper is to study the asymptotic behavior of a system of birth and death processes in mean field type interaction in discrete space. We first establish the exponential convergence of the particle system to equilibrium for a…
A semiclassical theory is developed for the appearance of an excitation gap in a ballistic chaotic cavity connected by a point contact to a superconductor. Diffraction at the point contact is a singular perturbation in the limit $\hbar\to…
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained by the Sylvester-Lyapunov equation. Using the replica method,…
We consider two implicit approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of finite time blow-ups. All proofs are based on a probabilistic reformulation recently…
We study generative modeling for time series using entropic optimal transport and the Schr\"odinger bridge (SB) framework, with a focus on applications in finance and energy modeling. Extending the diffusion-based approach of Hamdouche,…
Understanding how a system loses memory of its initial state is a central problem in probability and statistics. In this manuscript, we introduce the notion of abrupt decorrelation, which explicitly characterises a sharp and sudden loss of…
We present a stochastic differential equation model of suicidal progression in U.S. veterans, simulating transitions across mental health states under dynamic stress and covariate influence. Transition rates are modulated by an…
We analyze general enough models of repeated indirect measurements in which a quantum system interacts repeatedly with randomly chosen probes on which Von Neumann direct measurements are performed. We prove, under suitable hypotheses, that…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…