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We present a modelling approach for diffusion in a complex medium characterized by a random length scale. The resulting stochastic process shows subdiffusion with a behavior in qualitative agreement with single particle tracking experiments…

This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…

We propose a systematic method to derive the asymptotic behaviour of the persistence distribution, for a large class of stochastic processes described by a general Fokker-Planck equation in one dimension. Theoretical predictions are…

We consider a classic two-state switching diffusion model from a single-particle tracking perspective. The mean and the variance of the time-averaged mean square displacement (TAMSD) are computed exactly. When the measurement time (i.e.,…

This is a set of four lectures devoted to simple ideas about turbulent transport, a ubiquitous non-equilibrium phenomenon. In the course similar to that given by the author in 2006 in Warwick [45], we discuss lessons which have been learned…

We consider a class of Fokker--Planck equations with linear diffusion and superlinear drift enjoying a formal Wasserstein-like gradient flow structure with convex mobility function. In the drift-dominant regime, the equations have a finite…

Let $r: S\times S\to \bb R_+$ be the jump rates of an irreducible random walk on a finite set $S$, reversible with respect to some probability measure $m$. For $\alpha >1$, let $g: \bb N\to \bb R_+$ be given by $g(0)=0$, $g(1)=1$, $g(k) =…

The article presents a novel variational calculus to analyze the stability and the propagation of chaos properties of nonlinear and interacting diffusions. This differential methodology combines gradient flow estimates with backward…

A stochastic EDQNM approach is used to investigate self-similar decaying isotropic turbulence at high Reynolds number ($400 \leq Re_\lambda \leq 10^4$). The realistic energy spectrum functional form recently proposed by Meyers & Meneveau is…

Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…

We show that geodesic random walks on a complete Finsler manifold of bounded geometry converge to a diffusion process which is, up to a drift, the Brownian motion corresponding to a Riemannian metric.

In this paper a reaction-diffusion type equation is the starting point for setting up a genuine thermodynamic reduction, i.e. involving a finite number of parameters or collective variables, of the initial system. This program is carried…

Physical notions of stochastic resonance for potential diffusions in periodically changing double-well potentials such as the spectral power amplification have proved to be defective. They are not robust for the passage to their effective…

We consider a generic class of stochastic particle-based models whose state at an instant in time is described by a set of continuous degrees of freedom (e.g. positions), and the length of this set changes stochastically in time due to…

The waiting time distribution (WTD) is a common tool for analysing discrete stochastic processes in classical and quantum systems. However, there are many physical examples where the dynamics is continuous and only approximately discrete,…

This paper deals with a copies-based continuously differentiable and strictly decreasing estimator of the drift function for stochastic differential equations defining recurrent diffusion processes. The first part of our paper deals with…

We introduce simple conditions ensuring that invariant distributions of a Feller Markov chain on a compact Riemannian manifold are absolutely continuous with a lower semi-continuous, continuous or smooth density with respect to the…

In this paper we introduce some recent progresses on the convergence rate in Wasserstein distance for empirical measures of Markov processes. For diffusion processes on compact manifolds possibly with reflecting or killing boundary…

Stochastic systems often exhibit multiple viable metastable states that are long-lived. Over very long timescales, fluctuations may push the system to transition between them, drastically changing its macroscopic configuration. In realistic…

We consider the inverse problem of reconstructing the scattering and absorption coefficients using boundary measurements for a time dependent radiative transfer equation (RTE). As the measurement is mostly polluted by errors, both…