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A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the…
We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context…
We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…
In this paper we introduce a general stochastic representation for an important class of processes with resetting. It allows to describe any stochastic process intermittently terminated and restarted from a predefined random or non-random…
In the classical stochastic resetting problem, a particle, moving according to some stochastic dynamics, undergoes random interruptions that bring it to a selected domain, and then, the process recommences. Hitherto, the resetting mechanism…
A space fractional diffusion-like equation is introduced, which embodies the nonlocality in time, represented by the memory kernel and the non-locality in space. A specific example of the nonlocal term is considered in combination with…
We study small perturbations of diffusion processes in $\mathbb{R}^d$ that leave invariant a finite collection of hypersurfaces. Each surface is assumed to be repelling for the unperturbed process, and the unperturbed motion on each of the…
We consider diffusion processes with a spatially varying diffusivity giving rise to anomalous diffusion. Such heterogeneous diffusion processes are analysed for the cases of exponential, power-law, and logarithmic dependencies of the…
The generic behavior of quantum systems has long been of theoretical and practical interest. Any quantum process is represented by a sequence of quantum channels. We consider general ergodic sequences of stochastic channels with arbitrary…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
Random walks with stochastic resetting provides a treatable framework to study interesting features about central-place motion. In this work, we introduce non-instantaneous resetting as a two-state model being a combination of an exploring…
We analyze two models of subdiffusion with stochastic resetting. Each of them consists of two parts: subdiffusion based on the continuous-time random walk (CTRW) scheme and independent resetting events generated uniformly in time according…
We consider properties of one-dimensional diffusive dichotomous flow and discuss effects of resonant activation in the presence of statistically independent random resetting mechanism. Resonant activation and stochastic resetting are two…
Diffusion is a central phenomenon in almost all fields of natural science revealing microscopic processes from the observation of macroscopic dynamics. Here, we consider the paradigmatic system of a single atom diffusing in a periodic…
While averages and typical fluctuations often play a major role to understand the behavior of a non-equilibrium system, this nonetheless is not always true. Rare events and large fluctuations are also pivotal when a thorough analysis of the…
We study the long-time asymptotics of a certain class of nonlinear diffusion equations with time-dependent diffusion coefficients which arise, for instance, in the study of transport by randomly fluctuating velocity fields. Our primary goal…
We provide a simple no-go theorem for ergodicity and the generalized Einstein relation for anomalous diffusion processes. The theorem states that either ergodicity in the sense of equal time and ensemble averaged mean squared displacements…
A theoretical framework for analyzing stochastic data from single-particle tracking in complex or viscoelastic materials and under the influence of a trapping potential is presented. Starting from a generalized Langevin equation we found…
Time averages extracted from single-particle trajectories in complex media often vary strongly from one trajectory to another, even for long measurement times. Such persistent trajectory-to trajectory scatter is commonly observed in…
We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct continuous time analogues of the well-known in time series…