Related papers: Effective Hamiltonians and Lagrangians for conditi…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
We analyze the dynamical equations obeyed by a classical system with position-dependent mass. It is shown that there is a non-conservative force quadratic in the velocity associated to the variable mass. We construct the Lagrangian and the…
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…
In this work, we leverage the Hamiltonian kind structure for accurate uncertainty propagation through a nonlinear dynamical system. The developed approach utilizes the fact that the stationary probability density function is purely a…
Open quantum systems play a central role in contemporary nanoscale technologies, including molecular electronics, quantum heat engines, quantum computation and information processing. A major theoretical challenge is to construct dynamical…
A study of the non-dissipative Brownian motion in vacuum is presented. The noise source associated to the stochastic process assumed in this work is vacuum fluctuations of some quantum field capable of interact with a massive particle. For…
A linear open quantum system consisting of a harmonic oscillator linearly coupled to an infinite set of independent harmonic oscillators is considered; these oscillators have a general spectral density function and are initially in a…
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physical model, we study this system in the classical and quantum…
This thesis develops exact analytical tools to study strongly correlated stochastic systems, with a focus on extreme value statistics, gap statistics, and full counting statistics in multi-particle processes. A central contribution is the…
We consider a single particle tunnelling in a tight-binding model with nearest-neighbour couplings, in the presence of a periodic high-frequency force. An effective Hamiltonian for the particle is derived using an averaging method…
This paper investigates a class of multiscale stochastic control problems driven by $\alpha$-stable L\'evy noises, where the controlled dynamics evolve across separate slow and fast time scales. The associated value functions are governed…
The dynamics of classical and quantum systems which are driven by a high frequency ($\omega$) field is investigated. For classical systems the motion is separated into a slow part and a fast part. The motion for the slow part is computed…
Recently the Hamilton-Jacobi formulation for first order constrained systems has been developed. In such formalism the equations of motion are written as total differential equations in many variables. We generalize the Hamilton-Jacobi…
This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and…
In this article, we study the large time behavior of solutions of first-order Hamilton-Jacobi Equations, set in a bounded domain with nonlinear Neumann boundary conditions, including the case of dynamical boundary conditions. We establish…
The perturbation theory of operator semigroups is used to derive response formulas for a variety of combinations of acting forcings and reference background dynamics. In the case of background stochastic dynamics, we decompose the response…
Many physical systems characterized by nonlinear multiscale interactions can be effectively modeled by treating unresolved degrees of freedom as random fluctuations. However, even when the microscopic governing equations and qualitative…
Maximization of the path information entropy is a clear prescription for constructing models in non-equilibrium statistical mechanics. Here it is shown that, following this prescription under the assumption of arbitrary instantaneous…
We consider Perron-Frobenius and Koopman operators associated to time-inhomogeneous ordinary stochastic differential equations, and establish their Fr\'{e}chet differentiability with respect to the drift. This result relies on a similar…