Related papers: Most probable transition paths in piecewise-smooth…
This paper deals with the drift estimation in linear stochastic evolution equations (with emphasis on linear SPDEs) with additive fractional noise (with Hurst index ranging from 0 to 1) via least-squares procedure. Since the least-squares…
The Maslov correction to the wave function is to the jump of $-\pi/2$ in the phase when the system passes through a caustic point. This phenomenon is related to the second variation and to the geometry of paths, as conveniently explained in…
It is understood that congestion in traffic can be interpreted in terms of the instability of the equation of dynamic motion. The evolution of a traffic system from an unstable or metastable state to a globally stable state bears a strong…
The friction coefficient of a particle can depend on its position as it does when the particle is near a wall. We formulate the dynamics of particles with such state-dependent friction coefficients in terms of a general Langevin equation…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…
Many real-world systems are well-modeled by Brownian particles subject to gradient dynamics plus noise arising, e.g., from the thermal fluctuations of a heat bath. Of central importance to many applications in physics and biology (e.g.,…
In this paper, we study averaging principle for a class of McKean-Vlasov stochastic differential equations (SDEs) that contain multiplicative fractional noise with Hurst parameter $H > $ 1/2 and highly oscillatory drift coefficient. Here…
Efficient and accurate integration of stochastic (partial) differential equations with multiplicative noise can be obtained through a split-step scheme, which separates the integration of the deterministic part from that of the stochastic…
Discontinuous piecewise differential systems exhibit dynamical behaviors with no counterpart in smooth systems, particularly in the presence of nonsmooth switching structures. In this work, we extend previous results for systems separated…
We propose an explicit drift-randomised Milstein scheme for both McKean--Vlasov stochastic differential equations and associated high-dimensional interacting particle systems with common noise. By using a drift-randomisation step in space…
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation known as the Fokker-Planck equation describes the…
We consider a diffusion equation in $\mathbb{R}^d$ with drift equal to the gradient of a homogeneous potential of degree $1+\gamma$, with $0<\gamma<1$, and local variance equal to $\varepsilon^2$ with $\varepsilon\to 0$. The associated…
In a recent letter [Phys.Rev.Lett. {\bf 30}, 3269 (1995), chao-dyn/9510011], we reported that a macroscopic chaotic determinism emerges in a multistable system: the unidirectional motion of a dissipative particle subject to an apparently…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
In this paper we provide a thorough, rigorous theoretical framework to assess optimality guarantees of sampling-based algorithms for drift control systems: systems that, loosely speaking, can not stop instantaneously due to momentum. We…
We focus on variational inference in dynamical systems where the discrete time transition function (or evolution rule) is modelled by a Gaussian process. The dominant approach so far has been to use a factorised posterior distribution,…
In this work, we propose an alternative stochastic model for the fundamental diagram of traffic flow with minimal number of parameters. Our approach is based on a mesoscopic viewpoint of the traffic system in terms of the dynamics of…
The sliding mode approach is recognized as an efficient tool for treating the chattering behavior in hybrid systems. However, the amplitude of chattering, by its nature, is proportional to magnitude of discontinuous control. A possible…