Related papers: Variational Principles on Geometric Rough Paths an…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
We consider a general class of finite dimensional deterministic dynamical systems with finitely many local attractors $K^i$ each of which supports a unique ergodic probability measure $P^i$, which includes in particular the class of…
In this paper we apply the method of stochastic characteristics to a Lighthill-Whitham-Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density. For concrete examples we solve the equation…
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the…
This work provide a thorough study of L\'evy or heavy-tailed random matrices (LM). By analysing the self-consistent equation on the probability distribution of the diagonal elements of the resolvent we establish the equation determining the…
We present important elements of a gauge and diffeomorphism invariant formulation of the moduli space approximation to soliton dynamics. We argue that explicit velocity-dependent modifications are determined entirely from gauge and…
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem, we propose a novel approach based on rough path theory that…
Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous time random walk (CTRW) and L\'{e}vy walk, in which the…
We investigate the role of the geometric phase (GP) in an internal conversion process when the system changes its electronic state by passing through a conical intersection (CI). Local analysis of a two-dimensional linear vibronic coupling…
The dynamics of chaotic Hamiltonian systems such as the kicked rotor continues to guide our understanding of transport and localization processes. The localized states of the quantum kicked rotor decay due to decoherence effects if…
We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a density for t in (0,T] provided (i) the vector fields…
This paper is a review of results which have been recently obtained by applying mathematical concepts drawn, in particular, from differential geometry and topology, to the physics of Hamiltonian dynamical systems with many degrees of…
The Eulerian variational formulation of the gyrokinetic system with electrostatic turbulence is presented in general spatial coordinates by extending our previous work [H. Sugama, {\it et al}., Phys.\ Plasmas {\bf 25}, 102506 (2018)]. The…
Modeling uncertainty in heavy-tailed time series remains a critical challenge for deep probabilistic forecasting models, which often struggle to capture abrupt, extreme events. While L\'evy stable distributions offer a natural framework for…
We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…
In this article, we employ a collection of stochastic differential equations with drift and diffusion coefficients approximated by neural networks to predict the trend of chaotic time series which has big jump properties. Our contributions…
We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical method. The contribution of this paper is threefold. First, we…
In this paper we give solution to the quickest drift change detection problem for a L\'evy process consisting of both a continuous Gaussian part and a jump component. We consider here Bayesian framework with an exponential a priori…
We successfully perform the three-dimensional tracking in a turbulent fluid flow of small asymmetrical particles that are neutrally-buoyant and bottom-heavy, i.e., they have a non-homogeneous mass distribution along their symmetry axis. We…
We investigate the effect of planar univalent harmonic mappings on the Lebesgue measure of measurable sets in the complex plane. Motivated by Problem 3.25 of Koh and Kovalev (HQM2010), we establish sharp quantitative area distortion…