Related papers: Time-reversibility and nonvanishing Levy area
Stochastic modelling necessitates an interpretation of noise. In this paper, we describe the loss of deterministically stable behaviour in a fundamental fluid mechanics problem, conditional to whether noise is introduced in the sense of…
In this article, we analyze three classes of time-reversal of a Markov process with Gaussian noise on a manifold. We first unveil a commutativity constraint for the most general of these time-reversals to be well defined. Then we give a…
The irreversibility of the equations of classical dynamics (the Hamilton equations and the Liouville equation) in the space with multifractal time is demonstrated. The time is given on multifractal sets with fractional dimensions. The last…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
In the mathematical tradition, reversibility requires that the evolution of a dynamical system be a bijective function. In the context of graph rewriting, however, the evolution is not even a function, because it is not even deterministic…
Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain…
The inversion of a Levy measure was first introduced (under a different name) in Sato 2007. We generalize the definition and give some properties. We then use inversions to derive a relationship between weak convergence of a Levy process to…
In this article, we study the time-reversal properties of a generic Markovian stochastic field dynamics with Gaussian noise. We introduce a convenient functional geometric formalism that allows us to straightforwardly generalize known…
Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
We introduce a class of multi-scale systems with discrete time, motivated by the problem of inviscid limit in fluid dynamics in the presence of small-scale noise. These systems are infinite-dimensional and defined on a scale-invariant…
We study local analytical integrability in a neighborhood of $p:-q$ resonant singular point of a two-dimensional vector field and its connection to time-reversibility with respect to the non-smooth involution $…
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric…
The discussion is limited to first-class parametrized systems, where the definition of time evolution and observables is not trivial, and to finite dimensional systems in order that technicalities do not obscure the conceptual framework.…
Irreversibility and acausality of a sub-system are established in exactly soluble harmonic models with reversible and causal dynamics. It is shown that initial conditions, imposed on some dynamical degrees of freedom may break time reversal…
The richness of quantum theory's reversible dynamics is one of its unique operational characteristics, with recent results suggesting deep links between the theory's reversible dynamics, its local state space and the degree of non-locality…
This paper is concerned with inverse source problems for the time-dependent Lam\'e system in an unbounded domain corresponding to the exterior of a bounded cavity or the full space $\R^3$. If the time and spatial variables of the source…
Time reversal of vast classes of phenomena has direct implications with predictability, causality and the second principle of thermodynamics. We analyze in detail time reversibility of a paradigmatic dissipative nonlinear dynamical system,…
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential…
When analyzing the equilibrium properties of a stochastic process, identifying the parity of the variables under time-reversal is imperative. This initial step is required to assess the presence of detailed balance, and to compute the…