Related papers: Quantitative fluctuation analysis of multiscale di…
This work studies a two-time-scale functional system given by two jump-diffusions under the scale separation by a small parameter $\varepsilon \rightarrow 0$. The coefficients of the equations that govern the dynamics of the system depend…
We discuss the local equilibration of closed systems using the relative purity, a paradigmatic information-theoretic distinguishability measure that finds applications ranging from quantum metrology to quantum speed limits. First we obtain…
We study the equilibrium fluctuations for a gradient exclusion process with conductances in random environments, which can be viewed as a central limit theorem for the empirical distribution of particles when the system starts from an…
Langevin diffusion processes and their discretizations are often used for sampling from a target density. The most convenient framework for assessing the quality of such a sampling scheme corresponds to smooth and strongly log-concave…
We consider, for a diffusion process in R^n, the Gallavotti-Cohen functional, defined as the empirical power dissipated in a time interval by the non-conservative part of the drift. We prove a large deviation principle in the limit in which…
We consider a linear Hamiltonian system consisting of a classical particle and a scalar field describing by the wave or Klein-Gordon equations with variable coefficients. The initial data of the system are supposed to be a random function…
We investigate the smoothness of the densities of the finite-dimensional distributions of the Rosenblatt process. Within the Malliavin calculus framework, we prove that Rosenblatt random vectors are nondegenerate in the Malliavin sense. As…
An extension and generalization of a recently presented approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For a stochastic process in N dimensions which is superimposed…
We establish the large deviation principle for the slow variables in slow-fast dynamical system driven by both Brownian noises and L\'evy noises. The fast variables evolve at much faster time scale than the slow variables, but they are…
We study the Langevin dynamics of diffusive particles with regular pairwise interactions under mean-field scaling. By approximating empirical distributions with conditional distributions, we establish coercive and contractive properties for…
We discuss the fluctuation properties of equilibrium chaotic systems with constraints such as iso-kinetic and Nos\'e-Hoover thermostats. Although the dynamics of these systems does not typically preserve phase-space volumes, the average…
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous volatility if the diffusion type part cannot be observed directly but under some additional Gaussian noise. Three different models are considered. Our…
Research on pulsar timing arrays has provided preliminary evidence for the existence of a stochastic gravitational background, which, either being primordial or of astrophysical origin, will interact universally with matter distributions in…
We study stochastic differential equations driven by finite-order chaos processes on abstract Wiener spaces, with pathwise Riemann-Stieltjes integration. The driving noise is an $\mathbb{R}^m$-valued chaotic process given by multiple…
The diffusion behavior of particles moving in complex heterogeneous environment is a very topical issue. We characterize particle's trajectory via an underdamped Langevin system driven by a Gaussian white noise with a time dependent…
Fluctuation and correlation observables are often measured using multi-particle correlation methods and therefore mutually probe the origins of genuine correlations present in multi-particle distribution functions. We investigate the common…
We examine the fluctuations of the empirical density measure for the colour version of the symmetric nearest neighbour zero range particle systems in dimension one. We show that the weak limit of these fluctuations is the solution of a…
A linearised kinetic equation describing electrostatic perturbations of a Maxwellian equilibrium in a weakly collisional plasma forced by a random source is considered. The problem is treated as a kinetic analogue of the Langevin equation…
We present a systematic study of moment evolution in multidimensional stochastic difference systems, focusing on characterizing systems whose low-order moments diverge in the neighborhood of a stable fixed point. We consider systems with a…
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…