Related papers: Cost of diffusion: nonlinearity and giant fluctuat…
In this paper, the diffusion entropy technique is applied to investigate the scaling behavior of stride interval fluctuations of human gait. The scaling behavior of the stride interval of human walking at normal, slow and fast rate are…
Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate…
In this work, we study the task of distributed optimization over a network of learners in which each learner possesses a convex cost function, a set of affine equality constraints, and a set of convex inequality constraints. We propose a…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
We prove the transportation inequality with the uniform norm for the laws of diffusion processes with Lipschitz and/or dissipative coefficients and apply them to some singular stochastic differential equations of interest.
We consider a discrete-time random walk on a one-dimensional lattice with space and time-dependent random jump probabilities, known as the Beta random walk. We are interested in the probability that, for a given realization of the jump…
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…
A new critical effect is predicted in population dispersal. It is based on the fact that a trade-off between the advantages of mobility and the cost of mobility breaks with a significant deterioration in living conditions. The recently…
The distributions of "time of flight" (time spent by a single fluid particle between two crossings of the Poincar\'e section) are investigated for five different 3D stationary chaotic mixers. Above all, we study the large tails of those…
Using random walk simulations we explore diffusive transport through monodisperse sphere packings over a range of packing fractions, $\phi$, in the vicinity of the jamming transition at $\phi_{c}$. Various diffusion properties are computed…
In biological, glassy, and active systems, various tracers exhibit Laplace-like, i.e., exponential, spreading of the diffusing packet of particles. The limitations of the central limit theorem in fully capturing the behaviors of such…
We analyse the dynamics of a two dimensional system of interacting active dumbbells. We characterise the mean-square displacement, linear response function and deviation from the equilibrium fluctuation-dissipation theorem as a function of…
In the course of Darwinian evolution of a population, punctualism is an important phenomenon whereby long periods of genetic stasis alternate with short periods of rapid evolutionary change. This paper provides a mathematical interpretation…
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes…
Diffusion models are well known for their ability to generate a high-fidelity image for an input prompt through an iterative denoising process. Unfortunately, the high fidelity also comes at a high computational cost due the inherently…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
These are lecture notes for various Summer and Winter schools that I have given. The notes describe the methodology called Variational Modelling, and focus on the application to the modelling of gradient-flow systems. I describe the…