Related papers: Wilson-It\^o diffusions
Uchaikin suggested a mathematical model of an anomalous diffusion in a space was suggested. This model origins in an investigation of processes in complex systems with variable structure: glasses, liquid crystals, biopolymers, proteins and…
We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we…
We present a detailed analysis of non-degenerate time-homogeneous It\^o-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability…
We study a nonlinear, pseudomonotone, stochastic diffusion-convection evolution problem on a bounded spatial domain, in any space dimension, with homogeneous boundary conditions and reflection. The additive noise term is given by a…
We present a new approach to the dynamics of interacting particles with reaction and diffusion. Starting from the underlying discrete stochastic jump process we derive a general field theory describing the dynamics of the density field,…
We revisit the diffusion properties and the mean drift induced by an external field of a random walk process in a class of branched structures, as the comb lattice and the linear chains of plaquettes. A simple treatment based on scaling…
We reconsider the problem of diffusion of particles at constant speed and present a generalization of the Telegrapher process to higher dimensional stochastic media ($d>1$), where the particle can move along $2^d$ directions. We derive the…
This paper presents a new parameter estimation method for It\^{o} diffusions such that the resulting model predicts the equilibrium statistics as well as the sensitivities of the underlying system to external disturbances. Our formulation…
Wilson lines, being comparators that render non-local operator products gauge invariant, are extensively used in QCD calculations, especially in small-$x$ calculations, calculations concerning validation of factorisation schemes and in…
This note is about a drift-diffusion process $X$ with a time-independent, divergence-free drift $b$, where $b$ is a smooth Gaussian field that decorrelates over large scales. In two space dimensions, this just fails to fall into the…
The problem of a particle diffusion in a fluctuating scalar field is studied. In contrast to most studies of advection diffusion in random fields we analyze the case where the particle position is also coupled to the dynamics of the field.…
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N coupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded…
The diffraction pattern of a single non-periodic compact object, such as a molecule, is continuous and is proportional to the square modulus of the Fourier transform of that object. When arrayed in a crystal, the coherent sum of the…
We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $\alpha$ ($0< \alpha \le 2$), in the symmetric case. We show that by properly scaled transition to…
A brief presentation of the basic concepts in quantum probability theory is given in comparison to the classical one. The notion of quantum white noise, its explicit representation in Fock space, and necessary results of noncommutative…
We analyse deterministic diffusion in a simple, one-dimensional setting consisting of a family of four parameter dependent, chaotic maps defined over the real line. When iterated under these maps, a probability density function spreads out…
The mechanism of diffusing diffusivity predicts that, in environments where the diffusivity changes gradually, the displacement distribution becomes non-Gaussian, even though the mean-squared displacement (MSD) grows linearly with time.…
Factorization of the (formal) path integral measure in a Wiener path integrals for Yang--Mills diffusion is studied. Using the nonlinear filtering stochastic differential equation, we perform the transformation of the path integral defined…
We analyze the emergence of diffractive focusing in the transition from discrete to continuous space-time variables. Three types of dynamical equations are studied in a top-to-bottom approach, starting with the most general system. First we…
The eigenfunction expansion by Gegenbauer polynomials for the diffusion on a hypersphere is transformed into the diffusion for the Wright-Fisher model with a particular mutation rate. We use the Ito calculus considering stochastic…