Related papers: Second- and third-order properties of multidimensi…
Pervasive across diverse domains, stochastic systems exhibit fluctuations in processes ranging from molecular dynamics to climate phenomena. The Langevin equation has served as a common mathematical model for studying such systems, enabling…
The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the…
We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
We report on simulations of two-dimensional turbulence in the inverse energy cascade regime. Focusing on the statistics of Lagrangian tracer particles, scaling behavior of the probability density functions of velocity fluctuations is…
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
The measured time series from complex systems are renowned for their intricate stochastic behavior, characterized by random fluctuations stemming from external influences and nonlinear interactions. These fluctuations take diverse forms,…
We investigate piecewise-linear stochastic models as with regards to the probability distribution of functionals of the stochastic processes, a question which occurs frequently in large deviation theory. The functionals that we are looking…
Properties of systems driven by white non-Gaussian noises can be very different from these systems driven by the white Gaussian noise. We investigate stationary probability densities for systems driven by $\alpha$-stable L\'evy type noises,…
We consider the nonlinear Schr{\"o}dinger-Langevin equation for both signs of the logarithmic nonlinearity. We explicitly compute the dynamics of Gaussian solutions for large times, which is obtained through the study of a particular…
We propose a solution for linear inverse problems based on higher-order Langevin diffusion. More precisely, we propose pre-conditioned second-order and third-order Langevin dynamics that provably sample from the posterior distribution of…
Driven Langevin processes have appeared in a variety of fields due to the relevance of natural phenomena having both deterministic and stochastic effects. The stochastic currents and fluxes in these systems provide a convenient set of…
This note provides an introduction to molecular dynamics, the computational implementation of the theory of statistical physics. The discussion is focused on the properties of Langevin dynamics, a degenerate stochastic differential equation…
We establish a refined version of the Second Law of Thermodynamics for Langevin stochastic processes describing mesoscopic systems driven by conservative or non-conservative forces and interacting with thermal noise. The refinement is based…
In the framework of Heisenberg-Langevin theory the dynamical and statistical effects arising from the linear interaction of two nondegenerate down-conversion processes are investigated. Using the strong-pumping approximation the analytical…
We investigate a class of simple models for Langevin dynamics of turbulent flows, including the one-layer quasi-geostrophic equation and the two-dimensional Euler equations. Starting from a path integral representation of the transition…
These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and…
For a Markovian dynamics on discrete states, the logarithmic ratio of waiting-time distributions between two successive, instantaneous transitions in forward and backward direction is a measure of time-irreversibility. It thus serves as an…
This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters…