Related papers: Variance sum rule: proofs and solvable models
For many-electron systems, we consider a nonequilibrium state (NES) that is driven by a pump field(s), which is either an optical field or a longitudinal electric field. For the differential optical conductivity describing the differential…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
We study the saturation of three-dimensional unstable perturbations on a fast rotating turbulent flow using direct numerical simulations (DNSs). Under the effect of Kolmogorov forcing, a transition between states dominated by coherent…
Among various possible routes to extend entropy and thermodynamics to nonequilibrium steady states (NESS), we take the one which is guided by operational thermodynamics and the Clausius relation. In our previous study, we derived the…
We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $\varepsilon ^2$. When $\varepsilon =0$ such equations have an unstable non-hyperbolic fixed point and the drift…
Variational multiscale (VMS) methods offer a robust framework for handling under-resolved flow scales without resorting to problem-specific turbulence models. Here, we propose and assess a dynamic, term-by-term VMS stabilized formulation…
We develop and analyze a new family of {\em nonaccelerated and accelerated loopless variance-reduced methods} for finite sum optimization problems. Our convergence analysis relies on a novel expected smoothness condition which upper bounds…
This paper investigates the transient synchronization stability in power systems hybridized with virtual synchronous generators (VSGs) and synchronous generators (SGs). A relative swing equation model is established to capture the transient…
Nonequilibrium statistical mechanics close to equilibrium is studied using SRB states and a formula for their derivatives with respect to parameters. We write general expressions for the thermodynamic fluxes (or currents) and the transport…
The design of small scale non-equilibrium steady states (NESS) is a challenging, open ended question. While similar equilibrium problems are tractable using standard thermodynamics, a generalized description for non-equilibrium systems is…
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…
We propose a statistical-stochastic surrogate modeling approach to predict the response of the mean and variance statistics under various initial conditions and external forcing perturbations. The proposed modeling framework extends the…
In this paper we consider estimating the system parameters and designing stable observer for unknown noisy linear time-invariant (LTI) systems. We propose a Support Vector Regression (SVR) based estimator to provide adjustable asymmetric…
Constructing a thermodynamic framework for nonequilibrium systems remains a major challenge, as quantities such as temperature and free energy often become ambiguous when inferred solely from steady-state properties. Here we take a…
We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…
Instabilities of fluid flows often generate turbulence. Using extensive direct numerical simulations, we study two-dimensional turbulence driven by a wavenumber-localised instability superposed on stochastic forcing, in contrast to previous…
Sample space reducing (SSR) processes offer a simple analytical way to understand of the origin and ubiquity of power-laws in many path-dependent complex systems. SRR processes show a wide range of applications that range from fragmentation…
We present a general framework for systems which are prepared in a non-stationary non-equilibrium state in the absence of any perturbation, and which are then further driven through the application of a time-dependent perturbation. We…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
We prove vector-valued almost sure invariance principle (VASIP) for nonstationary dynamical systems, under assumptions of correlation decay and variance growth. Applications include VASIP for non-stationary (non)uniformly expanding…