Related papers: A Mimicking Theorem for processes driven by fracti…
We present a detailed study of a simple quantum stochastic process, the quantum phase space Brownian motion, which we obtain as the Markovian limit of a simple model of open quantum system. We show that this physical description of the…
The goal of this paper is to define and study a notion of fractional Brownian motion on a Lie group. We define it as at the solution of a stochastic differential equation driven by a linear fractional Brownian motion. We show that this…
We show that two dynamical systems exhibiting very different deterministic behaviours possess very similar stationary distributions when stabilized by a multiplicative Gaussian white noise. We also discuss practical aspects of numerically…
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/2. Our main contribution is the derivation of the associated…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
Stochastic exponential growth is observed in a variety of contexts, including molecular autocatalysis, nuclear fission, population growth, inflation of the universe, viral social media posts, and financial markets. Yet literature on…
We propose in this work a fractional stochastic differential equation (FSDE) model consistent with the over-damped limit of the generalized Langevin equation model. As a result of the `fluctuation-dissipation theorem', the differential…
Stochastic transport due to a velocity field modeled by the superposition of small-scale divergence free vector fields activated by Fractional Gaussian Noises (FGN) is numerically investigated. We present two non-trivial contributions: the…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
A dynamical treatment of Markovian diffusion is presented and several applications discussed. The stochastic interpretation of quantum mechanics is considered within this framework. A model for Brownian movement which includes second order…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
We analyze quantal Brownian motion in $d$ dimensions using the unified model for diffusion localization and dissipation, and Feynman-Vernon formalism. At high temperatures the propagator possess a Markovian property and we can write down an…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
In this thesis, we develop analytical methods to study out-of-equilibrium stochastic processes driven by colored noise, i.e., noise with temporal correlations. These non-Markovian processes pose significant analytical challenges compared to…
In this Letter, we clarify the physical origin of effective transport in periodic and tilted periodic systems. When Brownian dynamics is examined on the scale of a single period, the particle displacement admits a natural separation into a…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
We consider the response of a dynamical system driven by external adiabatic fluctuations. Based on the `adiabatic following approximation' we have made a systematic separation of time-scales to carry out an expansion in $\alpha |\mu|^{-1}$,…
This paper develops further the semi-classical theory of an harmonic oscillator acted on by a Gaussian white noise force discussed in (arXiv:1508.02379). Here I add to that theory the effects of Brownian damping (friction). Albeit…
This is an overview about natural sample spaces for differential equations driven by various noises. Appropriate sample spaces are needed in order to facilitate a random dynamical systems approach for stochastic differential equations. The…