Related papers: Short-time large deviation of constrained random a…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise…
This work elaborates on the important problem of (1) designing optimal randomized routing policies for reaching a target node t from a source note s on a weighted directed graph G and (2) defining distance measures between nodes…
We consider a random walk of $n$ steps starting at $x_0=0$ with a double exponential (Laplace) jump distribution. We compute exactly the distribution $p_{k,n}(\Delta)$ of the gap $d_{k,n}$ between the $k^{\rm th}$ and $(k+1)^{\rm th}$…
We discuss the dynamics of particles in one dimension in potentials that are random both in space and in time. The results are applied to recent optics experiments on Anderson localization, in which the transverse spreading of a beam is…
In a model of network communication based on a random walk in an undirected graph, what subset of nodes (subject to constraints on the set size), enable the fastest spread of information? The dynamics of spread is described by a process…
Stochastic processes wherein the size of the state space is changing as a function of time offer models for the emergence of scale-invariant features observed in complex systems. I consider such a sample-space reducing (SSR) stochastic…
We propose a simple modification, the Gaussian truncation, of the probability density function which was obtained by Beck (2001) to fit the experimental distribution of fluid particle acceleration component from fully developed fluid…
We consider the problem of `discrete-time persistence', which deals with the zero-crossings of a continuous stochastic process, X(T), measured at discrete times, T = n(\Delta T). For a Gaussian Stationary Process the persistence (no…
We study the general fragmentation process starting from one element of size unity (E=1). At each elementary step, each existing element of size $E$ can be fragmented into $k\,(\ge 2)$ elements with probability $p_k$. From the continuous…
Random motions on the line and on the plane with space-varying velocities are considered and analyzed in this paper. On the line we investigate symmetric and asymmetric telegraph processes with space-dependent velocities and we are able to…
The transport properties of a random velocity field with Kolmogorov spectrum and time correlations defined along Lagrangian trajectories are analyzed. The analysis is carried on in the limit of short correlation times, as a perturbation…
The relaxed maximum entropy problem is concerned with finding a probability distribution on a finite set that minimizes the relative entropy to a given prior distribution, while satisfying relaxed max-norm constraints with respect to a…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
We investigate the existence of weak type solutions for a class of aggregation-diffusion PDEs with nonlinear mobility obtained as large particle limit of a suitable nonlocal version of the follow-the-leader scheme, which is interpreted as…
This study investigates the $L^1_{\operatorname{loc}}$ compactness of velocity averages of sequences of solutions $\{u_n\}$ for a class of kinetic equations. The equations are examined within both deterministic and stochastic heterogeneous…
A physical-mathematical approach to anomalous diffusion may be based on fractional diffusion equations and related random walk models. The fundamental solutions of these equations can be interpreted as probability densities evolving in time…
We examine the aggregate behavior of one-dimensional random walks in a model known as (one-dimensional) Internal Diffusion Limited Aggregation. In this model, a sequence of $n$ particles perform random walks on the integers, beginning at…
We develop an instanton approach to the non-equilibrium dynamics in one-dimensional random environments. The long time behavior is controlled by rare fluctuations of the disorder potential and, accordingly, by the tail of the distribution…
We study a linear-quadratic optimal control problem involving a parabolic equation with fractional diffusion and Caputo fractional time derivative of orders $s \in (0,1)$ and $\gamma \in (0,1]$, respectively. The spatial fractional…