Related papers: Probability Flow Approach to the Onsager--Machlup …
A jump-diffusion process along with a particle scheme is devised as an accurate and efficient particle solution to the Boltzmann equation. The proposed process (hereafter Gamma-Boltzmann model) is devised to match the evolution of all…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
Reaction-diffusion processes are the foundational model for a diverse range of complex systems, ranging from biochemical reactions to social agent-based phenomena. The underlying dynamics of these systems occur at the individual…
Markovian diffusion processes yield a system of conservation laws which couple various conditional expectation values (local moments). Solutions of that closed system of deterministic partial differential equations stand for a regular…
In this paper, we derive the Onsager--Machlup functional for a second-order Newton-type stochastic system driven by time-dependent fractional noise, \[ X_t'' = f_t(X_t, X_t') + \sigma_t \,\xi_t^{H}, \] where \( H \in (1/4,1) \). The…
We construct admissible circulant Laplacian matrix functions as generators for strictly increasing random walks on the integer line. These Laplacian matrix functions refer to a certain class of Bernstein functions. The approach has…
.Stochastic models based on random diffusivities, such as the diffusing-diffusivity approach, are popular concepts for the description of non-Gaussian diffusion in heterogeneous media. Studies of these models typically focus on the moments…
In this paper, we develop and analyze a stochastic algorithm for solving space-time fractional diffusion models, which are widely used to describe anomalous diffusion dynamics. These models pose substantial numerical challenges due to the…
We propose a new methodology for the experimental measurement of the Onsager coefficients of porous media flows by application of the fluctuation-dissipation theorem. The experimental setup consists of a steady-state flow condition in which…
Reaction diffusion systems describe the behaviour of dynamic, interacting, particulate systems. Quantum stochastic processes generalise Brownian motion and Poisson processes, having operator valued It\^{o} calculus machinery. Here it is…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
An integro-differential equation for the probability density of the generalized stochastic Ornstein-Uhlenbeck process with jump diffusion is considered. It is shown that for a certain ratio between the intensity of jumps and the speed of…
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…
This paper aims to investigate the diffusion behavior of particles moving in stochastic flows under a structure-preserving scheme. We compute the effective diffusivity for normal diffusive random flows and establish the power law between…
A stochastic theory for the toppling activity in sandpile models is developed, based on a simple mean-field assumption about the toppling process. The theory describes the process as an anti-persistent Gaussian walk, where the diffusion…
The blooming diffusion probabilistic models (DPMs) have garnered significant interest due to their impressive performance and the elegant inspiration they draw from physics. While earlier DPMs relied upon the Markovian assumption, recent…
We discuss diffusion properties of a dynamical system, which is characterised by long-tail distributions and finite correlations. The particle velocity has the stable L\'evy distribution; it is assumed as a jumping process (the kangaroo…
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…
The abrupt changes that are ubiquitous in physical and natural systems are often well characterized by shot noise with a state dependent recurrence frequency and jump amplitude. For such state dependent behavior, we derive the transition…