Related papers: Martingale drift of Langevin dynamics and classica…
The martingale characterizes a kind of fairness or unbiased nature of the stochastic process which is associated with another stochastic process. If $x_t$ evolves according to the Langevin equation whose mean drift is $a_t$ as function of…
The spin-statistics conection is obtained for classical point particles. The connection holds within pseudomechanics, a theory of particle motion that extends classical physics to include anticommuting Grassmann variables, and which…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
It is most common to construct the Hamiltonian function and Hamilton's canonical equations through a Legendre transformation of the Lagrangean function or through the central equation. These common perspectives, however, seem abstract and…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the…
In this paper we present a dynamical system to generate Brownian motion based on the Langevin equation without stochastic term and using fractional derivatives, i.e., a deterministic Brownian motion model is proposed. The stochastic process…
The relationship between the Hamiltonian and Lagrangean functions in analytical mechanics is a type of duality. The two functions, while distinct, are both descriptive functions encoding the behavior of the same dynamical system. One…
The spin-statistics connection is obtained for a simple formulation of a classical field theory containing even and odd Grassmann variables. To that end, the construction of irreducible canonical realizations of the rotation group…
In this paper, we study the functional convergence in law of the fluctuations of the derivative martingale of branching random walk on the real line. Our main result strengthens the results of Buraczewski et. al. [Ann. Probab., 2021] and is…
Recent rapid advances in single particle tracking and supercomputing techniques resulted in an unprecedented abundance of diffusion data exhibiting complex behaviours, such the presence of power law tails of the msd and memory functions,…
We analyze the relation between the concept of auxiliary variables and the Inverse problem of the calculus of variations to construct a Lagrangian from a given set of equations of motion. The problem of the construction of a consistent…
We consider a branching Brownian motion in $\mathbb{R}^d$. We prove that there exists a random subset $\Theta$ of $\mathbb{S}^{d-1}$ such that the limit of the derivative martingale exists simultaneously for all directions $\theta \in…
The multiplicative Lagrangian and Hamiltonian introduce an additional parameter that, despite its variation, results in identical equations of motion as those derived from the standard Lagrangian. This intriguing property becomes even more…
We prove that the classical theory with a discrete time (chronon) is a particular case of a more general theory in which spinning particles are associated with generalized Lagrangians containing time-derivatives of any order (a theory that…
We study the macroscopic dynamical properties of fermion and quantum-spin systems with long-range, or mean-field, interactions. The results obtained are far beyond previous ones and require the development of a mathematical framework to…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic…
In this paper, we generalize the theory of Brownian motion and the Onsager-Machlup theory of fluctuations for spatially symmetric systems to equilibrium and nonequilibrium steady-state systems with a preferred spatial direction, due to an…