Related papers: Kolmogorov Modes and Linear Response of Jump-Diffu…
A general non-linear response theory is derived for an arbitrary time-dependent Hamiltonian, not necessarily obeying time-reversal symmetry. This allows us to obtain a greatly generalized Kubo type formula. Applied to a mesoscopic system…
Diffusion approximations are widely used in the analysis of service systems, providing tractable insights into complex models. While heavy-traffic limit theorems justify these approximations asymptotically, they do not quantify the error…
We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure diffusive component plus a pure jump Poisson compensated…
We give an exact solution to the Kolmogorov equation describing genetic drift for an arbitrary number of alleles at a given locus. This is achieved by finding a change of variable which makes the equation separable, and therefore reduces…
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main novelty here is that we allow the drift to go to $- \infty$ at the origin, and the diffusion to have an entrance boundary at $+\infty$. These…
We consider the question of estimating the drift and the invariant density for a large class of scalar ergodic diffusion processes, based on continuous observations, in $\sup$-norm loss. The unknown drift $b$ is supposed to belong to a…
We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-state dependent unbounded intensity, not of L\'evy-driven type…
Widely applicable, modified Green-Kubo expressions for the local diffusion coefficient ($D_l$) are obtained using linear response theory. In contrast to past definitions in use, these expressions are statistical mechanical results.…
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximations using jump processes that are time-homogeneous Markov,…
Recent advances in data-driven modeling have shown that diffusion models can successfully generate synthetic Lagrangian trajectories in turbulent flows. Building on this progress, we extend the method to the joint generation of pairs of…
The use of linear response theory for forced dissipative stochastic dynamical systems through the fluctuation dissipation theorem is an attractive way to study climate change systematically among other applications. Here, a mathematically…
Traditional large eddy simulation is based on Kolmogrov's hypothesis, and done in the inertial range. In inertial range the LES model coefficient is scale-invariant. In many cases, such as computing in the boundary layer, the filter scale…
The fluctuation-dissipation theorem is a central result in statistical mechanics and is usually formulated for systems described by diffusion processes. In this paper, we propose a generalization for a wider class of stochastic processes,…
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…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…
Generative diffusion models apply the concept of Langevin dynamics in physics to machine leaning, attracting a lot of interests from engineering, statistics and physics, but a complete picture about inherent mechanisms is still lacking. In…
An important problem in applied dynamical systems is to compute the external forcing that provokes the largest response of a desired observable quantity. For this, we investigate the perturbation theory of Markov matrices in connection with…
The Kolmogorov approach to turbulence is applied to the Burgers turbulence in the stochastic adhesion model of large-scale structure formation. As the perturbative approach to this model is unreliable, here is proposed a new,…
Advances in experimental techniques allow the collection of high-resolution spatio-temporal data that track individual motile entities over time. These tracking data motivate the use of mathematical models to characterise the motion…
The geometry of mesoscopic inhomogeneities plays an important role in determining the macroscopic propagation behaviors of elastic waves in a heterogeneous medium. Nonequiaxed inhomogeneities can lead to anisotropic wave velocity and…