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We deduce a nonlinear and inhomogeneous Fokker-Planck equation within a generalized Stratonovich, or stochastic $\alpha$-, prescription ($\alpha=0$, $1/2$ and $1$ respectively correspond to the It\^o, Stratonovich and anti-It\^o…

We study $\mathbb{R}^d$-valued mean field stochastic differential equations with a diffusion coefficient depending on the $L_p$-norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global…

We address the problem of random search for a target in an environment with space-dependent diffusion coefficient $D(x)$. From a general form of the diffusion differential operator that includes It\^o, Stratonovich, and…

In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…

In this paper we consider stochastic differential equations with discontinuous diffusion coefficient of varying sign, for which weak existence and uniqueness holds but strong uniqueness fails. We introduce the notion of $\varphi $-strong…

There are given characterizations of the exponential distribution by the properties of the independence of linear forms with random coefficients. Related results based on the constancy of regression of one statistic on a linear form are…

We revisit the classical approach of comoving coordinates in relativistic hydrodynamics and we give a constructive proof for their global existence under suitable conditions which is proper for stochastic quantization. We show that it is…

This article considers a novel and widely applicable approach to modeling high-dimensional dependent data when a large number of explanatory variables are available and the signal-to-noise ratio is low. We postulate that a $p$-dimensional…

Discrete diffusion models have gained increasing attention for their ability to model complex distributions with tractable sampling and inference. However, the error analysis for discrete diffusion models remains less well-understood. In…

We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated…

In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given $\sigma$-field $\mathcal{Q}$. In our framework, we recall well-known results about Markov--Wiener diffusions. We…

We compute the diffusion coefficient and the Lyapunov exponent for a diffusive intermittent map by means of cycle expansion of dynamical zeta functions. The asymptotic power law decay of the coefficients of the relevant power series are…

For statistical inference on regression models with a diverging number of covariates, the existing literature typically makes sparsity assumptions on the inverse of the Fisher information matrix. Such assumptions, however, are often…

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…

In recent years, many difficulties appeared when taking into account the inherent stochastic behavior of neurons and voltage-dependent ion channels in Hodgking-Huxley type models. In particular, an open problem for a stochastic model of…

In this work, a complete error analysis is presented for fully discrete solutions of the subdiffusion equation with a time-dependent diffusion coefficient, obtained by the Galerkin finite element method with conforming piecewise linear…

This paper provides an introduction to some stochastic models of lattice gases out of equilibrium and a discussion of results of various kinds obtained in recent years. Although these models are different in their microscopic features, a…

This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…

We study a numerical method for convection diffusion equations, in the regime of small viscosity. It can be described as an exponentially fitted conforming Petrov-Galerkin method. We identify norms for which we have both continuity and an…

Many important properties of granular fluids can be represented by a system of hard spheres with inelastic collisions. Traditional methods of nonequilibrium statistical mechanics are effective for analysis and description of the inelastic…