Related papers: Existence results for the Cox-Ingersoll-Ross model…
It is shown that stochastic processes of diffusion type possess, in all generality, a structure of uncertainty relations and of coherent and squeezed states. This fact is used to obtain, via Nelson stochastic formulation of quantum…
The diffusive dynamics of a particle in a medium with space-dependent friction coefficient is studied within the framework of the inertial Langevin equation. In this description, the ambiguous interpretation of the stochastic integral,…
Recent innovations in diffusion probabilistic models have paved the way for significant progress in image, text and audio generation, leading to their applications in generative time series forecasting. However, leveraging such abilities to…
Given a positive energy solution of the Klein-Gordon equation, the motion of the free, spinless, relativistic particle is described in a fixed Lorentz frame by a Markov diffusion process with non-constant diffusion coefficient. Proper time…
We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross model. For this method, applied over both deterministic and adaptive random meshes, we prove a uniform moment bound and strong error results of order…
We examine characteristic properties of deterministic and stochastic diffusion in low-dimensional chaotic dynamical systems. As an example, we consider a periodic array of scatterers defined by a simple chaotic map on the line. Adding…
This paper uses dynamical invariants to describe the evolution of collisionless systems subject to time-dependent gravitational forces without resorting to maximum-entropy probabilities. We show that collisionless relaxation can be viewed…
The Pearson family of ergodic diffusions with a quadratic diffusion coefficient and a linear force are characterized by explicit dynamics of their integer moments and by explicit relaxation spectral properties towards their steady state.…
By identifying potential composite states that occur in the Sel'kov-Gray-Scott (GS) model, we show that it can be considered as an effective theory at large spatio-temporal scales, arising from a more \textit{fundamental} theory (which…
We consider a macroscopic model for the growth of living tissues incorporating pressure-driven dispersal and pressure-modulated proliferation. Assuming a power-law relation between the mechanical pressure and the cell density, the model can…
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence is established: 1) There exists such a representation from…
Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…
A class of generative models that unifies flow-based and diffusion-based methods is introduced. These models extend the framework proposed in Albergo and Vanden-Eijnden (2023), enabling the use of a broad class of continuous-time stochastic…
We model chaotic diffusion, in a symplectic 4D map by using the result of a theorem that was developed for stochastically perturbed integrable Hamiltonian systems. We explicitly consider a map defined by a free rotator (FR) coupled to a…
This paper is Part II of a two-part series on coexistence states study in stochastic generalized Kolmogorov systems under small diffusion. Part I provided a complete characterization for approximating invariant probability measures and…
The stochastic theory of relativistic quantum mechanics presented here is modelled on the one that has been proposed previously and that was claimed to be a promising substitute to the orthodox theory in the non-relativistic domain. So it…
We derive the hydrodynamic limit of a kinetic equation where the interactions in velocity are modelled by a linear operator (Fokker-Planck or Linear Boltzmann) and the force in the Vlasov term is a stochastic process with high amplitude and…
We study the dynamics of a class of two dimensional stochastic processes, depending on two parameters, which may be interpreted as two different temperatures, respectively associated to interfacial and to bulk noise. Special lines in the…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
A detailed study of various distinguished limits of the Green-Kubo formula for the self-diffusion coefficient is presented in this paper. First, an alternative representation of the Green-Kubo formula in terms of the solution of a Poisson…