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Characterization of composite materials, whose properties vary in space over microscopic scales, has become a problem of broad interdisciplinary interest. In particular, estimation of the inhomogeneous transport coefficients, e.g. the…
The occurrence of stochastic resonance in bistable systems undergoing anomalous diffusions, which arise from density-dependent fluctuations, is investigated with emphasis on the analytical formulation of the problem as well as a possible…
A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…
We derive a stochastic wave equation for an inflaton in an environment of an infinite number of fields. We study solutions of the linearized stochastic evolution equation in an expanding universe. The Fokker-Planck equation for the inflaton…
In this thesis we consider stochastic resonance for a diffusion with drift given by a potential, which has two metastable states and two pathways between them. Depending on the direction of the forcing the height of the two barriers, one…
Frequency-dependent selection reflects the interaction between different species as they battle for limited resources in their environment. In a stochastic evolutionary game the species relative fitnesses guides the evolutionary dynamics…
This work is concerned with the stability properties of linear stochastic differential equations with random (drift and diffusion) coefficient matrices, and the stability of a corresponding random transition matrix (or exponential…
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
Much effort has been put into developing theories for dense fluids, as a result of these efforts many theories work for a certain type of particle or in a certain concentration regime. Rosenfeld proposed a dependence of the self-diffusion…
We discuss the derivation and the solutions of integro-differential equations (variable-order time-fractional diffusion equations) following as continuous limits for lattice continuous time random walk schemes with power-law waiting-time…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
We present here a new stochastic modelling in the constitution of fluid flow reduced-order models. This framework introduces a spatially inhomogeneous random field to represent the unresolved small-scale velocity component. Such a…
We assume that we observe $N$ independent copies of a diffusion process on a time-interval $[0,2T]$. For a given time $t$, we estimate the transition density $p_t(x,y)$, namely the conditional density of $X_{t + s}$ given $X_s = x$, under…
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
A classical problem of statistical inference is the valid specification of a model that can account for the statistical dependencies between observations when the true structure is dense, intractable, or unknown. To address this problem, a…
We develop several statistical tests of the determinant of the diffusion coefficient of a stochastic differential equation, based on discrete observations on a time interval $[0,T]$ sampled with a time step $\Delta$. Our main contribution…
Motivated by infinite-dimensional ecological and biological models such as reaction-diffusion SPDEs and stochastic functional differential equations, we develop a general criteria for stochastic persistence (coexistence) in terms of an…
We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period $T$ and a small Gaussian random perturbation of…
This paper is concerned with risk-sensitive performance analysis for linear quantum stochastic systems interacting with external bosonic fields. We consider a cost functional in the form of the exponential moment of the integral of a…