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The periodic Lorentz gas is a paradigmatic model to examine how macroscopic transport emerges from microscopic chaos. It consists of a triangular lattice of circular hard scatterers with a moving point particle. Recently this system became…

An approximate stochastic model for the topological dynamics of the periodic triangular Lorentz gas is constructed. The model, together with an extremum principle, is used to find a closed form approximation to the diffusion coefficient as…

In this paper, we numerically address the inverse problem of identifying a time-dependent coefficient in the time-fractional diffusion equation. An a priori estimate is established to ensure uniqueness and stability of the solution. A fully…

This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…

This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…

We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional…

The Lagrangian approach is natural to study issues of turbulent dispersion and mixing. We propose in this work a general Lagrangian stochastic model including velocity and acceleration as dynamical variables for inhomogeneous turbulent…

We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…

We consider It\^o SDE $\d X_t=\sum_{j=1}^m A_j(X_t) \d w_t^j + A_0(X_t) \d t$ on $\R^d$. The diffusion coefficients $A_1,..., A_m$ are supposed to be in the Sobolev space $W_\text{loc}^{1,p} (\R^d)$ with $p>d$, and to have linear growth;…

The problem of diffusion in a time-dependent (and generally inhomogeneous) external field is considered on the basis of a generalized master equation with two times, introduced in [1,2]. We consider the case of the quasi Fokker-Planck…

A novel probabilistic framework for modelling anomalous diffusion is presented. The resulting process is Markovian, non-homogeneous, non-stationary, non-ergodic, and state-dependent. The fundamental law governing this process is driven by…

Modelling the evolution of a system using stochastic dynamics typically implies a greater subjective uncertainty in the adopted system coordinates as time progresses, and stochastic entropy production has been developed as a measure of this…

We introduce a description of the collective transverse dynamics of charged (proton) beams in the stability regime by suitable classical stochastic fluctuations. In this scheme, the collective beam dynamics is described by time--reversal…

The exponent of anomalous diffusion of virus in cytoplasm of a living cell is experimentally known to fluctuate depending on localized areas of the cytoplasm, indicating heterogeneity of diffusion. In a recent paper (Itto, 2012), a…

In this note, we discuss the uniform ergodicity of a diffusion process given by an It\^o stochastic differential equation. We present an integral condition in terms of the drift and diffusion coefficients that ensures the uniform ergodicity…

We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…

We discuss the effective diffusion constant $D_{{\it eff}}$ for stochastic processes with spatially-dependent noise. Starting from a stochastic process given by a Langevin equation, different drift-diffusion equations can be derived…

This paper derives the asymptotic distribution of variance weighted Kolmogorov-Smirnov statistics for conditional moment inequality models for the case of a one dimensional covariate. The asymptotic distribution depends on the data…

So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we extend one-factor copulas to conditionally dependent models. This is achieved through new representations which allow to build new…

We introduce a model of long-range interacting particles evolving under a stochastic Monte Carlo dynamics, in which possible increase or decrease in the values of the dynamical variables is accepted with preassigned probabilities. For…