Related papers: Linear approximations of large deviations: Cubic d…
Using equilibrium fluctuations to understand the response of a physical system to an externally imposed perturbation is the basis for linear response theory, which is widely used to interpret experiments and shed light on microscopic…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
We study fluctuations of small noise multiscale diffusions around their homogenized deterministic limit. We derive quantitative rates of convergence of the fluctuation processes to their Gaussian limits in the appropriate Wasserstein metric…
In this paper, we study the dynamics of a linear control system with given state feedback control law in the presence of fast periodic sampling at temporal frequency $1/\delta$ ($0 < \delta \ll 1$), together with small white noise…
Approximation of scattered data is often a task in many engineering problems. The Radial Basis Function (RBF) approximation is appropriate for large scattered datasets in d-dimensional space. It is non-separable approximation, as it is…
We employ the macroscopic fluctuation theory to study fluctuations of integrated current in one-dimensional lattice gases with a step-like initial density profile. We analytically determine the variance of the current fluctuations for a…
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws…
Considering the natural ventilation, the thermal behavior of buildings can be described by a linear time varying model. In this paper, we describe an implementation of model reduction of linear time varying systems. We show the consequences…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
We study the large deviation behaviour of the trajectories of empirical distributions of independent copies of time-homogeneous Feller processes on locally compact metric spaces. Under the condition that we can find a suitable core for the…
In this paper, we study numerical methods for the homogenization of linear second-order elliptic equations in nondivergence-form with periodic diffusion coefficients and large drift terms. Upon noting that the effective diffusion matrix can…
We propose a unified method for the large space-time scaling limit of \emph{linear} collisional kinetic equations in the whole space. The limit is of \emph{fractional} diffusion type for heavy tail equilibria with slow enough decay, and of…
We analyse large deviations of the dynamical activity in one-dimensional systems of diffusing hard particles. Using an optimal-control representation of the large-deviation problem, we analyse effective interaction forces which can be added…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
Consider a single server queue with renewal arrivals and i.i.d. service times in which the server operates under a processor sharing service discipline. To describe the evolution of this system, we use a measure valued process that keeps…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
We consider a two-dimensional Hamiltonian system perturbed by a small diffusion term, whose coefficient is state-dependent and non-degenerate. As a result, the process consists of the fast motion along the level curves and slow motion…
We study a model describing the slow flow of a fluid through a deformable, porous, elastic solid undergoing small deformations. The stress-strain relationship of the solid incorporates nonlinear effects, formulated as a perturbation of the…
This paper proposes a novel reaction-diffusion system approximation tailored for singular diffusion problems, typified by the fast diffusion equation. While such approximation methods have been successfully applied to degenerate parabolic…