Related papers: Uniform-in-time diffusion approximations for multi…
Some sufficient conditions on the algebraic stability of non-homogeneous regime-switching diffusion processes are established. In this work we focus on determining the decay rate of a stochastic system which switches randomly between…
The diffusion of molecules in complex intracellular environments can be strongly influenced by spatial heterogeneity and stochasticity. A key challenge when modelling such processes using stochastic random walk frameworks is that negative…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…
We study stochastic particle systems with stationary product measures that exhibit a condensation transition due to particle interactions or spatial inhomogeneities. We review previous work on the stationary behaviour and put it in the…
We study the long time behavior (homogenization) of a diffusion in random medium with time and space dependent coefficients. The diffusion coefficient may degenerate. In Stochastic Process. Appl. (2007) (to appear), an invariance principle…
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…
This paper studies the large time behavior of aggregation-diffusion equations. For one spatial dimension with certain assumptions on the interaction potential, the diffusion index $m$, and the initial data, we prove the convergence to the…
This work is devoted to deriving small mass limiting equation for a class of Hamiltonian systems with multiplicative L\'evy noise. Derivation of the limiting equation depends on the structure of the stochastic Hamiltonian systems, in which…
This work studies the averaging principle for a fully coupled two time-scale system, whose slow process is a diffusion process and fast process is a purely jumping process on an infinitely countable state space. The ergodicity of the fast…
We study ergodic properties of Markovian multiclass many-server queues which are uniform over scheduling policies, as well as the size n of the system. The system is heavily loaded in the Halfin-Whitt regime, and the scheduling policies are…
We establish a sharp uniform-in-time error estimate for the Stochastic Gradient Langevin Dynamics (SGLD), which is a widely-used sampling algorithm. Under mild assumptions, we obtain a uniform-in-time $O(\eta^2)$ bound for the KL-divergence…
This work develops a quantitative homogenization theory for random suspensions of rigid particles in a steady Stokes flow, and completes recent qualitative results. More precisely, we establish a large-scale regularity theory for 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…
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential…
The paper presents a generalization of the local limit theorem on the convergence of inhomogeneous Markov chains to the diffusion limit for the case where the corresponding process coefficients satisfy weak regularity conditions and…
A finite dimensional abstract approximation and convergence theory is developed for estimation of the distribution of random parameters in infinite dimensional discrete time linear systems with dynamics described by regularly dissipative…
A generalisation of Takens' delay-coordinate embedding theorem to stochastic systems, the Stochastic Embedding Sufficiency Theorem, is an inverse methodology enabling non-parametric recovery of both drift and diffusion fields from scalar…
The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…
We study the asymptotic behavior, uniform-in-time, of a non-linear dynamical system under the combined effects of fast periodic sampling with period $\delta$ and small white noise of size $\varepsilon,\thinspace 0<\varepsilon,\delta \ll 1$.…
For ergodic adiabatic quantum systems, we study the evolution of energy distribution as the system evolves in time. Starting from the von Neumann equation for the density operator, we obtain the quantum analogue of the Smoluchowski equation…