Related papers: Strong Feller property via moment method
We consider the transport equation driven by the fractional Brownian motion. We study the existence and the uniqueness of the weak solution and, by using the tools of the Malliavin calculus, we prove the existence of the density of the…
Examples of self propulsion in strongly fluctuating environment is abound in nature, e.g., molecular motors and pumps operating in living cells. Starting from Langevin equation of motion, we develop a fluctuating thermodynamic description…
Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $\beta=2$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a…
We propose a novel stochastic method to generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$ under a given potential $U(x)$. These paths are sampled with a probability…
We investigate the emergence of temperature $T$ in the system-plus-reservoir paradigm starting from the fundamental microcanonical scenario at total fixed energy $E$ where, contrary to the canonical approach, $T=T(E)$ is not a control…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
We study fast / slow systems driven by a fractional Brownian motion $B$ with Hurst parameter $H\in (\frac 13, 1]$. Surprisingly, the slow dynamic converges on suitable timescales to a limiting Markov process and we describe its generator.…
We study stochastic thermodynamics of over-damped Brownian motion in a flowing fluid. Unlike some previous works, we treat the effects of the flow field as a non-conservational driving force acting on the Brownian particle. This allows us…
We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…
Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using…
The "standard" Brownian motion master equation, used to describe thermal damping, is not completely positive, and does not admit a Monte Carlo method, important in numerical simulations. To eliminate both these problems one must add a term…
An efficient numerical approach to equilibrium properties of strongly coupled systems which include a subsystem of fermionic quantum particles and a subsystem of classical particles is presented. It uses an improved path integral…
In this paper, exponential energy-preserving methods are formulated and analysed for solving charged-particle dynamics in a strong and constant magnetic field. The resulting method can exactly preserve the energy of the dynamics. Moreover,…
We present a method for computing parameter sensitivities and response coefficients in Brownian dynamics simulations. The method involves tracking auxiliary variables (Malliavin weights) in addition to the usual particle positions, in an…
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…
We consider the properties of a one dimensional fluid of brownian inertial hard-core particles, whose microscopic dynamics is partially damped by a heat-bath. Direct interactions among the particles are represented as binary, instantaneous…
To address the dynamics of a Brownian particle on a periodic symmetric substrate under high-frequency periodic forcing with a vanishing time average, we construct an effective Langevin dynamics by invoking Kapitza-Landau time window. Our…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
In this paper, we prove that the inverse of Malliavin matrix is p integrable for a kind of degenerate stochastic differential equation under some conditions, which like to Hormander condition, but don't need all the coefficients of the SDE…
We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…