Related papers: A universality class in Markovian persistence
Consider a stable L\'evy process $X=(X_t,t\geq 0)$ and let $T_x$, for $x>0$, denote the first passage time of $X$ above the level $x$. In this work, we give an alternative proof of the absolute continuity of the law of $T_x$ and we obtain a…
We use an effective Markovian description to study the long-time behaviour of a nonlinear second order Langevin equation with Gaussian noise. When dissipation is neglected, the energy of the system grows as with time a power-law with an…
We analyze some basic issues associated with Generalized Poisson-Kac (GPK) stochastic processes, starting from the extended notion of the Markovian condition. The extended Markovian nature of GPK processes is established, and the…
Understanding and predicting the dynamical properties of systems involving dry friction is a major concern in physics and engineering. It abounds in many mechanical processes, from the sound produced by a violin to the screeching of chalk…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
A scalar Langevin-type process $X(t)$ that is driven by Ornstein-Uhlenbeck noise $\eta(t)$ is non-Markovian. However, the joint dynamics of $X$ and $\eta$ is described by a Markov process in two dimensions. But even though there exists a…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
This paper investigates the influence of environmental noise on the characteristic timescale of the dynamics of density-dependent populations. General results are obtained on the statistics of time spent in rarity and time spent in…
We study records generated by Brownian particles in one dimension. Specifically, we investigate an ordinary random walk and define the record as the maximal position of the walk. We compare the record of an individual random walk with the…
It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…
We develop a master equation formalism to describe the evolution of the average density matrix of a closed quantum system driven by a stochastic Hamiltonian. The average over random processes generally results in decoherence effects in…
Turbulence is one of the most frequently encountered non-equilibrium phenomena in nature yet characterising the transition that gives rise to it has remained an elusive task. Although in recent studies critical points marking the onset of…
The mean first exit (passage) time characterizes the average time of a stochastic process never leaving a fixed region in the state space, while the escape probability describes the likelihood of a transition from one region to another for…
An $\al$-permanental process $\{X_{ t},t\in T \}$ is a stochastic process determined by a kernel $K=\{K(s,t),s,t\in T \}$, with the property that for all $t_{1},\ldots,t_{n}\in T $, $ |I+K( t_{1},\ldots,t_{n}) S|^{- \al} $ is the Laplace…
The escape probability is a deterministic concept that quantifies some aspects of stochastic dynamics. This issue has been investigated previously for dynamical systems driven by Gaussian Brownian motions. The present work considers escape…
The existence of global-in-time bounded martingale solutions to a general class of cross-diffusion systems with multiplicative Stratonovich noise is proved. The equations describe multicomponent systems from physics or biology with…
In the first part of this thesis, we study a Markov chain on $\mathbb{R}_+ \times S$, where $\mathbb{R}_+$ is the non-negative real numbers and $S$ is a finite set, in which when the $\mathbb{R}_+$-coordinate is large, the $S$-coordinate of…
The stochastic differential equation of McKean-Vlasov type is identified such that the Fokker-Planck equation associated to it is the Boltzmann equation. Hence, we call its solutions as Boltzmann processes. They describe the dynamics (in…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…