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We present a stylized model of controlled equilibration of a small system in a fluctuating environment. We derive the equations governing the optimal control steering \emph{in finite time} the system between two equilibrium states. The…
We introduce a minimization formulation for the determination of a finite-dimensional, time-dependent, orthonormal basis that captures directions of the phase space associated with transient instabilities. While these instabilities have…
We study impact of inertia on directed transport of a Brownian particle under non-equilibrium conditions: the particle moves in a one-dimensional periodic and symmetric potential, is driven by both an unbiased time-periodic force and a…
Brownian dynamics is a popular fine-grained method for simulating systems of interacting particles, such as chemical reactions. Though the method is simple to simulate, it is generally assumed that the dynamics is impossible to solve…
Given an initial (resp., terminal) probability measure $\mu$ (resp., $\nu$) on $\mathbb{R}^d$, we characterize those optimal stopping times $\tau$ that maximize or minimize the functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$,…
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such that the Q-expectations of some terminal and running costs are…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
Correlation functions are a standard tool for analyzing statistical particle trajectories. Recently, a so called mean back relaxation (MBR) has been introduced, which correlates positions at three time points. The deviation of its long time…
The Dyson Brownian Motion (DBM) describes the stochastic evolution of $N$ points on the line driven by an applied potential, a Coulombic repulsion and identical, independent Brownian forcing at each point. We use an explicit tamed Euler…
The primary requirement for achieving spin-selective electron transfer in a nanojunction possessing a magnetic system with zero net magnetization is to break the symmetry between the up and down spin sub-Hamiltonians. Circumventing the…
We propose a model order reduction approach for balanced truncation of linear switched systems. Such systems switch among a finite number of linear subsystems or modes. We compute pairs of controllability and observability Gramians…
We discuss the dynamics of a Brownian particle under the influence of a spatially periodic noise strength in one dimension using analytical theory and computer simulations. In the absence of a deterministic force, the Langevin equation can…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
A recent paper [Phys. Rev. E 87, 062114 (2013)] presents numerical simulations on a system exhibiting directed ratchet transport of a driven overdamped Brownian particle subjected to a spatially periodic, symmetric potential. The authors…
Motivated by L\'{e}vy's characterization of Brownian motion on the line, we propose an analogue of Brownian motion that has as its state space an arbitrary closed subset of the line that is unbounded above and below: such a process will be…
We study the non-equilibrium steady states and first passage properties of a Brownian particle with position $X$ subject to an external confining potential of the form $V(X)=\mu|X|$, and that is switched on and off stochastically. Applying…
We are concerned with multidimensional nonlinear stochastic transport equation driven by Brownian motions. For irregular fluxes, by using stochastic BGK approximations and commutator estimates, we gain the existence and uniqueness of…
The transport of a walker in rocking feedback-controlled ratchets are investigated. The walker consists of two coupled "feet" that allow the interchange of the order of the particles while the walker moves. In the underdamped case, the…
We propose a new class of rough stochastic volatility models obtained by modulating the power-law kernel defining the fractional Brownian motion (fBm) by a logarithmic term, such that the kernel retains square integrability even in the…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…