Related papers: Cauchy Noise and Affiliated Stochastic Processes

Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…

Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…

We establish a new version of the stochastic Strichartz estimate for the stochastic convolution driven by jump noise which we apply to the stochastic nonlinear Schr\"{o}dinger equation with nonlinear multiplicative jump noise in the Marcus…

This article considers a Cauchy problem of Helmholtz equations whose solution is well known to be exponentially unstable with respect to the inputs. In the framework of variational quasi-reversibility method, a Fourier truncation is applied…

In this paper we study qualitative properties of initial traces of solutions to the porous medium equation with power nonlinearity, and obtain necessary conditions for the existence of solutions to the corresponding Cauchy problem.…

Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via…

Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…

In this article we study the Cauchy problem for a new class of parabolic-type pseudodifferential equations with variable coefficients for which the fundamental solutions are transition density functions of Markov processes in the four…

We comment on some conceptual and and technical problems related to computational mechanics, point out some errors in several papers, and straighten out some wrong priority claims. We present explicitly the correct algorithm for…

Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…

From a continuous-time long memory stochastic process, a discrete-time randomly sampled one is drawn. We investigate the second-order properties of this process and establish some time-and frequency-domain asymptotic results. We mainly…

We solve the Cauchy problem for the Korteweg-de Vries equation with steplike quasi-periodic, finite-gap initial conditions under the assumption that the perturbations have a given number of derivatives with finite moments.

We use nowdays classical theory of generalized moment problems by Krein-Nudelman [1977] to define a special class of stochastic Gaussian processes. The class contains, of course, stationary Gaussian processes. We obtain a spectral…

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…

In this article, we investigate an interacting particle system featuring random intensities, individual noise, and environmental noise, commonly referred to as stochastic point vortex model. The model serves as an approximation for the…

In this thesis, we develop analytical methods to study out-of-equilibrium stochastic processes driven by colored noise, i.e., noise with temporal correlations. These non-Markovian processes pose significant analytical challenges compared to…

We provide a complete solution of the problems of the probability distribution and the escape rate in Poisson-noise driven systems. It includes both the exponents and the prefactors. The analysis refers to an overdamped particle in a…

We derive quantitative estimates proving the conditional propagation of chaos for large stochastic systems of interacting particles subject to both idiosyncratic and common noise. We obtain explicit bounds on the relative entropy between…

For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…

In this paper, we study the Cauchy problem for a quasilinear degenerate parabolic stochastic partial differential equation driven by a cylindrical Wiener process. In particular, we adapt the notion of kinetic formulation and kinetic…