Related papers: Stability Properties of Constrained Jump-Diffusion…
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general…
We consider a system of $N$ interacting particles, described by SDEs driven by Poisson random measures, where the coefficients depend on the empirical measure of the system. Every particle jumps with a jump rate depending on its position.…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
We give necessary and sufficient conditions to characterize the convergence in distribution of a sequence of arbitrary random variables to a probability distribution which is the invariant measure of a diffusion process. This class of…
We extend the Gibbs conditioning principle to an abstract setting combining infinitely many linear equality constraints and non-linear inequality constraints, which need not be convex. A conditional large large deviation principle (LDP) is…
This paper develops stability and stabilization results for systems of fully coupled jump diffusions. Such systems frequently arise in numerous applications where each subsystem (component) is operated under the influence of other…
We consider a particle moving in continuous time as a Markov jump process; its discrete chain is given by an ordinary random walk on ${\mathbb Z}^d$ , and its jump rate at $({\mathbf x},t)$ is given by a fixed function $\varphi$ of the…
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…
Zero-range processes with decreasing jump rates are known to exhibit condensation, where a finite fraction of all particles concentrates on a single lattice site when the total density exceeds a critical value. We study such a process on a…
The diffusion of a walk in the presence of traps is investigated. Different diffusion regimes are obtained considering the magnitude of the fluctuations in waiting times and jump distances. A constant velocity during the jump motion is…
We discuss high order absorbing constraint preserving boundary conditions for the Z4c formulation of general relativity coupled to the moving puncture family of gauges. We are primarily concerned with the constraint preservation and…
Let $V$ be a two sided random walk and let $X$ denote a real valued diffusion process with generator ${1/2}e^{V([x])}\frac{d}{dx}(e^{-V([x])}\frac{d}{dx})$. This process is known to be the continuous equivalent of the one dimensional random…
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…
We present a singular perturbation theory applicable to systems with hybrid boundary layer systems and hybrid reduced systems {with} jumps from the boundary layer manifold. First, we prove practical attractivity of an adequate attractor set…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
Using the language of regular variation, we give a sufficient condition for a point process to be in the superposition domain of attraction of a strictly stable point process. This sufficient condition is then used to obtain an explicit…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
We consider a class of external potentials on the complex plane $\mathbb{C}$ for which the coincidence set to the obstacle problem contains a Jordan curve in the exterior of the droplet. We refer to this curve as a spectral outpost. We…
We study stability of the sharp Poincar{\'e} constant of the invariant probability measure of a reversible diffusion process satisfying some natural conditions. The proof is based on the spectral interpretation of Poincar{\'e} inequalities…