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Consider a reference Markov process with initial distribution $\pi_{0}$ and transition kernels $\{M_{t}\}_{t\in[1:T]}$, for some $T\in\mathbb{N}$. Assume that you are given distribution $\pi_{T}$, which is not equal to the marginal…
We study inverse boundary problems for the advection diffusion equation on an admissible manifold, i.e. a compact Riemannian manifold with boundary of dimension $\ge 3$, which is conformally embedded in a product of the Euclidean real line…
A central problem in data analysis is the low dimensional representation of high dimensional data, and the concise description of its underlying geometry and density. In the analysis of large scale simulations of complex dynamical systems,…
Reaction-Diffusion systems arise in diverse areas of science and engineering. Due to the peculiar characteristics of such equations, analytic solutions are usually not available and numerical methods are the main tools for approximating the…
Kramers escape from a metastable state in the presence of both thermal and quantum fluctuations under strong damping is treated as a thermally activated process in a quantum modified semiclassical potential. Dirac's time-dependent…
We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a…
In this paper we propose a finite-dimensional and deterministic approach to the study of invariant sets of certain nonautonomous differential inclusions naturally arising in the context of random and control dynamical systems, as well as in…
We present a nonlinear stochastic Schroedinger equation for pure states describing non-Markovian diffusion of quantum trajectories. It provides an unravelling of the evolution of a quantum system coupled to a finite or infinite number of…
By applying Rohlin's result on the classification of homomorphisms of Lebesgue space, the random inertial manifold of a stochastic damped nonlinear wave equations with singular perturbation is proved to be approximated almost surely by that…
We give an explicit stochastic Hamiltonian model of discontinuous unitary evolution for quantum spontaneous jumps like in a system of atoms in quantum optics, or in a system of quantum particles that interacts singularly with "bubbles"…
Statistical invariance of Wiener increments under SO(n) rotations provides a notion of gauge transformation of state-dependent Brownian motion. We show that the stochastic dynamics of non gauge-invariant systems is not unambiguously…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
We analyze the Schr\"{o}dinger dynamics and the Schr\"{o}dinger function (or the so-called wavefunction) in the following four aspects. (1) The Schr\"{o}dinger equation is reconstructed from scratch in the real field only, without referring…
Branching random walks are key to the description of several physical and biological systems, such as neutron multiplication, genetics and population dynamics. For a broad class of such processes, in this Letter we derive the discrete…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
The present paper originated from our previous study of the problem of harmonic analysis on the infinite symmetric group. This problem leads to a family {P_z} of probability measures, the z-measures, which depend on the complex parameter z.…
We develop a systematic and efficient approach for numerically solving the non-Markovian quantum state diffusion equations for open quantum systems coupled to an environment up to arbitrary orders of noises or coupling strengths. As an…
We discuss a connection (and a proper place in this framework) of the unforced and deterministically forced Burgers equation for local velocity fields of certain flows, with probabilistic solutions of the so-called Schr\"{o}dinger…
The classical approach to diffusion processes is based on Fick's law that the flux is proportional to the concentration gradient. Various phenomena occurring during propagation of penetrating liquids in polymers show that this type of…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…