相关论文: On superstatistical multiplicative-noise processes
We obtain a general solution for the probability density function of wave intensities in non-stationary Wave Turbulence. The solution is expressed in terms of the wave action spectrum evolving according the the wave-kinetic equation. We…
.Stochastic models based on random diffusivities, such as the diffusing-diffusivity approach, are popular concepts for the description of non-Gaussian diffusion in heterogeneous media. Studies of these models typically focus on the moments…
We study the role of multiplicative stochastic processes in the description of the dynamics of an order parameter near a critical point. We study equilibrium, as well as, out-of-equilibrium properties. By means of a functional formalism, we…
Recent research on the non-stationary nature of the dynamics of complex systems is reviewed through three specific models. The long time dynamics consists of a slow, decelerating but spasmodic release of generalized intrinsic strain. These…
We analyze theoretically and experimentally the influence of current noise on the longitudinal mode hopping dynamics of a bulk semiconductor laser. It is shown that the mean residence times on each mode have different sensitivity to…
In this note we prove the strong Feller property of a strong Markov quasi diffusion process corresponding to an elliptic operator with merely bounded measurable coefficients. We also prove H\"older continuity of harmonic functions…
This paper addresses the detection of a stochastic process in noise from irregular samples. We consider two hypotheses. The \emph{noise only} hypothesis amounts to model the observations as a sample of a i.i.d. Gaussian random variables…
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of…
Recently, progress has been made in the theory of turbulence, which provides a framework on how a deterministic process changes to a stochastic one owing to the change in thermodynamic states. It is well known that, in the framework of…
The recent contribution Dieker & Mikosch (2015) [1] obtained important representations of max-stable stationary Brown-Resnick random fields $\zeta_Z$ with a spectral representation determined by a Gaussian process $Z$. With motivations from…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a diffusion with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function. We establish…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
We derive the statistical properties of one-dimensional Burgers dynamics with stochastic initial conditions for the velocity potential defined by a Poisson point process whose intensity follows a power law with exponent $\alpha > -1$.…
The influence of an external random field on the competition process in a nonlinear open spatially extended system is analyzed numerically. A three-component model is chosen as the competition model in which a "weak" species can move in…
The statistical behavior of a nonlinear system described by a mapping with phase rotation is studied. We use the Kolmogorov-Chapman equations for the multi-time probability distribution functions for investigation of dynamics under the…
We study the persistence probability for some discrete-time, time-reversible processes. In particular, we deduce the persistence exponent in a number of examples: first, we deal with random walks in random sceneries (RWRS) in any dimension…
In this article, we study the dynamics of a nonlinear system governed by an ordinary differential equation under the combined influence of fast periodic sampling with period $\delta$ and small jump noise of size $\varepsilon, 0<…
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered…
We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…