相关论文: Phenomenology of stochastic exponential growth

Stochastic models of varying complexity have been proposed to describe the dispersion of particles in turbulent flows, from simple Brownian motion to complex temporally and spatially correlated models. A method is needed to compare…

We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity. When these parameters change as function of…

In this paper, we prove a mimicking theorem for stochastic processes with an additive Gaussian noise along with some entropy and transport type estimates. As an application of these results, we prove sharp quantitative propagation of chaos…

We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…

Stochastic Gradient Descent (SGD) is commonly modeled as a Langevin process, assuming that minibatch noise acts as Brownian motion. However, this approximation relies on a continuous-time limit and a sqrt(eta) noise scaling that does not…

Brownian motion is a Gaussian process described by the central limit theorem. However, exponential decays of the positional probability density function $P(X,t)$ of packets of spreading random walkers, were observed in numerous situations…

Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…

Scaled Brownian motion (SBM) is widely used to model anomalous diffusion of passive tracers in complex and biological systems. It is a highly non-stationary process governed by the Langevin equation for Brownian motion, however, with a…

We study a stochastic model of gene expression, in which protein production has a form of random bursts whose size distribution is arbitrary, whereas protein decay is a first-order reaction. We find exact analytical expressions for the time…

We introduce a stochastic nonlocal reaction--diffusion model arising in tumour dynamics. Spatial dispersal is described by the fractional Laplacian, accounting for anomalous diffusion and long--range relocation events. The system is…

Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhibits a property of power-like decaying autocorrelation…

Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, which can lead to ensemble averages exhibiting exponential…

The evolution of urban landscapes is rapidly altering the surface of our planet. Yet, our understanding of the urbanisation phenomenon remains far from complete. A fundamental challenge is to describe spatiotemporal changes in the built…

We present an application of the theory of stochastic processes to model and categorize non-equilibrium physical phenomena. The concepts of uniformly continuous probability measures and modular evolution lead to a systematic hierarchical…

We introduce the first continuous-time score-based generative model that leverages fractional diffusion processes for its underlying dynamics. Although diffusion models have excelled at capturing data distributions, they still suffer from…

The problem is a power-law asymptotics of the probability that a self-similar process does not exceed a fixed level during long time. The exponent in such asymptotics is estimated for some Gaussian processes, including the fractional…

Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is…

For the Langevin model of the dynamics of a Brownian particle with perturbations orthogonal to its current velocity, in a regime when the particle velocity modulus becomes constant, an equation for the characteristic function $\psi…

This thesis is dedicated to the study of stochastic processes; non-deterministic physical phenomena that can be well described by classical physics. The stochastic processes we are interested in are akin to Brownian Motion and can be…

Advances in nanotechnology have allowed scientists to study biological processes on an unprecedented nanoscale molecule-by-molecule basis, opening the door to addressing many important biological problems. A phenomenon observed in recent…