相关论文: The Onsager-Machlup Function as Lagrangian for the…

This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…

This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…

In this article we derive Talagrand's $T_2$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward…

We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…

Stochastic motion of particles in a highly unstable potential generates a number of diverging trajectories leading to undefined statistical moments of the particle position. This makes experiments challenging and breaks down a standard…

In this paper, we follow in the footsteps of Onsager and Machlup (OM) and consider diffusion-like paths that are explored by a particle moving via a conservative force while being in thermal equilibrium with its surroundings. Instead of…

The variational principle of the Onsager-Machlup integral is used to describe the stochastic dynamics of a micromachine, such as an enzyme, characterized by odd elasticity. The obtained most probable path is found to become non-reciprocal…

We study the statistical properties of overdamped particles driven by two cross-correlated multiplicative Gaussian white noises in a time-dependent environment. Using the Langevin and Fokker-Planck approaches, we derive the exact…

Non-Gaussian noise influences many complex out-of-equilibrium systems on a wide range of scales such as quantum devices, active and living matter, and financial markets. Despite the ubiquitous nature of non-Gaussian noise, its effect on…

In this paper we will make the computation of the Onsager-Machlup functional of an inhomogeneous uniformly elliptic diffusion process. This functional will have formally the same picture as in the homogeneous case, the only difference come…

We consider a periodically-forced 1-D Langevin equation that possesses two stable periodic solutions in the absence of noise. We ask the question: is there a most likely noise-induced transition path between these periodic solutions that…

We present a stochastic method for reconstructing missing spatial and velocity data along the trajectories of small objects passively advected by turbulent flows with a wide range of temporal or spatial scales, such as small balloons in the…

We develop an information-theoretic formulation of stochastic dynamics in which the fundamental stochastic variable is the total action connecting spacetime points, rather than individual paths. By maximizing Shannon entropy over a joint…

We construct admissible circulant Laplacian matrix functions as generators for strictly increasing random walks on the integer line. These Laplacian matrix functions refer to a certain class of Bernstein functions. The approach has…

We propose a general framework for studying jump-diffusion systems driven by both Gaussian noise and a jump process with state-dependent intensity. Of particular natural interest are the jump locations: the system evaluated at the jump…

We propose a dynamic domain semi-Lagrangian method for stochastic Vlasov equations driven by transport noises, which arise in plasma physics and astrophysics. This method combines the volume-preserving property of stochastic characteristics…

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…

Stochastic systems are used to model a variety of phenomena in which noise plays an essential role. In these models, one potential goal is to determine if noise can induce transitions between states, and if so, to calculate the most…

This paper is concerned with transition paths within the framework of the overdamped Langevin dynamics model of chemical reactions. We aim to give an efficient description of typical transition paths in the small temperature regime. We…

We straight-forwardly derive the Onsager-Machlup Lagrangian from the Fokker-Planck equation and show that friction and dissipation are a natural property of the equation of motion. We develop a method to calculate the local variance…