相关论文: Drift and Diffusion in Periodically Driven Renewal…

In this paper we consider a diffusion process obtained as a small random perturbation of a dynamical system attracted to a stable equilibrium point. The drift and the diffusive perturbation are assumed to evolve slowly in time. We describe…

Stochastic resetting can be naturally understood as a renewal process governing the evolution of an underlying stochastic process. In this work, we formally derive well-known results of diffusion with resets from a renewal theory…

The versatility of renewal theory is owed to its abstract formulation. Renewals can be interpreted as steps of a random walk, switching events in two-state models, domain crossings of a random motion, etc. We here discuss a renewal process…

Stationary distributions of multivariate diffusion processes have recently been proposed as probabilistic models of causal systems in statistics and machine learning. Motivated by these developments, we study stationary multivariate…

A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…

We investigate an intermittent stochastic process, in which the diffusive motion with time-dependent diffusion coefficient $D(t)\sim t^{\alpha-1}$, $\alpha>0$ (scaled Brownian motion), is stochastically reset to its initial position and…

We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…

Renewal process is a point process where an inter-event time between successive renewals is an independent and identically distributed random variable. Alternating renewal process is a dichotomous process and a slight generalization of the…

Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…

We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek to determine parameters in the effective…

We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…

We study nanomechanical resonators with frequency fluctuations due to diffusion of absorbed particles. The diffusion depends on the vibration amplitude through inertial effect. We find that, if the diffusion coefficient is sufficiently…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

We discuss some applications of the Mittag-Leffler function and related probability distributions in the theory of renewal processes and continuous time random walks. In particular we show the asymptotic (long time) equivalence of a generic…

We show the asymptotic long-time equivalence of a generic power law waiting time distribution to the Mittag-Leffler waiting time distribution, characteristic for a time fractional CTRW. This asymptotic equivalence is effected by a…

The notion of drift refers to the phenomenon that the distribution, which is underlying the observed data, changes over time. Albeit many attempts were made to deal with drift, formal notions of drift are application-dependent and…

The problem of eliminating fast-relaxing variables to obtain an effective drift-diffusion process in position is solved in a uniform and straightforward way for models with velocity a function jointly of position and fast variables. A more…

We consider renewal stochastic processes generated by non-independent events from the perspective that their basic distribution and associated generating functions obey the statistical-mechanical structure of systems with interacting…

In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an…