相关论文: Sample path properties of the stochastic flows

In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…

We prove that solutions of stochastic differential equations driven by fractional Brownian motion for $H>1/2$ define flows of homeomorphisms on $\mathbb{R}^{d}$.

A discrete model of traffic on a multilane road is considered. The traffic is presented as particles movement with a deterministic component and a stochastic one. Formulas for the traffic characteristics have been found. The model can…

We study stochastic thermodynamics of over-damped Brownian motion in a flowing fluid. Unlike some previous works, we treat the effects of the flow field as a non-conservational driving force acting on the Brownian particle. This allows us…

We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.

We study a simple stochastic differential equation driven by one Brownian motion on a general oriented metric graph whose solutions are stochastic flows of kernels. Under some condition, we describe the laws of all solutions. This work is a…

We compute the entropy production engendered in the environment from a single Brownian particle which moves in a mean flow, and show that it corresponds in expectation to classical near-equilibrium entropy production in the surrounding…

We first prove some general results on pathwise uniqueness, comparison property and existence of nonnegative strong solutions of stochastic equations driven by white noises and Poisson random measures. The results are then used to prove the…

The weak limits of the measure-valued processes organized as a mass carried by the interacting Brownian particles are described. As a limiting flow the Arrattia flow is obtained.

We investigate the evolution of barycenters of masses transported by stochastic flows. The state spaces under consideration are smooth affine manifolds with certain convexity structure. Under suitable conditions on the flow and on the…

We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…

This article refines the classical notion of a stochastic D-bifurcation to the respective family of n-point motions for homogeneous Markovian stochastic semiflows, such as stochastic Brownian flows of homeomorphisms, and their…

A stochastic flow of homeomorphisms of the real line previously studied by Bass and Burdzy is shown to arise in describing a Brownian motion conditional on knowing its local times on hitting a fixed level. This makes it possible to connect…

We study transport properties of isotropic Brownian flows. Under a transience condition for the two-point motion, we show asymptotic normality of the image of a finite measure under the flow and -- under slightly stronger assumptions --…

In transportation systems (e.g. highways, railways, airports), traffic flows with distinct origin-destination pairs usually share common facilities and interact extensively. Such interaction is typically stochastic due to natural…

In this article we explore the phenomena of nonequilibrium stochastic process starting from the phenomenological Brownian motion. The essential points are described in terms of Einstein's theory of Brownian motion and then the theory…

Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…

It is well-known that a stochastic differential equation (sde) on a Euclidean space driven by a (possibly infinite-dimensional) Brownian motion with Lipschitz coefficients generates a stochastic flow of homeomorphisms. If the Lipschitz…

Stochastic efficiency is evaluated in five case studies: driven Brownian motion, effusion with a thermo-chemical and thermo-velocity gradient, a quantum dot and a model for information to work conversion. The salient features of stochastic…

We propose new limiting dynamics for stochastic gradient descent in the small learning rate regime called stochastic modified flows. These SDEs are driven by a cylindrical Brownian motion and improve the so-called stochastic modified…