Controlled diffusion processes

This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions. Stochastic maximum principle and control under partial observations (equivalently, control of nonlinear filters) are also discussed. Several other related topics are briefly sketched.Comment: Published at http://dx.doi.org/10.1214/154957805100000131 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org

Diffusion-Reorganized Aggregates: Attractors in Diffusion Processes?

A process based on particle evaporation, diffusion and redeposition is applied iteratively to a two-dimensional object of arbitrary shape. The evolution spontaneously transforms the object morphology, converging to branched structures. Independently of initial geometry, the structures found after long time present fractal geometry with a fractal dimension around 1.75. The final morphology, which constantly evolves in time, can be considered as the dynamic attractor of this evaporation-diffusion-redeposition operator. The ensemble of these fractal shapes can be considered to be the {\em dynamical equilibrium} geometry of a diffusion controlled self-transformation process.Comment: 4 pages, 5 figure

Fluctuation Relations for Diffusion Processes

The paper presents a unified approach to different fluctuation relations for classical nonequilibrium dynamics described by diffusion processes. Such relations compare the statistics of fluctuations of the entropy production or work in the original process to the similar statistics in the time-reversed process. The origin of a variety of fluctuation relations is traced to the use of different time reversals. It is also shown how the application of the presented approach to the tangent process describing the joint evolution of infinitesimally close trajectories of the original process leads to a multiplicative extension of the fluctuation relations.Comment: 38 page

Diffusion Processes and Coherent States

It is shown that stochastic processes of diffusion type possess, in all generality, a structure of uncertainty relations and of coherent and squeezed states. This fact is used to obtain, via Nelson stochastic formulation of quantum mechanics, the harmonic-oscillator coherent and squeezed states. The method allows to derive new minimum uncertainty states in time-dependent oscillator potentials and for the Caldirola-Kanai model of quantum damped oscillator.Comment: 11 pages, plain LaTe

Strong Stationary Duality for Diffusion Processes

We develop the theory of strong stationary duality for diffusion processes on compact intervals. We analytically derive the generator and boundary behavior of the dual process and recover a central tenet of the classical Markov chain theory in the diffusion setting by linking the separation distance in the primal diffusion to the absorption time in the dual diffusion. We also exhibit our strong stationary dual as the natural limiting process of the strong stationary dual sequence of a well chosen sequence of approximating birth-and-death Markov chains, allowing for simultaneous numerical simulations of our primal and dual diffusion processes. Lastly, we show how our new definition of diffusion duality allows the spectral theory of cutoff phenomena to extend naturally from birth-and-death Markov chains to the present diffusion context.Comment: 34 page

Diffusion Processes in Turbulent Magnetic Fields

We study of the effect of turbulence on diffusion processes within magnetized medium. While we exemplify our treatment with heat transfer processes, our results are quite general and are applicable to different processes, e.g. diffusion of heavy elements. Our treatment is also applicable to describing the diffusion of cosmic rays arising from magnetic field wandering. In particular, we find that when the energy injection velocity is smaller than the Alfven speed the heat transfer is partially suppressed, while in the opposite regime the effects of turbulence depend on the intensity of driving. In fact, the scale $l_A$ at which the turbulent velocity is equal the Alfven velocity is a new important parameter. When the electron mean free path $\lambda$ is larger than $l_A$, the stronger the the turbulence, the lower thermal conductivity by electrons is. The turbulent motions, however, induces their own advective transport, that can provide effective diffusivity. For clusters of galaxies, we find that the turbulence is the most important agent for heat transfer. We also show that the domain of applicability of the subdiffusion concept is rather limited.Comment: 3 figures, 11 pages, to be published in AIP volume of "Turbulence and Non-linear Processes in Astrophysical Plasmas

Discretized Diffusion Processes

We study the properties of the ``Rigid Laplacian'' operator, that is we consider solutions of the Laplacian equation in the presence of fixed truncation errors. The dynamics of convergence to the correct analytical solution displays the presence of a metastable set of numerical solutions, whose presence can be related to granularity. We provide some scaling analysis in order to determine the value of the exponents characterizing the process. We believe that this prototype model is also suitable to provide an explanation of the widespread presence of power-law in social and economic system where information and decision diffuse, with errors and delay from agent to agent.Comment: 4 pages 5 figure, to be published in PR

A Causal Construction of Diffusion Processes

A simple nonlinear integral equation for Ito's map is obtained. Although, it does not include stochastic integrals, it does give causal construction of diffusion processes which can be easily implemented by iteration systems. Applications in financial modelling and extension to fBm are discussed.Comment: 9 page