Time irregularity of generalized Ornstein--Uhlenbeck processes

The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical L\'evy processes. It turns out that solutions, under rather weak requirements, do not have c\`adl\`ag modification. Some natural open questions are also stated

Cooling down Levy flights

Let L(t) be a Levy flights process with a stability index \alpha\in(0,2), and U be an external multi-well potential. A jump-diffusion Z satisfying a stochastic differential equation dZ(t)=-U'(Z(t-))dt+\sigma(t)dL(t) describes an evolution of a Levy particle of an `instant temperature' \sigma(t) in an external force field. The temperature is supposed to decrease polynomially fast, i.e. \sigma(t)\approx t^{-\theta} for some \theta>0. We discover two different cooling regimes. If \theta<1/\alpha (slow cooling), the jump diffusion Z(t) has a non-trivial limiting distribution as t\to \infty, which is concentrated at the potential's local minima. If \theta>1/\alpha (fast cooling) the Levy particle gets trapped in one of the potential wells

On the strict value of the non-linear optimal stopping problem

We address the non-linear strict value problem in the case of a general filtration and a completely irregular pay-off process (ξt). While the value process (Vt) of the non-linear problem is only right-uppersemicontinuous, we show that the strict value process (V+t) is necessarily right-continuous. Moreover, the strict value process (V+t) coincides with the process of right-limits (Vt+) of the value process. As an auxiliary result, we obtain that a strong non-linear f-supermartingale is right-continuous if and only if it is right-continuous along stopping times in conditional f-expectation

Geometric shape of invariant manifolds for a class of stochastic partial differential equations

Invariant manifolds play an important role in the study of the qualitative dynamical behaviors for nonlinear stochastic partial differential equations. However, the geometric shape of these manifolds is largely unclear. The purpose of the present paper is to try to describe the geometric shape of invariant manifolds for a class of stochastic partial differential equations with multiplicative white noises. The local geometric shape of invariant manifolds is approximated, which holds with significant likelihood. Furthermore, the result is compared with that for the corresponding deterministic partial differential equations

The problem of analytical calculation of barrier crossing characteristics for Levy flights

By using the backward fractional Fokker-Planck equation we investigate the barrier crossing event in the presence of Levy noise. After shortly review recent results obtained with different approaches on the time characteristics of the barrier crossing, we derive a general differential equation useful to calculate the nonlinear relaxation time. We obtain analytically the nonlinear relaxation time for free Levy flights and a closed expression in quadrature of the same characteristics for cubic potential.Comment: 12 pages, 2 figures, presented at 5th International Conference on Unsolved Problems on Noise, Lyon, France, 2008, to appear in J. Stat. Mech.: Theory and Experimen

Pesin's Formula for Random Dynamical Systems on RdR^d

Pesin's formula relates the entropy of a dynamical system with its positive Lyapunov exponents. It is well known, that this formula holds true for random dynamical systems on a compact Riemannian manifold with invariant probability measure which is absolutely continuous with respect to the Lebesgue measure. We will show that this formula remains true for random dynamical systems on $R^d$ which have an invariant probability measure absolutely continuous to the Lebesgue measure on $R^d$. Finally we will show that a broad class of stochastic flows on $R^d$ of a Kunita type satisfies Pesin's formula.Comment: 35 page

Stochastic resonance for nonequilibrium systems

Stochastic resonance (SR) is a prominent phenomenon in many natural and engineered noisy systems, whereby the response to a periodic forcing is greatly amplified when the intensity of the noise is tuned to within a specific range of values. We propose here a general mathematical framework based on large deviation theory and, specifically, on the theory of quasipotentials, for describing SR in noisy N -dimensional nonequilibrium systems possessing two metastable states and undergoing a periodically modulated forcing. The drift and the volatility fields of the equations of motion can be fairly general, and the competing attractors of the deterministic dynamics and the edge state living on the basin boundary can, in principle, feature chaotic dynamics. Similarly, the perturbation field of the forcing can be fairly general. Our approach is able to recover as special cases the classical results previously presented in the literature for systems obeying detailed balance and allows for expressing the parameters describing SR and the statistics of residence times in the two-state approximation in terms of the unperturbed drift field, the volatility field, and the perturbation field. We clarify which specific properties of the forcing are relevant for amplifying or suppressing SR in a system and classify forcings according to classes of equivalence. Our results indicate a route for a detailed understanding of SR in rather general systems