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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

2 votes
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Stationary Distribution of Langevin Dynamics driven by Lévy Process

Let $f\geq 0$ be a Lipschitz function and let $(L_t)_{t\geq 0}$ be an $\alpha$-stable Lévy process ($0<\alpha<2$, possibly multivariate). Consider the process given by $$dX_t=-\nabla f(X_t)dt+\sigma d …
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