@unpublished{HoegelePavlyukevich2014,
  author    = {H{\"o}gele, Michael and Pavlyukevich, Ilya},
  title     = {Metastability of Morse-Smale dynamical systems perturbed by heavy-tailed L{\´e}vy type noise},
  volume    = {3},
  number    = {5},
  publisher = {Universit{\"a}tsverlag Potsdam},
  address   = {Potsdam},
  issn      = {2193-6943},
  url       = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-70639},
  pages     = {27},
  year      = {2014},
  abstract  = {We consider a general class of finite dimensional deterministic dynamical systems with finitely many local attractors each of which supports a unique ergodic probability measure, which includes in particular the class of Morse-Smale systems in any finite dimension. The dynamical system is perturbed by a multiplicative non-Gaussian heavytailed L{\´e}vy type noise of small intensity ε > 0. Specifically we consider perturbations leading to a It{\^o}, Stratonovich and canonical (Marcus) stochastic differential equation. The respective asymptotic first exit time and location problem from each of the domains of attractions in case of inward pointing vector fields in the limit of ε-> 0 has been investigated by the authors. We extend these results to domains with characteristic boundaries and show that the perturbed system exhibits a metastable behavior in the sense that there exits a unique ε-dependent time scale on which the random system converges to a continuous time Markov chain switching between the invariant measures. As examples we consider α-stable perturbations of the Duffing equation and a chemical system exhibiting a birhythmic behavior.},
  language  = {en}
}
@article{HoegelePavlyukevich2015,
  author    = {H{\"o}gele, Michael and Pavlyukevich, Ilya},
  title     = {Metastability in a class of hyperbolic dynamical systems perturbed by heavy-tailed Levy type noise},
  series = {Stochastics and dynamic},
  volume    = {15},
  journal   = {Stochastics and dynamic},
  number    = {3},
  publisher = {World Scientific},
  address   = {Singapore},
  issn      = {0219-4937},
  doi       = {10.1142/S0219493715500197},
  pages     = {26},
  year      = {2015},
  abstract  = {We consider a finite dimensional deterministic dynamical system with finitely many local attractors K-iota, each of which supports a unique ergodic probability measure P-iota, perturbed by a multiplicative non-Gaussian heavy-tailed Levy noise of small intensity epsilon > 0. We show that the random system exhibits a metastable behavior: there exists a unique epsilon-dependent time scale on which the system reminds of a continuous time Markov chain on the set of the invariant measures P-iota. In particular our approach covers the case of dynamical systems of Morse-Smale type, whose attractors consist of points and limit cycles, perturbed by multiplicative alpha-stable Levy noise in the Ito, Stratonovich and Marcus sense. As examples we consider alpha-stable Levy perturbations of the Duffing equation and Pareto perturbations of a biochemical birhythmic system with two nested limit cycles.},
  language  = {en}
}
@article{PavlyukevichLiXuetal.2015,
  author    = {Pavlyukevich, Ilya and Li, Yongge and Xu, Yong and Chechkin, Aleksei V.},
  title     = {Directed transport induced by spatially modulated Levy flights},
  series = {Journal of physics : A, Mathematical and theoretical},
  volume    = {48},
  journal   = {Journal of physics : A, Mathematical and theoretical},
  number    = {49},
  publisher = {IOP Publ. Ltd.},
  address   = {Bristol},
  issn      = {1751-8113},
  doi       = {10.1088/1751-8113/48/49/495004},
  pages     = {21},
  year      = {2015},
  abstract  = {In this paper we study the dynamics of a particle in a ratchet potential subject to multiplicative alpha-stable Levy noise, alpha is an element of(0, 2), in the limit of a noise amplitude epsilon -> 0. We compare the dynamics for Ito and Marcus multiplicative noises and obtain the explicit asymptotics of the escape time in the wells and transition probabilities between the wells. A detailed analysis of the noise-induced current is performed for the Seebeck ratchet with a weak multiplicative noise for alpha is an element of(0, 2].},
  language  = {en}
}
@article{GarbunoInigoNueskenReich2020,
  author    = {Garbuno-Inigo, Alfredo and N{\"u}sken, Nikolas and Reich, Sebastian},
  title     = {Affine invariant interacting Langevin dynamics for Bayesian inference},
  series = {SIAM journal on applied dynamical systems},
  volume    = {19},
  journal   = {SIAM journal on applied dynamical systems},
  number    = {3},
  publisher = {Society for Industrial and Applied Mathematics},
  address   = {Philadelphia},
  issn      = {1536-0040},
  doi       = {10.1137/19M1304891},
  pages     = {1633 -- 1658},
  year      = {2020},
  abstract  = {We propose a computational method (with acronym ALDI) for sampling from a given target distribution based on first-order (overdamped) Langevin dynamics which satisfies the property of affine invariance. The central idea of ALDI is to run an ensemble of particles with their empirical covariance serving as a preconditioner for their underlying Langevin dynamics. ALDI does not require taking the inverse or square root of the empirical covariance matrix, which enables application to high-dimensional sampling problems. The theoretical properties of ALDI are studied in terms of nondegeneracy and ergodicity. Furthermore, we study its connections to diffusion on Riemannian manifolds and Wasserstein gradient flows. Bayesian inference serves as a main application area for ALDI. In case of a forward problem with additive Gaussian measurement errors, ALDI allows for a gradient-free approximation in the spirit of the ensemble Kalman filter. A computational comparison between gradient-free and gradient-based ALDI is provided for a PDE constrained Bayesian inverse problem.},
  language  = {en}
}
@article{MaoutsaReichOpper2020,
  author    = {Maoutsa, Dimitra and Reich, Sebastian and Opper, Manfred},
  title     = {Interacting particle solutions of Fokker-Planck equations through gradient-log-density estimation},
  series = {Entropy},
  volume    = {22},
  journal   = {Entropy},
  number    = {8},
  publisher = {MDPI},
  address   = {Basel},
  issn      = {1099-4300},
  doi       = {10.3390/e22080802},
  pages     = {35},
  year      = {2020},
  abstract  = {Fokker-Planck equations are extensively employed in various scientific fields as they characterise the behaviour of stochastic systems at the level of probability density functions. Although broadly used, they allow for analytical treatment only in limited settings, and often it is inevitable to resort to numerical solutions. Here, we develop a computational approach for simulating the time evolution of Fokker-Planck solutions in terms of a mean field limit of an interacting particle system. The interactions between particles are determined by the gradient of the logarithm of the particle density, approximated here by a novel statistical estimator. The performance of our method shows promising results, with more accurate and less fluctuating statistics compared to direct stochastic simulations of comparable particle number. Taken together, our framework allows for effortless and reliable particle-based simulations of Fokker-Planck equations in low and moderate dimensions. The proposed gradient-log-density estimator is also of independent interest, for example, in the context of optimal control.},
  language  = {en}
}