Related papers: Convergence in distribution of some particular sel…

This paper deals with some self-interacting diffusions $(X_t,t\geq 0)$ living on $\mathbb{R}^d$. These diffusions are solutions to stochastic differential equations: \[\mathrm{d}X_t=\mathrm{d}B_t-g(t)\nabla…

We consider a self-interacting diffusion $X$ on a smooth compact Riemannian manifold $\mathbb M$, described by the stochastic differential equation \[ dX_t = \sqrt{2} dW_t(X_t)- \beta(t) \nabla V_t(X_t)dt, \] where $\beta$ is suitably…

Let $M$ be a compact Riemannian manifold. A {\em self-interacting diffusion} on $M$ is a stochastic process solution to $$dX_t = dW_t(X_t) - \frac{1}{t}(\int_0^t \nabla V_{X_s}(X_t)ds)dt$$ where $\{W_t\}$ is a Brownian vector field on $M$…

We prove the consistency of an adaptive importance sampling strategy based on biasing the potential energy function $V$ of a diffusion process $dX_t^0=-\nabla V(X_t^0)dt+dW_t$; for the sake of simplicity, periodic boundary conditions are…

Self-interacting diffusions are processes living on a compact Riemannian manifold defined by a stochastic differential equation with a drift term depending on the past empirical measure of the process. The asymptotics of this measure is…

Self-interacting diffusions are solutions to SDEs with a drift term depending on the process and its normalized occupation measure $\mu_t$ (via an interaction potential and a confinement potential). We establish a relation between the…

Let $(X_t)$ be a reflected diffusion process in a bounded convex domain in $\mathbb R^d$, solving the stochastic differential equation $$dX_t = \nabla f(X_t) dt + \sqrt{2f (X_t)} dW_t, ~t \ge 0,$$ with $W_t$ a $d$-dimensional Brownian…

This article is concerned with the mathematical analysis of a family of adaptive importance sampling algorithms applied to diffusion processes. These methods, referred to as Adaptive Biasing Potential methods, are designed to efficiently…

This paper proves almost-sure convergence for the self-attracting diffusion on the unit sphere $$dX(t)=\sigma dW_{t}(X(t))-a\int_{0}^{t}\nabla_{\mathbb{S}^n}V_{X_s}(X_t) dsdt,\qquad X(0)=x\in\mathbb{S}^n $$ %given by the stochastic…

Let $M$ be a $d$-dimensional connected compact Riemannian manifold with boundary $\partial M$, let $V\in C^2(M)$ such that $\mu({\rm d} x):={\rm e}^{V(x)}{\rm d} x$ is a probability measure, and let $X_t$ be the diffusion process generated…

We study the exit-time of a self-interacting diffusion from an open domain $G \subset \mathbb{R}^d$. In particular, we consider the equation $d{X_t} = - \left( \nabla V(X_t) + \frac{1}{t}\int_0^t\nabla F (X_t - X_s)d{s} \right) d{t} +…

We study a symmetric diffusion $X$ on $\mathbb{R}^d$ in divergence form in a stationary and ergodic environment, with measurable unbounded and degenerate coefficients $a^\omega$. The diffusion is formally associated with $L^\omega u =…

We investigate the close connection between metastability of the reversible diffusion process X defined by the stochastic differential equation dX_t=-\nabla F(X_t) dt+\sqrt2\epsilon dW_t,\qquad \epsilon >0, and the spectrum near zero of its…

Self-diffusion in a two-dimensional simple fluid is investigated by both analytical and numerical means. We investigate the anomalous aspects of self-diffusion in two-dimensional fluids with regards to the mean square displacement, the…

In the present work we study self-interacting diffusions following an infinite dimensional approach. First we prove existence and uniqueness of a solution with Markov property. Then we study the corresponding transition semigroup and, more…

In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…

We establish the convergences (with respect to the simulation time $t$; the number of particles $N$; the timestep $\gamma$) of a Moran/Fleming-Viot type particle scheme toward the quasi-stationary distribution of a diffusion on the…

In this work we present a general derivation of the non-Fickian behavior for the self-diffusion of identically interacting particle systems with excluded mutual passage. We show that the conditional probability distribution of finding a…

This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes with killing on $[0,\infty)$. We obtain criteria for the exponential convergence to a unique quasi-stationary distribution in total…

In this paper, a diffusion-aggregation equation with delta potential is introduced. Based on the global existence and uniform estimates of solutions to the diffusion-aggregation equation, we also provide the rigorous derivation from a…