Related papers: Convergence in distribution of some particular sel…
Consider a diffusion process X, solution of a time-homogeneous stochastic differential equation. We assume that the diffusion process X is observed at discrete times, at high frequency, which means that the time step tends toward zero. In…
Self-similar solutions of the coherent diffusion equation are derived and measured. The set of real similarity solutions is generalized by the introduction of a nonuniform phase surface, based on the elegant Gaussian modes of optical…
We consider the numerical solution of coupled volume-surface reaction-diffusion systems having a detailed balance equilibrium. Based on the conservation of mass, an appropriate quadratic entropy functional is identified and an…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
A number of results for reactions involving subdiffusive species all with the same anomalous exponent gamma have recently appeared in the literature and can often be understood in terms of a subordination principle whereby time t in…
In this article, we consider a jump diffusion process (X_t), with drift function b, diffusion coefficient sigma and jump coefficient xi^{2}. This process is observed at discrete times t=0,Delta,...,nDelta. The sampling interval Delta tends…
We consider a possibly degenerate porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated…
We demonstrate the non-ergodicity of a simple Markovian stochastic processes with space-dependent diffusion coefficient $D(x)$. For power-law forms $D(x) \simeq|x|^{\alpha}$, this process yield anomalous diffusion of the form $\ < x^2(t)\ >…
Motivated by models of signaling pathways in B lymphocytes, which have extremely large nuclei, we study the question of how reaction-diffusion equations in thin $2D$ domains may be approximated by diffusion equations in regions of smaller…
According to a theorem of S. Schumacher, for a diffusion X in an environment determined by a stable process that belongs to an appropriate class and has index a, it holds that X_t/(log t)^a converges in distribution, as t goes to infinity,…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
This paper studies adaptive least-squares finite element methods for convection-dominated diffusion-reaction problems. The least-squares methods are based on the first-order system of the primal and dual variables with various ways of…
We study solutions to the free stochastic differential equation $dX_t = dS_t - \half DV(X_t)dt$, where $V$ is a locally convex polynomial potential in $m$ non-commuting variables. We show that for self-adjoint $V$, the law $\mu_V$ of a…
We study the ergodic behaviour of a discrete-time process $X$ which is a Markov chain in a stationary random environment. The laws of $X_t$ are shown to converge to a limiting law in (weighted) total variation distance as $t\to\infty$.…
We provide a rather complete description of the results obtained so far on the nonlinear diffusion equation $u_t=\nabla\cdot (u^{m-1}\nabla (-\Delta)^{-s}u)$, which describes a flow through a porous medium driven by a nonlocal pressure. We…
Propagation of solitary waves in the presence of autocatalysis, diffusion, and symmetry breaking (differential) advection, is being studied. The focus is on drifting (propagating with advection) pulses that form via a convective instability…
We study diffusion of (fluorescently) tagged hard-core interacting particles of finite size in a finite one-dimensional system. We find an exact analytical expression for the tagged particle probability density using a coordinate…
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically…
Diffusion-mediated surface phenomena are crucial for human life and industry, with examples ranging from oxygen capture by lung alveolar surface to heterogeneous catalysis, gene regulation, membrane permeation and filtration processes.…
We introduce a new self-interacting random walk on the integers in a dynamic random environment and show that it converges to a pure diffusion in the scaling limit. We also find a lower bound on the diffusion coefficient in some special…