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A tracer particle is called anomalously diffusive if its mean squared displacement grows approximately as $\sigma^2 t^{\alpha}$ as a function of time $t$ for some constant $\sigma^2$, where the diffusion exponent satisfies $\alpha \neq 1$.…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel to $1$ and then…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We consider a 1-dimensional diffusion process X with jumps. The particularity of this model relies in the jumps which are driven by a multidimensional Hawkes process denoted N. This article is dedicated to the study of a nonparametric…
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for the estimation error and of a fixed, positive cost per unit…
We study evolution equations of drift-diffusion type when various parameters are random. Motivated by applications in pedestrian dynamics, we focus on the case when the total mass is, due to boundary or reaction terms, not conserved. After…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
We consider dynamical systems evolving near an equilibrium statistical state where the interest is in modelling long term behavior that is consistent with thermodynamic constraints. We adjust the distribution using an entropy-optimizing…
The global estimation problem of the drift function is considered for a large class of ergodic diffusion processes. The unknown drift $S(\cdot)$ is supposed to belong to a nonparametric class of smooth functions of order $k\geq1$, but the…
Breakup of small aggregates in fully developed turbulence is studied by means of direct numerical simulations in a series of typical bounded and unbounded flow configurations, such as a turbulent channel flow, a developing boundary layer…
We discuss the behavior of partially wetting liquids on a rotating cylinder using a model that takes into account the effects of gravity, viscosity, rotation, surface tension and wettability. Such a system can be considered as a prototype…
In this paper the focus is set on a modified Chua's circuit model equation with saw-tooth function in place of piece-wise linear function of Chua's circuit displaying multi-scroll chaotic attractors. We study the characteristic properties…
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,…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of…
In this article, we propose a least squares method for the estimation of the transition density in bifurcating Markov models. Unlike the kernel estimation, this method do not use the quotient which can be a source of errors. In order to…
We study two new classes of inverse problems for a time-switched system in which a fractional wave equation (with Caputo derivative of order $\alpha \in (1,2)$) governs the dynamics on the interval $[0,a)$, and a fractional diffusion…
The subdiffusion equation with a Caputo fractional derivative of order $\alpha\in(0,1)$ in time arises in a wide variety of practical applications, and it is often adopted to model anomalous subdiffusion processes in heterogeneous media.…
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.…