Related papers: Least squares volatility change point estimation f…
We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed It\^{o} semimartingale on a fixed interval when the mesh of the…
This paper addresses a problem in experimental design: We consider It\^o diffusions specified by some $\theta \in \mathbb{R}$ and assume that we are allowed to observe their sample paths only $n$ times before a terminal time $\tau <…
The mean square displacement and instantaneous diffusion coefficient for different configurations of charged particles in stochastic motion are calculated by numerically solving the associated equations of motion. The method is suitable for…
Anomalous dynamics in which local perturbations spread faster than diffusion are ubiquitously observed in the long-time behavior of a wide variety of systems. Here, the manner by which such systems evolve towards their asymptotic…
This work focuses on stability of regime-switching diffusions consisting of continuous and discrete components, in which the discrete component switches in a countably infinite set and its switching rates at current time depend on the…
We investigated the unbounded diffusion observed in a time-dependent oval-shaped billiard and its suppression owing to inelastic collisions with the boundary. The main focus is on the behavior of the diffusion coefficient, which plays a key…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
Single-point measurements of fluctuations in the scrape-off layer of magnetized plasmas are generally found to be dominated by large-amplitude bursts which are associated with radial motion of blob-like structures. A stochastic model for…
This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, we introduce a class of change detection algorithms based on…
We consider the solution to a stochastic differential equation with a drift function which depends smoothly on some real parameter $\lambda$, and admitting a unique invariant measure for any value of $\lambda$ around $\lambda$ = 0. Our aim…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
It is shown that the critical properties of a recently studied model for non-equilibrium wetting are robust if one extends the dynamic rules by single-particle diffusion on terraces of the wetting layer. Examining the behavior at the…
In this paper we formulate and analyse adaptive (space-time) least-squares finite element methods for the solution of convection-diffusion equations. The convective derivative $\mathbf{v} \cdot \nabla u$ is considered as part of the total…
We consider a particle diffusing in the y-direction, dy/dt=\eta(t), subject to a transverse shear flow in the x-direction, dx/dt=f(y), where x \ge 0 and x=0 is an absorbing boundary. We treat the class of models defined by f(y) = \pm…
Discontinuous transitions into absorbing states require an effective mechanism that prevents the stabilization of low density states. They can be found in different systems, such as lattice models or stochastic differential equations (e.g.…
The Dimits shift is the shift between the threshold of the drift-wave primary instability and the actual onset of turbulent transport in magnetized plasma. It is generally attributed to the suppression of turbulence by zonal flows, but…
Diffusion in an evolving environment is studied by continuos-time Monte Carlo simulations. Diffusion is modelled by continuos-time random walkers on a lattice, in a dynamic environment provided by bubbles between two one-dimensional…
We introduce a new variational characterization of Gaussian diffusion processes as minimum uncertainty states. We then define a variational method constrained by kinematics of diffusions and Schr\"{o}dinger dynamics to seek states of local…
This article performs a unified convergence analysis of a variety of numerical methods for a model of the miscible displacement of one incompressible fluid by another through a porous medium. The unified analysis is enabled through the…
The extinction transition on a one dimensional heterogeneous substrate with diffusive correlations is studied. Diffusively correlated heterogeneity is shown to affect the location of the transition point, as the reactants adapt to the…