Related papers: One dimensional stable probability density functio…
In this paper we propose the use of $\phi$-divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, \theta)\de t + \sigma(X_t, \theta)\de W_t$, from discrete…
Motivated by a class of orbit problems in astrophysics, this paper considers solutions to Hill's equation with forcing strength parameters that vary from cycle to cycle. The results are generalized to include period variations from cycle to…
We derive a powerful yet simple method for analyzing the local density of states in gapless one dimensional fermionic systems, including extensions such as momentum dependent interaction parameters and hard-wall boundaries. We study the…
Second-order characteristics including covariance and spectral density functions are fundamentally important for both statistical applications and theoretical analysis in functional time series. In the high-dimensional setting where the…
Levy walk at the finite velocity is considered. To analyze the spatial and temporal characteristics of this process, the method of moments has been used. The asymptotic distributions of the moments (at $t\to\infty$) have been obtained for…
A recently introduced nonlinear Fokker-Planck equation, derived directly from a master equation, comes out as a very general tool to describe phenomenologically systems presenting complex behavior, like anomalous diffusion, in the presence…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
In this paper, we investigate stochastic heat equation with sublinear diffusion coefficients. By assuming certain concavity of the diffusion coefficient, we establish non-trivial moment upper bounds and almost sure spatial asymptotic…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
The nonlinear diffusion equation $\frac{\partial \rho}{\partial t}=D \tilde{\Delta} \rho^\nu$ is analyzed here, where $\tilde{\Delta}\equiv \frac{1}{r^{d-1}}\frac{\partial}{\partial r} r^{d-1-\theta} \frac{\partial}{\partial r}$, and $d$,…
This paper uses dynamical invariants to describe the evolution of collisionless systems subject to time-dependent gravitational forces without resorting to maximum-entropy probabilities. We show that collisionless relaxation can be viewed…
We consider the integro-differential equation ${\rm I}^{\alpha}_{0+}f= x^m f$ on the half-line. We show that there exists a density solution, which is then unique and can be expressed in terms of the Beta distribution, if and only if $m>…
Linear fractional stable motion, denoted by $\{X_{H,\al}(t)\}_{t\in \R}$, is one of the most classical stable processes; it depends on two parameters $H\in (0,1)$ and $\al\in (0,2)$. The parameter $H$ characterizes the self-similarity…
Let $n\geq 3$, $0< m<\frac{n-2}{n}$ and $T>0$. We construct positive solutions to the fast diffusion equation $u_t=\Delta u^m$ in $\mathbb{R}^n\times(0,T)$, which vanish at time $T$. By introducing a scaling parameter $\beta$ inspired by…
We consider a coupled system of two singularly perturbed reaction-diffusion equations, with two small parameters $0< \epsilon \le \mu \le 1$, each multiplying the highest derivative in the equations. The presence of these parameters causes…
In this work, we investigate a numerical procedure for recovering a space-dependent diffusion coefficient in a (sub)diffusion model from the given terminal data, and provide a rigorous numerical analysis of the procedure. By exploiting…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
We derive monotonicity formulae for solutions of the fractional H\'{e}non-Lane-Emden equation \begin{equation*} (-\Delta)^{s} u=|x|^a |u|^{p-1} u \ \ \ \text{in } \ \ \mathbb{R}^n, \end{equation*} when $0<s<2$, $a>0$ and $p>1$. Then, we…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…