Related papers: Stationary distributions for diffusions with inert…

This paper addresses the nonparametric estimation of the drift function over a compact domain for a time-homogeneous diffusion process, based on high-frequency discrete observations from $N$ independent trajectories. We propose a neural…

Inspired by many examples in nature, stochastic resetting of random processes has been studied extensively in the past decade. In particular, various models of stochastic particle motion were considered where upon resetting the particle is…

We develop a practical method of computing the stationary drift velocity V and the diffusion coefficient D of a particle (or a few particles) in a periodic system with arbitrary transition rates. We solve this problem both in a physically…

In this paper we study $g$-fractional diffusion on bounded domains in $\mathbb{R}^d$ with absorbing boundary conditions. We show the explicit representation of the solution and then we study the first passage time distribution, showing the…

A class of discrete distributions can be derived from stationary renewal processes. They have the useful property that the mean is a simple function of the model parameters. Thus regressions of the distribution mean on covariates can be…

We analyze jump processes $Z$ with ``inert drift'' determined by a ``memory'' process $S$. The state space of $(Z,S)$ is the Cartesian product of the unit circle and the real line. We prove that the stationary distribution of $(Z,S)$ is the…

We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in (Knight, 2001). Interesting…

We consider a two dimensional Turing like system with two diffusing species which interact with each other. Considering the species to be charged, we include the effect of an electric field along a given direction which can lead to a drift…

Reflected diffusions in convex polyhedral domains arise in a variety of applications, including interacting particle systems, queueing networks, biochemical reaction networks and mathematical finance. Under suitable conditions on the data,…

In this note, we connect two seemingly unrelated objects: On the one hand is a two-dimensional drift-diffusion process $X$ with divergence-free and time-independent drift $b$. The drift is given by a stationary Gaussian ensemble, and we…

We establish the fractional diffusion limit of the kinetic scattering equation with diffusive boundary condition in a strongly convex bounded domain $\mathcal{D}\subset\mathbb{R}^d$. According to the nature of the boundary condition, two…

We consider a diffusion process $X$ in a random potential $\V$ of the form $\V_x = \S_x -\delta x$ where $\delta$ is a positive drift and $\S$ is a strictly stable process of index $\alpha\in (1,2)$ with positive jumps. Then the diffusion…

The problem of reconstructing the drift of a diffusion in $\erre^d$, $d\geq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of…

In this work, we obtain third order linear differential equation for stationary distributions of run-and-tumble particles in two-dimensions in a harmonic trap. The equation represents the condition $j = 0$ where $j$ is a flux and is…

We introduce a Langevin equation characterized by a time dependent drift. By assuming a temporal power-law dependence of the drift we show that a great variety of behavior is observed in the dynamics of the variance of the process. In…

A stationary distribution function that describes the entire processes of propagation of relativistic particles, including the transition between the ballistic and diffusion regimes, is obtained. The spacial component of the constructed…

Brownian motion in R 2 + with covariance matrix $\Sigma$ and drift $\mu$ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found…

We introduce a variant of the replica trick within the nonlinear sigma model that allows calculating the distribution function of the persistent current. In the diffusive regime, a Gaussian distribution is derived. This result holds in the…

In a previous paper, we established strong existence and uniqueness for a reflected diffusion $(X,S)$ with values in $\bar D\times \mathbbm{R}^p$, solving the following pair of stochastic differential equations: $$ dX_t = \sigma(X_t)dB_t +…

Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…