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Mathematical models for complex systems are often accompanied with uncertainties. The goal of this paper is to extract a stochastic differential equation governing model with observation on stationary probability distributions. We develop a…
This paper proposes a data-driven learning framework for identifying governing laws of generalized diffusions with non-gradient components. By combining energy dissipation laws with a physically consistent penalty and first-moment…
We study the stationary reflected Brownian motion in a non-convex wedge, which, compared to its convex analogue model, has been much rarely analyzed in the probabilistic literature. We prove that its stationary distribution can be found by…
We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including non-smooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main…
The drift and diffusion of a cloud of ions in a fluid are distorted by an inhomogeneous electric field. If the electric field carries the center of the distribution in a straight line and the field configuration is suitably symmetric, the…
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,…
We study a random process with reinforcement, which evolves following the dynamics of a given diffusion process in a bounded domain and is resampled according to its occupation measure when it reaches the boundary. We show that its…
This article deals with transport properties of one dimensional Brownian diffusion under the influence of a correlated quenched random force, distributed as a two-level Poisson process. We find in particular that large time scaling laws of…
We consider a spatially homogeneous advection-diffusion equation in which the diffusion tensor and drift velocity are time-independent, but otherwise general. We derive asymptotic expressions, valid at large distances from a steady point…
The first part of the paper is devoted to diffraction phenomena that can be expressed by fractional Fourier transforms whose orders are real numbers. According to a scalar theory, diffraction acts on the amplitude of the electric field as…
In this paper, we consider the state-dependent reflecting random walk on a half-strip. We provide explicit criteria for (positive) recurrence, and an explicit expression for the stationary distribution. As a consequence, the light-tailed…
We study the long-time asymptotic behavior of the position distribution of a run-and-tumble particle (RTP) in two dimensions and show that the distribution at a time $t$ can be expressed as a perturbative series in $(\gamma t)^{-1}$, where…
We study a Schilder-type large deviation principle for sticky-reflected Brownian motion with boundary diffusion, both at the static and sample path level in the short-time limit. A sharp transition for the rate function occurs, depending on…
Fractional kinetic equations employ non-integer calculus to model anomalous relaxation and diffusion in many systems. While this approach is well explored, it so far failed to describe an important class of transport in disordered systems.…
Retarded stochastic differential equations (SDEs) constitute a large collection of systems arising in various real-life applications. Most of the existing results make crucial use of dissipative conditions. Dealing with "pure delay" systems…
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 from the origin…
The random motion of a Brownian particle confined in some finite domain is considered. Quite generally, the relevant statistical properties involve infinite series, whose coefficients are related to the eigenvalues of the diffusion…
We prove an existence result for nonlinear diffusion equations in the presence of a nonlocal density-dependent drift which is not necessarily potential. The proof is constructive and based on the Helmholtz decomposition of the drift and a…
We prove that reflected Brownian motion with normal reflections in a convex domain satisfies a dimension free Talagrand type transportation cost-information inequality. The result is generalized to other reflected diffusions with suitable…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…