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In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
Daily, are reported systems in nature that present anomalous diffusion phenomena due to irregularities of medium, traps or reactions process. In this scenario, the diffusion with traps or localised--reactions emerge through various…
In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here means a diffusion process living in a random environment…
A phenomenological model for the dissipation of scalar fluctuations due to the straining by the fluid motion is proposed in this letter. An explicit equation is obtained for the time evolution of the probability distribution function of a…
The uncoupled Continuous Time Random Walk (CTRW) in one space-dimension and under power law regime is splitted into three distinct random walks: (rw_1), a random walk along the line of natural time, happening in operational time; (rw_2), a…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
The purpose of this tutorial is to introduce the main concepts behind normal and anomalous diffusion. Starting from simple, but well known experiments, a series of mathematical modeling tools are introduced, and the relation between them is…
We investigate the dynamics of a particle executing a general Continuous Time Random Walk (CTRW) in three dimensions under the influence of arbitrary time-varying external fields. Contrary to the general approach in recent works, our method…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…
In this paper we focus our attention on a particle that follows a unidirectional quantum walk, an alternative version of the nowadays widespread discrete-time quantum walk on a line. Here the walker at each time step can either remain in…
The relation between the expectation values computed in the random walk theory, and the heat kernel method for the diffusion equation is explained concretely. The random walk is also realized by simulations and their statistical…
In this paper we study generalized time-fractional diffusion equations on the Poincar\`e half plane $\mathbb{H}_2^+$. The time-fractional operators here considered are fractional derivatives of a function with respect to another function,…
We study a one dimensional generalization of the exponential trap model using both numerical simulations and analytical approximations. We obtain the asymptotic shape of the average diffusion front in the sub-diffusive phase. Our central…
The temporal Fokker-Plank equation [{\it J. Stat. Phys.}, {\bf 3/4}, 527 (2003)] or propagation-dispersion equation was derived to describe diffusive processes with temporal dispersion rather than spatial dispersion as in classical…
We find a general formula for the distribution of time-averaged observables for systems modeled according to the sub-diffusive continuous time random walk. For Gaussian random walks coupled to a thermal bath we recover ergodicity and…
Using concepts of noncommutative probability we show that the Loewner's evolution equation can be viewed as providing a map from paths of measures to paths of probability measures. We show that the fixed point of the Loewner map is the…