Related papers: Explicit formulas for Laplace transforms of certai…

In this article we derive Talagrand's $T_2$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward…

In this paper, we propose a drift-diffusion process on the probability simplex to study stochastic fluctuations in probability spaces. We construct a counting process for linear detailed balanced chemical reactions with finite species such…

In this work we study the degenerate diffusion equation $\partial_{t}=x^{\alpha}a\left(x\right)\partial_{x}^{2}+b\left(x\right)\partial_{x}$ for $\left(x,t\right)\in\left(0,\infty\right)^{2}$, equipped with a Cauchy initial data and the…

We obtain an exact formula for the first-passage time probability distribution for random walks on complex networks using inverse Laplace transform. We write the formula as the summation of finitely many terms with different frequencies…

The existing results about inversion of a tippe top (TT) establish stability of asymptotic solutions and prove inversion by using the LaSalle theorem. Dynamical behaviour of inverting solutions has only been explored numerically and with…

An alpha-Wiener bridge is a one-parameter generalization of the usual Wiener bridge, where the parameter alpha>0 represents a mean reversion force to zero. We generalize the notion of alpha-Wiener bridges to continuous functions…

We prove the consistency of an adaptive importance sampling strategy based on biasing the potential energy function $V$ of a diffusion process $dX_t^0=-\nabla V(X_t^0)dt+dW_t$; for the sake of simplicity, periodic boundary conditions are…

In this paper, we study various aspects of the ODE's flow $X$ solution to the equation $\partial_t X(t,x)=b(X(t,x))$, $X(0,x)=x$ in the $d$-dimensional torus $Y_d$, where $b$ is a regular $\mathbb{Z}^d$-periodic vector field from…

For a Schwartz function $f$ on the plane and a non-zero $v\in\ZR^2$ define the Hilbert transform of $f$ in the direction $v$ to be $$ H_vf(x)=\text{p.v.}\int_\ZR f(x-vy) \frac{dy}y $$ Let $\zeta$ be a Schwartz function with frequency…

This paper aims at obtaining, by means of integral transforms, analytical approximations in short times of solutions to boundary value problems for the one-dimensional reaction-diffusion equation with constant coefficients. The general form…

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…

Let $L:= -a(x) (-\Delta)^{\alpha/2}+ (b(x), \nabla)$, where $\alpha\in (0,2)$, and $a:\rd\to (0,\infty)$, $b: \rd\to \rd$. Under certain regularity assumptions on the coefficients $a$ and $b$, we associate with the $C_\infty(\rd)$-closure…

We propose an analytical method for understanding the problem of long range electron transfer reaction in solution, modeled by a particle undergoing diffusive motion under the influence of many potentials which are involved (donor - bridge…

We derive an explicit formula for the fundamental solution $K_{T_{q+1}}(x,x_{0};t)$ to the discrete-time diffusion equation on the $(q+1)$-regular tree $T_{q+1}$ in terms of the discrete $I$-Bessel function. We then use the formula to…

Let $\alpha\in(0,2)$ and $d\in{\mathbb N}$. Consider the following SDE in ${\mathbb R}^d$:$${\rm d}X_t=b(t,X_t){\rm d} t+a(t,X_{t-}){\rm d} L^{(\alpha)}_t,\ \ X_0=x,$$where $L^{(\alpha)}$ is a $d$-dimensional rotationally invariant…

Let $(X,d,T )$ be a topological dynamical system with specification property. For $ \alpha\in \mathbb R^+$ and any $x_0\in X$, define $$ \mathbf D^{x_0}_\alpha :=\Big\{x\in X: \lim\limits_{\epsilon\to…

Let $M$ be a compact Riemannian manifold. A {\em self-interacting diffusion} on $M$ is a stochastic process solution to $$dX_t = dW_t(X_t) - \frac{1}{t}(\int_0^t \nabla V_{X_s}(X_t)ds)dt$$ where $\{W_t\}$ is a Brownian vector field on $M$…

We consider the Markov random flight $\bold X(t), \; t>0,$ in the three-dimensional Euclidean space $\Bbb R^3$ with constant finite speed $c>0$ and the uniform choice of the initial and each new direction at random time instants that form a…

Let $X_t$ be any additive process in $\mathbb{R}^d.$ There are finite indices $\delta_i, \beta_i, i=1,2$ and a function $u$, all of which are defined in terms of the characteristics of $X_t$, such that \liminf_{t\to0}u(t)^{-1/\eta}X_t^*=…

Let $\{D(s), s \geq 0 \}$ be a L\'evy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D(0) = 0$. We study the first-hitting time of the process $D$, namely, the process $E(t) =…