Related papers: Boundary crossing identities for diffusions having…
In this paper we study the asymptotic behavior of Brownian motion in both comb-shaped planar domains, and comb-shaped graphs. We show convergence to a limiting process when both the spacing between the teeth \emph{and} the width of the…
The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…
Diffusion processes with boundaries are models of transport phenomena with wide applicability across many fields. These processes are described by their probability density functions (PDFs), which often obey Fokker-Planck equations (FPEs).…
A model for anomalous transport of tracer particles diffusing in complex media in two dimensions is proposed. The model takes into account the characteristics of persistent motion that active bath transfer to the tracer, thus the model…
We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…
We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…
Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms,…
A novel principle is presented which allows for the proof of bounded weak solutions to a class of physically relevant, strongly coupled parabolic systems exhibiting a formal gradient-flow structure. The main feature of these systems is that…
We consider inhomogeneous branching diffusions on an infinite domain of $\mathbb{R}^d$. The first aim of this article is to derive a general criterium under which the size process (number of particles) and the genealogy of the particle…
Diffusion models are central to generative modeling and have been adapted to graphs by diffusing adjacency matrix representations. The challenge of having up to $n!$ such representations for graphs with $n$ nodes is only partially mitigated…
In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We prove strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. It is also shown that their local times are close enough to…
Many stochastic processes in the physical and biological sciences can be modelled as Brownian dynamics with multiplicative noise. However, numerical integrators for these processes can lose accuracy or even fail to converge when the…
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 the general supersymmetric one-dimensional quantum system with boundary, critical in the bulk but not at the boundary. The renormalization group flow on the space of boundary conditions is generated by the boundary beta…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
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 +…
We present some partial results on the general infrared behavior of bulk-critical 1-d quantum systems with boundary. We investigate whether the boundary entropy, s(T), is always bounded below as the temperature T decreases towards 0, and…
We study biased, diffusive transport of Brownian particles through narrow, spatially periodic structures in which the motion is constrained in lateral directions. The problem is analyzed under the perspective of the Fick-Jacobs equation…