Related papers: Excursions of diffusion processes and continued fr…
We lead the algorithm of expansion of sojourn probability of many-dimensional diffusion processes in small domain. The principal member of this expansion defines normalizing coefficient for special limit theorems.
We consider systems of interacting diffusions with local population regulation. Our main result shows that the total mass process of such a system is bounded above by the total mass process of a tree of excursions with appropriate drift and…
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
We analyse conditions for an evolution equation with a drift and fractional diffusion to have a Holder continuous solution. In case the diffusion is of order one or more, we obtain Holder estimates for the solution for any bounded drift. In…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
Self-activation coupled to a transport mechanism results in traveling waves that describe polymerization reactions, forest fires, tumor growth, and even the spread of epidemics. Diffusion is a simple and commonly used model of particle…
We consider solutions of a scalar reaction-diffusion equation of the ignition type with a random, stationary and ergodic reaction rate. We show that solutions of the Cauchy problem spread with a deterministic rate in the long time limit. We…
Transport phenomena plays an important role in science and technology. In the wide variety of applications both advection and diffusion may appear. Regarding diffusion, for long times, different type of decay rates are possible for…
We consider the one-dimensional diffusion of a particle on a semi-infinite line and in a piecewise linear random potential. We first present a new formalism which yields an analytical expression for the Green function of the Fokker-Planck…
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…
We introduced a new continued fraction expansions in our previous paper. For these expansions, we show formulae of probability about incomplete quotients. Furthermore, we prove the existence of invariant measures with respect to the…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
We consider the distribution of free path lengths, or the distance between consecutive bounces of random particles, in an n-dimensional rectangular box. If each particle travels a distance R, then, as R tends to infinity the free path…
Deterministic diffusion in temporally oscillating convection is studied for particles with finite mass. The particles are assumed to obey a simple dissipative dynamical system and the particle diffusion is induced by the strange attractor.…
We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…
We theoretically and computationally investigate long-memory processes based on the Markovian lifts of affine jump-diffusion processes. A nominal superposition process consisting of an infinite number of interacting affine processes is…
We continue to develop a new approach to description of charge kinetics in disordered semiconductors. It is based on fractional diffusion equations. This article is devoted to transient processes in structures under dispersive transport…
In this note we analyse the propagation of a small density perturbation in a one-dimensional compressible fluid by means of fractional calculus modelling, replacing thus the ordinary time derivative with the Caputo fractional derivative in…
The diffusion of finite-size hard-core interacting particles in two- or three-dimensional confined domains is considered in the limit that the confinement dimensions become comparable to the particle's dimensions. The result is a nonlinear…