Related papers: Time-Homogeneous Diffusions with a Given Marginal …
We survey continuous-time generative modeling methods based on transporting a simple reference distribution to a data distribution via stochastic or deterministic dynamics. We present a unified framework in which diffusion models,…
We investigate a diffusion process in heterogeneous media where particles stochastically reset to their initial positions at a constant rate. The heterogeneous media is modeled using a spatial-dependent diffusion coefficient with a…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an…
Long ago appeared a discussion in quantum mechanics of the problem of opening a completely absorbing shutter on which were impinging a stream of particles of definite velocity. The solution of the problem was obtained in a form entirely…
In this paper, we consider partial sums of martingale differences weighted by random variables drawn uniformly on the sphere, and globally independent of the martingale differences. Combining Lindeberg's method and a series of arguments due…
Let $X=(X_t)_{t\geq 0}$ be a known process and $T$ an unknown random time independent of $X$. Our goal is to derive the distribution of $T$ based on an iid sample of $X_T$. Belomestny and Schoenmakers (2015) propose a solution based the…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
This paper is concerned with the inverse problem of scattering of time-harmonic acoustic waves by an inhomogeneous penetrable obstacle in a piecewise homogeneous medium. The well-posedness of the direct problem is first established by using…
The one-dimensional overdamped Brownian motion in a symmetric periodic potential modulated by external time-reversible noise is analyzed. The calculation of the effective diffusion coefficient is reduced to the mean first passage time…
We prove uniqueness of a martingale problem with boundary conditions on a simplex associated to a differential operator with an unbounded drift. We show that the solution of the martingale problem remains absorbed at the boundary once it…
Consider a one dimensional diffusion process on the diffusion interval $I$ originated in $x_0\in I$. Let $a(t)$ and $b(t)$ be two continuous functions of $t$, $t>t_0$ with bounded derivatives and with $a(t)<b(t)$ and $a(t),b(t)\in I$,…
We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state…
We investigate well-posedness for martingale solutions of stochastic differential equations, under low regularity assumptions on their coefficients, widely extending some results first obtained by A. Figalli. Our main results are a very…
A physical-mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. The fundamental solution (for the…
We consider a time-dependent linear diffusion equation together with a related inverse boundary value problem. The aim of the inverse problem is to determine, based on observations on the boundary, the non-homogeneous diffusion coefficient…
In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process $X$. Our data are given by $ \int_0^1 X_{\frac{s+i}{n}} \dd \mu (s)$ for…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
A key task in Bayesian machine learning is sampling from distributions that are only specified up to a partition function (i.e., constant of proportionality). One prevalent example of this is sampling posteriors in parametric distributions,…
The scattering of electromagnetic waves from obstacles with wave-material interaction in thin layers on the surface is described by generalized impedance boundary conditions, which provide effective approximate models. In particular, this…
We derive uniform concentration inequalities for continuous-time analogues of empirical processes and related stochastic integrals of scalar ergodic diffusion processes. Thereby, we lay the foundation typically required for the study of…