Related papers: Time-Homogeneous Diffusions with a Given Marginal …
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
The existence of global nonnegative martingale solutions to a cross-diffusion system of Shigesada-Kawasaki-Teramoto type with multiplicative noise is proven. The model describes the segregation dynamics of populations with an arbitrary…
In this article we investigate the asymptotic behavior of a new class of multi-dimensional diffusions in random environment. We introduce cut times in the spirit of the work done by Bolthausen, Sznitman and Zeitouni, see [4], in the…
We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusions by allowing for jumps in instantaneous drift and…
Motivated by the task of computing normalizing constants and importance sampling in high dimensions, we study the dimension dependence of fluctuations for additive functionals of time-inhomogeneous Langevin-type diffusions on…
Motivated by recent experiments, the theoretical study of wave propagation in time varying materials is of current interest. Although significant in nearly all such experiments, material dispersion is commonly neglected in theoretical…
We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…
We consider the filtering problem of estimating a hidden random variable $X$ by noisy observations. The noisy observation process is constructed by a randomised Markov bridge (RMB) $(Z_t)_{t\in [0,T]}$ of which terminal value is set to…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
The diffusion equation and its time-fractional counterpart can be obtained via the diffusion limit of continuous-time random walks with exponential and heavy-tailed waiting time distributions. The space dependent variable-order…
Consider $(X_{i}(t))$ solving a system of $N$ stochastic differential equations interacting through a random matrix $\mathbf J = (J_{ij})$ with independent (not necessarily identically distributed) random coefficients. We show that the…
This paper considers the inverse problem of scattering of time-harmonic acoustic and electromagnetic plane waves by a bounded, inhomogeneous, penetrable obstacle with embedded objects inside. A new method is proposed to prove that the…
In this paper, we deal with the inverse source problem of determining a source in a time fractional diffusion equation where data are given at a fixed time. This problem is ill-posed, i.e., the solution does not depend continuously on the…
Brownian yet non-Gaussian phenomenon has recently been observed in many biological and active matter systems. The main idea of explaining this phenomenon is to introduce a random diffusivity for particles moving in inhomogeneous…
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and…
In this work, a complete error analysis is presented for fully discrete solutions of the subdiffusion equation with a time-dependent diffusion coefficient, obtained by the Galerkin finite element method with conforming piecewise linear…
This paper studies the original discrete-time denoising diffusion probabilistic model (DDPM) from a probabilistic point of view. We present three main theoretical results. First, we show that the time-dependent score function associated…
We consider the scattering by a one-dimensional random potential and derive the probability distribution of the corresponding Wigner time delay. It is shown that the limiting distribution is the same for two different models and coincides…
We deal with random processes obtained from a homogeneous random process with independent increments by replacement of the time scale and by multiplication by a norming constant. We prove the convergence in distribution of these processes…
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some way so that they do not leave the closure of the domain. In…