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We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
In [Ald00], Aldous investigates a symmetric Markov chain on cladograms and gives bounds on its mixing and relaxation times. The latter bound was sharpened in [Sch02]. In the present paper we encode cladograms as binary, algebraic measure…
Diffusion of point-like non interacting particles in a two-dimensional (2D) channel of varying cross section is considered. The particles are biased by a constant force in the transverse direction. We apply our recurrence mapping procedure,…
Recent advances have allowed to tackle exact path-space probabilistic representations of macroscopic advection-diffusion models involving advection nonlinearities by step forward approaches in terms of continuous branching stochastic…
This paper is concerned with exploring the microscopic basis for the discrete versions of the standard replicator equation and the adjusted replicator equation. To this end, we introduce frequency-dependent selection -- as a result of…
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a…
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 consider triangular arrays of Markov chains that converge weakly to a diffusion process. Second order Edgeworth type expansions for transition densities are proved. The paper differs from recent results in two respects. We allow…
We attempt to characterize irreversibility of a dynamical system from the existence of different forward and backward mathematical representations depending on the direction of the time arrow. Such different representations have been…
This article starts over the backwards diffusion problem by replacing the \emph{noncausal} diffusion equation, the direct problem, by the \emph{causal} diffusion model developed in \cite{Kow11} for the case of constant diffusion speed. For…
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph, there exists a unique time change associated with a…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability... The usual procedure is to use discretiza-tion schemes…
A rather simple random walk model on a one-dimensional lattice is put forward. The lattice as a whole switches randomly between two possible states which are spatially symmetric. Both lattice states are identical, but translated by one site…
Typical generative diffusion models rely on a Gaussian diffusion process for training the backward transformations, which can then be used to generate samples from Gaussian noise. However, real world data often takes place in discrete-state…
The Bernstein operator is known as a typical example of positive linear operators which uniformly approximates continuous functions on $[0, 1]$. In the present paper, we introduce a multidimensional extension of the Bernstein operator which…
The Pearson family of ergodic diffusions with a quadratic diffusion coefficient and a linear force are characterized by explicit dynamics of their integer moments and by explicit relaxation spectral properties towards their steady state.…
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 here a model of accelerating fronts, introduced in [2], consisting of one equation with nonlocal diffusion on a line, coupled via the boundary condition with a reaction-diffusion equation of the Fisher-KPP type in the upper…