Related papers: Concentration for multidimensional diffusions and …
This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman and Bernstein inequalities for series of random matrices to…
We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane…
We consider a half-order time-fractional diffusion equation in an arbitrary dimension and investigate inverse problems of determining the source term or the diffusion coefficient from spatial data at an arbitrarily fixed time under some…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
We quantify the asymptotic behaviour of multidimensional drifltess diffusions in domains unbounded in a single direction, with asymptotically normal reflections from the boundary. We identify the critical growth/contraction rates of the…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
A semi-martingale reflecting Brownian motion is a popular process for diffusion approximations of queueing models including their networks. In this paper, we are concerned with the case that it lives on the nonnegative half-line, but the…
We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM,…
We study the behavior of a point particle incident from the left on a slab of a randomly diluted triangular array of circular scatterers. Various scattering properties, such as the reflection and transmission probabilities and the…
We show that solutions of free stochastic differential equations with regular drifts and diffusion coefficients, when considered backwards in time, still satisfy free SDEs for an explicit free Brownian motion and drift. We also study the…
We establish estimates for the local and uniform moduli of continuity of the local time of multifractional Brownian motion, $B^H=(B^{H(t)}(t),t\in\mathbb{R}^+)$. An analogue of Chung's law of the iterated logarithm is studied for $B^H$ and…
We revisit the problem of diffusion in a driven system consisting of an inertial Brownian particle moving in a symmetric periodic potential and subjected to a symmetric time-periodic force. We reveal parameter domains in which diffusion is…
We study boundary traces of shift-invariant diffusions: two-dimensional diffusions in the upper half-plane $\mathbb{R} \times [0, \infty)$ (or in $\mathbb{R} \times [0, R)$) invariant under horizontal translations. We prove that the…
In this paper we discuss the process convergence of the time dependent fluctuations of linear eigenvalue statistics of random circulant matrices with independent Brownian motion entries, as the dimension of the matrix tends to $\infty $.…
This paper describes the quality of convergence to an infinitely divisible law relative to free multiplicative convolution. We show that convergence in distribution for products of identically distributed and infinitesimal free random…
Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of continuous semimartingales and reversible diffusions, and the…
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
We introduce numerical methods for simulating the diffusive motion of rigid bodies of arbitrary shape immersed in a viscous fluid. We parameterize the orientation of the bodies using normalized quaternions, which are numerically robust,…