Related papers: Concentration for multidimensional diffusions and …
We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time additive functionals for possibly unbounded functions of multivariate, nonreversible diffusion processes. Our analysis relies on an approach via…
Consider the $n \times n$ reverse circulant $RC_n(t)$ and symmetric circulant $SC_n(t)$ matrices with independent Brownian motion entries. We discuss the process convergence of the time dependent fluctuations of linear eigenvalue statistics…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the…
We generalize Einstein's probabilistic method for the Brownian motion to study compressible fluids in porous media. The multi-dimensional case is considered with general probability distribution functions. By relating the expected…
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…
We investigate the dynamics of Brownian particles in internal state- dependent symmetric and periodic potentials. Although no space or time symmetry of the Hamiltonian is broken, we show that directed transport can appear. We demonstrate…
We introduce a numerical method for Brownian dynamics with position dependent diffusion tensor which is second order accurate for sampling the invariant measure while requiring only one force evaluation per timestep. Analysis of the…
Bulk matter produced in heavy ion collisions has multiple conserved quantum numbers like baryon number, strangeness and electric charge. The diffusion process of these charges can be described by a diffusion matrix describing the…
We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of…
We show that the Brownian motion on the complex full flag manifold can be represented by a matrix-valued diffusion obtained from the unitary Brownian motion. This representation actually leads to an explicit formula for the characteristic…
We consider the inverse source problem of determining a source term depending on both time and space variable for fractional and classical diffusion equations in a cylindrical domain from boundary measurements. With suitable boundary…
In this article, we present an invariance principle for the paths of the directed random polymer in space dimension two in the subcritical intermediate disorder regime. More precisely, the distribution of diffusively rescaled polymer paths…
We study the asymptotic behavior of a self-interacting one-dimensional Brownian polymer first introduced by Durrett and Rogers [Probab. Theory Related Fields 92 (1992) 337--349]. The polymer describes a stochastic process with a drift which…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…
Based on a study of the coupling by reflection of diffusion processes, a new monotonicity in time of a time-dependent transportation cost between heat distribution is shown under Bakry-Emery's curvature-dimension condition on a Riemannian…
Cyclic structure and dynamics are of great interest in both the fields of stochastic processes and nonequilibrium statistical physics. In this paper, we find a new symmetry of the Brownian motion named as the quasi-time-reversal invariance.…
We investigate the stochastic motion of a Brownian particle in the harmonic potential with a time-dependent force constant. It may describe the motion of a colloidal particle in an optical trap where the potential well is formed by a…
We investigate anomalous diffusion processes governed by the fractional Langevin equation and confined to a finite or semi-infinite interval by reflecting potential barriers. As the random and damping forces in the fractional Langevin…
We consider a random walk on the first quadrant of the square lattice, whose increment law is, roughly speaking, homogeneous along a finite number of half-lines near each of the two boundaries, and hence essentially specified by…