Related papers: Scaling Limit for the Diffusion Exit Problem in th…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
We consider n-dimensional deterministic flows obtained by perturbing a gradient flow. We assume that the gradient flow admits a stable curve of stationary points, and thus if the perturbation is not too large the perturbed flow also admits…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is…
A novel method for control of dynamical systems, proposed in the paper, ensures an output signal belonging to the given set at any time. The method is based on a special change of coordinates such that the initial problem with given…
We derive an anomalous, sub-diffusive scaling limit for a one-dimensional version of the Mott random walk. The limiting process can be viewed heuristically as a one-dimensional diffusion with an absolutely continuous speed measure and a…
A heat exchanger can be modeled as a closed domain containing an incompressible fluid. The moving fluid has a temperature distribution obeying the advection-diffusion equation, with zero temperature boundary conditions at the walls.…
We study the persistence and propagation (or blocking) phenomena for a species in periodically hostile environments. The problem is described by a reaction-diffusion equation with zero Dirichlet boundary condition. We first derive the…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
A version of fractional diffusion on bounded domains, subject to 'homogeneous Dirichlet boundary conditions' is derived from a kinetic transport model with homogeneous inflow boundary conditions. For nonconvex domains, the result differs…
Spiral waves are a ubiquitous feature of the nonequilibrium dynamics of a great variety of excitable systems. In the limit of a large separation in timescale between fast excitation and slow recovery, one can reduce the spiral problem to…
In this paper we develop some new variational principles for the exit time of non-symmetric diffusions from a domain. As applications, we give some comparison theorems and monotonicity law between different diffusions.
We consider an infinite-dimensional stochastic clustering model on $\mathbb{R}$. In discrete time, each point of a unit-intensity simple point process moves halfway toward either of its left or right neighbors, chosen uniformly at random.…
We discuss equivalent formulations of the control of conditional processes introduced by Lions. In this problem, a controlled diffusion process is killed once it hits the boundary of a given domain and the controller's reward is computed…
An ordinary differential equation perturbed by a null-recurrent diffusion will be considered in the case where the averaging type perturbation is strong only when a fast motion is close to the origin. The normal deviations of these…
We investigate the quantum dynamics of many-body systems subject to local, i.e. restricted to a limited space region, time-dependent perturbations. If the perturbation drives the system across a quantum transition, an off-equilibrium…
We consider the kinetics of the imperfect narrow escape problem, i.e. the time it takes for a particle diffusing in a confined medium of generic shape to reach and to be adsorbed by a small, imperfectly reactive patch embedded in the…
The problem on identification of a limit of an ordinary differential equation with discontinuous drift that perturbed by a zero-noise is considered in multidimensional case. This problem is a classical subject of stochastic analysis.…
We consider a class of wave equations with constant damping and polynomial nonlinearities that are perturbed by small, multiplicative, space-time white noise. The equations are defined on a one-dimensional bounded interval with Dirichlet…