Related papers: An Approximation Scheme for Reflected Stochastic D…
Reaction-diffusion equations are one of the most common partial differential equations used to model physical phenomenon. They arise as the combination of two physical processes: a driving force $f(u)$ that depends on the state variable $u$…
We construct weak solutions to a class of distribution dependent SDE, of type $dX(t)=b\left( X(t), \displaystyle\frac{d\mathcal{L}_{X(t)}}{dx}(X(t))\right) dt+\sigma\left( X(t),\displaystyle\frac{d\mathcal{L}_{X(t)}}{dt}(X(t))\right) dW(t)$…
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell…
We propose diffusion-like equations with time and space fractional derivatives of the distributed order for the kinetic description of anomalous diffusion and relaxation phenomena, whose diffusion exponent varies with time and which,…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…
We present Wideband Back-Projection Diffusion, an end-to-end probabilistic framework for approximating the posterior distribution induced by the inverse scattering map from wideband scattering data. This framework produces highly accurate…
This paper explores the reconstruction of drift or diffusion coefficients of a scalar stochastic diffusion processes as it starts from an initial value and reaches, for the first time, a threshold value. We show that the distribution…
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation…
In this article, we describe an approach for solving partial differential equations with general boundary conditions imposed on arbitrarily shaped boundaries. A continuous function, the domain parameter, is used to modify the original…
Let $D\subsetneq R^d$ be an unbounded domain and let $B(t)$ be a Brownian motion in $D$ with normal reflection at the boundary. We study the transcience/recurrence dichotomy, focusing mainly on domains of the form $D=\{(x,z)\in…
We consider nonparametric Bayesian inference in a reflected diffusion model $dX_t = b (X_t)dt + \sigma(X_t) dW_t,$ with discretely sampled observations $X_0, X_\Delta, \dots, X_{n\Delta}$. We analyse the nonlinear inverse problem…
Reactio-nonlocal diffusion equations model nonlocal transport and anomalous diffusion by replacing the Laplacian with a fractional power, capturing diffusion mechanisms beyond Brownian motion. We primarily study the semilinear problem \[…
We establish the fractional diffusion limit of the kinetic scattering equation with diffusive boundary condition in a strongly convex bounded domain $\mathcal{D}\subset\mathbb{R}^d$. According to the nature of the boundary condition, two…
In this paper, we prove the existence of martingale solutions of a class of stochastic equations with pseudo-monotone drift of polynomial growth of arbitrary order and a continuous diffusion term with superlinear growth. Both the nonlinear…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the…
Reconstructions of potential in Schrodinger equation with data in the diffusion frequency domain have been successfully obtained within Lippmann-Schwinger-Lanczos (LSL) approach, however limited resolution away from the sensor positions…
We present strong approximations with rate of convergence for the solution of a stochastic differential equation of the form $$ dX_t=b(X_t)dt+\sigma(X_t)dB^H_t, $$ where $b\in C^1_b$, $\sigma \in C^2_b$, $B^H$ is fractional Brownian motion…
This work introduces the extended Skorokhod problem (ESP) and associated extended Skorokhod map (ESM) that enable a pathwise construction of reflected diffusions that are not necessarily semimartingales. Roughly speaking, given the closure…
The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riemann sums. We derive an explicit expression for the weak Stratonovich integral of $f(B)$ with respect to $g(B)$, where $B$ is a fractional…