Related papers: Spectral Analysis of Diffusions with Jump Boundary
The drift diffusion model (DDM) is a model of sequential sampling with diffusion (Brownian) signals, where the decision maker accumulates evidence until the process hits a stopping boundary, and then stops and chooses the alternative that…
We present a simple numerical algorithm for solving elliptic equations where the diffusion coefficient, the source term, the solution and its flux are discontinuous across an irregular interface. The algorithm produces second-order accurate…
This work contributes to an understanding of the domain size's effect on the existence and uniqueness of the linear convection--diffusion equation with integral-type boundary conditions, where boundary conditions depend non-locally on…
We investigate the statistics of encounters of a diffusing particle with different subsets of the boundary of a confining domain. The encounters with each subset are characterized by the boundary local time on that subset. We extend a…
In this work, we introduce a new difference equation which is discrete analogue of Diffusion differential equation and analyze some essential spectral properties, Diffusion difference operator is self-adjoint, eigenvalues of this problem…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…
For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
Introducing an interpolation method we derive lower bounds for the spectral gap for Brownian motion on general domains with sticky-reflecting boundary diffusion associated to the first nontrivial eigenvalue for the Laplace operator with…
We study diffusions, variational principles and associated boundary value problems on directed graphs with natural weightings. Using random walks and exit times, we associate to certain subgraphs (domains) a pair of sequences, each of which…
The nonparametric volatility estimation problem of a scalar diffusion process observed at equidistant time points is addressed. Using the spectral representation of the volatility in terms of the invariant density and an eigenpair of the…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
We develop a Hilbert-space approach to the diffusion process of the Brownian motion in a bounded domain with random jumps from the boundary introduced by Ben-Ari and Pinsky in 2007. The generator of the process is introduced by a diffusion…
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…
Driven by diverse applications, several recent models impose randomly switching boundary conditions on either a PDE or SDE. The purpose of this paper is to provide tools for calculating statistics of these models and to establish a…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
Consider the problem of learning the drift coefficient of a $p$-dimensional stochastic differential equation from a sample path of length $T$. We assume that the drift is parametrized by a high-dimensional vector, and study the support…
A mutualist model with nonlocal diffusions and a free boundary is first considered. We prove that this problem has a unique solution defined $t\ge0$, and its dynamics are governed by a spreading-vanishing dichotomy. Some criteria for…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…