Related papers: Time Homogeneous Diffusions with a Given Marginal …
We prove the existence of a Markov-perfect equilibrium in randomized stopping times for a model of the war of attrition in which the underlying state variable follows a homogenous linear diffusion. The proof uses the fact that the space of…
We study a Brownian particle diffusing under a time-modulated stochastic resetting mechanism to a fixed position. The rate of resetting r(t) is a function of the time t since the last reset event. We derive a sufficient condition on r(t)…
Stochastic differential equations in Hilbert space as random nonlinear modified Schroedinger equations have achieved great attention in recent years; of particular interest is the long time behavior of their solutions. In this note we…
We prove a law of large numbers in terms of complete convergence of independent random variables taking values in increments of monotone functions, with convergence uniform both in the initial and the final time. The result holds also for…
Super-diffusion, characterized by a spreading rate $t^{1/\alpha}$ of the probability density function $p(x,t) = t^{-1/\alpha} p \left( t^{-1/\alpha} x , 1 \right)$, where $t$ is time, may be modeled by space-fractional diffusion equations…
In this paper, we deal with the inverse source problem of determining a source in a time fractional diffusion equation where data are given at a fixed time. This problem is ill-posed, i.e., the solution does not depend continuously on the…
We study the martingale problem associated with the operator $L u = \partial_s u + 1/2 \sum_{i,j=1}^{d_0} a^{ij} \partial_{ij} u + \sum_{i,j=1}^d B^{ij} x^j \partial_i u$, where $d_0 \leq d$. We show that the martingale problem is…
When particles/molecules diffuse in systems that contain obstacles, the steady-state regime (during which the mean-square displacement scales linearly with time, $\left< r^2 \right> \sim t$) is preceded by a transient regime. It is common…
We give necessary and sufficient conditions to characterize the convergence in distribution of a sequence of arbitrary random variables to a probability distribution which is the invariant measure of a diffusion process. This class of…
The denoising diffusion model has recently emerged as a powerful generative technique, capable of transforming noise into meaningful data. While theoretical convergence guarantees for diffusion models are well established when the target…
We consider the behavior of the Gaussian concentration bound (GCB) under stochastic time evolution. More precisely, we consider a Markovian diffusion process on $\mathbb{R}^d$ and start the process from an initial distribution $\mu$ that…
We study a class of time-inhomogeneous diffusion: the self-interacting one. We show a convergence result with a rate of convergence that does not depend on the diffusion coefficient. Finally, we establish a so-called Kramers' type law for…
The first part of this paper introduces sufficient conditions to determine conservation laws of diffusion equations of arbitrary fractional order in time. Numerical methods that satisfy a discrete analogue of these conditions have…
The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW)is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW…
We propose a piecewise-linear, time-stepping discontinuous Galerkin method to solve numerically a time fractional diffusion equation involving Caputo derivative of order $\mu\in (0,1)$ with variable coefficients. For the spatial…
In this paper, we discuss the steady and time-dependent nonlinear convection-diffusion (advection-diffusion) equations with the Dirichlet boundary condition. For the steady nonlinear equation, we use an iteration method to reformulate the…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state…
In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of…
The existence of global nonnegative martingale solutions to a stochastic cross-diffusion system for an arbitrary but finite number of interacting population species is shown. The random influence of the environment is modeled by a…