Related papers: Sensitivity analysis for diffusion processes const…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
The aim of this article is to prove that diffusion processes in $\mathbb{R}^d$ with a drift can be approximated by suitable Markov chains on $n^{-1}\mathbb{Z}^d$. Moreover, we investigate sufficient conditions on the conductances which…
In this paper, we establish new quantitative convergence bounds for a class of functional autoregressive models in weighted total variation metrics. To derive our results, we show that under mild assumptions, explicit minorization and…
A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypotheses…
The diffusive dynamics of a particle in a medium with space-dependent friction coefficient is studied within the framework of the inertial Langevin equation. In this description, the ambiguous interpretation of the stochastic integral,…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
We study the "stiff pressure limit" of a nonlinear drift-diffusion equation, where the density is constrained to stay below the maximal value one. The challenge lies in the presence of a drift and the consequent lack of monotonicity in…
This paper addresses the nonparametric estimation of the drift function over a compact domain for a time-homogeneous diffusion process, based on high-frequency discrete observations from $N$ independent trajectories. We propose a neural…
In this paper, we consider a reaction-diffusion system describing the propagation of flames under the assumption of ignition-temperature kinetics and fractional reaction order. It was shown in [3] that this system admits a traveling front…
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general…
We introduce a new diffusion process which arises as the $n\to\infty$ limit of a Bessel process of dimension $d \ge 2$ conditioned upon remaining bounded below one until time $n$. In addition to being interesting in its own right, we argue…
We study the existence and long-time asymptotics of weak solutions to a system of two nonlinear drift-diffusion equations that has a gradient flow structure in the Wasserstein distance. The two equations are coupled through a…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
The long-time behavior of a reaction-diffusion front between one static (e.g. porous solid) reactant A and one initially separated diffusing reactant B is analyzed for the mean-field reaction-rate density R(\rho_A,\rho_B) =…
We study analytically and numerically a model describing front propagation of a KPP reaction in a fluid flow. The model consists of coupled one-dimensional reaction-diffusion equations with different drift coefficients. The main rigorous…
We analyze circumstances under which the microscopic dynamics of particles which are driven by a forced, gradient-type flow can be consistently interpreted as a Markovian diffusion process. Special attention is paid to discriminating…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
A Markov process fluctuating away from its typical behavior can be represented in the long-time limit by another Markov process, called the effective or driven process, having the same stationary states as the original process conditioned…
We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…