Related papers: Marginal density expansions for diffusions and sto…

In this paper Gaussian models of retarded and accelerated anomalous diffusion are considered. Stochastic differential equations of fractional order driven by single or multiple fractional Gaussian noise terms are introduced to describe…

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process…

The current paper is a corrected version of our previous paper arXiv:adap-org/9608001. Similarly to previous version we investigate the problem of flame propagation. This problem is studied as an example of unstable fronts that wrinkle on…

With the help of the methods developed in our previous article [Schmitz, to appear in "Annales de l'I.H.P. Prob. & Stat.], we highlight condition (T) as a source of new examples of 'ballistic' diffusions in a random environment when d>1…

In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…

Recently it has been shown that when an equation that allows so-called pulled fronts in the mean-field limit is modelled with a stochastic model with a finite number $N$ of particles per correlation volume, the convergence to the speed…

We establish the asymptotic expansion in $\beta$ matrix models with a confining, off-critical potential, in the regime where the support of the equilibrium measure is a union of segments. We first address the case where the filling…

The Hartman-Watson distribution with density $f_r(t)$ is a probability distribution defined on $t \geq 0$ which appears in several problems of applied probability. The density of this distribution is expressed in terms of an integral…

The diffusion of chiral active Brownian particles in three-dimensional space is studied analytically, by consideration of the corresponding Fokker-Planck equation for the probability density of finding a particle at position…

We show that the spectrum of an ensemble of two-level systems can be broadened through `resetting' discrete fluctuations, in contrast to the well-known motional-narrowing effect. We establish that the condition for the onset of motional…

Nonlinear and nonlinear evolution equations of the form $u_t=\L u \pm|\nabla u|^q$, where $\L$ is a pseudodifferential operator representing the infinitesimal generator of a L\'evy stochastic process, have been derived as models for growing…

We address propagation and entanglement of Gaussian states in optical media characterised by non-trivial spectral densities. In particular, we consider environments with a finite bandwidth and show that in the low temperature regime: i)…

Multidimensional hypoelliptic diffusions arise naturally in different fields, for example to model neuronal activity. Estimation in those models is complex because of the degenerate structure of the diffusion coefficient. In this paper we…

It is our aim to establish a general analytic theory of asymptotic expansions of type f(x)=a_1 phi_1(x)+dots+ a_n phi_n(x)+o(phi_n(x)), x tends to x_0 (*), where the given ordered n-tuple of real-valued functions phi_1 dots,phi_n forms an…

Diffusion models, which convert noise into new data instances by learning to reverse a Markov diffusion process, have become a cornerstone in contemporary generative modeling. While their practical power has now been widely recognized, the…

The paper treats a reaction-diffusion equation with hysteretic nonlinearity on a one-dimensional lattice. It arises as a result of the spatial discretization of the corresponding continuous model with so-called nontransverse initial data…

This paper is devoted to study the asymptotic expansion of the heat trace of the Dirichlet-to-Neumann map for the thermoelastic equation on a Riemannian manifold with doundary. By providing a method we can obtain all the coefficients of the…

In this work we generalize the thermal decoupling, or freeze-out, of weakly interacting massive particle dark matter within the Tsallis nonextensive formalism. The generalization is implemented through $q$-deformed distribution functions…

The goal of this paper is to supplement the large deviation principle of the Freidlin--Wentzell theory on exit problems for diffusion processes with results of classical central limit theorem kind. We describe a class of situations where…

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for $F(X_t,t)$, where $F(x,t)$ has a locally square-integrable derivative in $x$ that satisfies a mild continuity condition in $t$ and…