Related papers: Diffusions with rank-based characteristics and val…
Differentiability of semigroups is useful for many applications. Here we focus on stochastic differential equations whose diffusion coefficient is the square root of a differentiable function but not differentiable itself. For every…
We investigate well-posedness for martingale solutions of stochastic differential equations, under low regularity assumptions on their coefficients, widely extending some results first obtained by A. Figalli. Our main results are a very…
We study the existence and uniqueness of rank-based interacting systems of stochastic differential equations. These systems can be seen as modifications with state-dependent coefficients of the Atlas model in mathematical finance. The…
Using analysis for 2-admissible functions in weighted Sobolev spaces and stochastic calculus for possibly degenerate symmetric elliptic forms, we construct weak solutions to a wide class of stochastic differential equations starting from an…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…
Systems are studied in which transport is possible due to large extension with open boundaries in certain directions but the particles responsible for transport can disappear from it by leaving it in other directions, by chemical reaction…
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
Score-based diffusion models learn to reverse a stochastic differential equation that maps data to noise. However, for complex tasks, numerical error can compound and result in highly unnatural samples. Previous work mitigates this drift…
We study the large deviations of current-type observables defined for Markov diffusion processes evolving in smooth bounded regions of $\mathbb{R}^d$ with reflections at the boundaries. We derive for these the correct boundary conditions…
In this article, we discuss the numerical solution of diffusion equations on random surfaces within the isogeometric framework. We describe in detail, how diffusion problems on random surfaces can be modelled and how quantities of interest…
Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and \sigma(.), let L be the usual second-order elliptic operator associated with b(.) and \sigma(.). Under suitable…
We investigate a class of nonlinear Schrodinger equations with a generalized Choquard nonlinearity and fractional diffusion. We obtain regularity, existence, nonexistence, symmetry as well as decays properties.
Complex spatial and temporal structures are inherent characteristics of turbulent fluid flows and comprehending them poses a major challenge. This comprehesion necessitates an understanding of the space of turbulent fluid flow…
Diffusion in a multidimensional energy surface with minima and barriers is a problem of importance in statistical mechanics and also has wide applications, such as protein folding. To understand it in such a system, we carry out theory and…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We consider the systems of diffusion-orthogonal polynomials, defined in the work [1] of D. Bakry, S. Orevkov and M. Zani and (particularly) explain why these systems with boundary of maximal possible degree should always come from the…
We consider a stochastically perturbed reaction diffusion equation in a bounded interval, with boundary conditions imposing the two stable phases at the endpoints. We investigate the asymptotic behavior of the front separating the two…