Related papers: Tubes estimates for diffusion processes under a lo…
We investigate the extreme value statistics of a one-dimensional Brownian motion (with the diffusion constant $D$) during a time interval $\left[0, t \right]$ in the presence of a reflective boundary at the origin, starting from a positive…
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space $[0,T]\times\mathbb{R}^d$, $d\ge 1$. To the best of our knowledge this is the only existing proof…
We consider processes that coincide with a given diffusion process except on the boundaries of a finite collection of domains. The behavior on each of the boundaries is asymmetric: the process is much more likely to enter the interior of…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
This work is an extended version of the paper arXiv:0803.2669v1[math-ph], in which the main results were announced. We consider certain classical diffusion process for a wave function on the phase space. It is shown that at the time of…
Computer simulations were done of the mean square displacement (MSD) of tracer particles in colloidal gels formed by diffusion or reaction limited aggregation of hard spheres. The diffusion coefficient was found to be determined by the…
In this note, we give constructive upper and lower bounds for the minimal speed of propagation of traveling waves for non-local delayed reaction-diffusion equation.
A mesh condition is developed for linear finite element approximations of anisotropic diffusion-convection-reaction problems to satisfy a discrete maximum principle. Loosely speaking, the condition requires that the mesh be simplicial and…
We have random number of independent diffusion processes with absorption on boundaries in some region at initial time $t=0$. The initial numbers and positions of processes in region is defined by Poisson random measure. It is required to…
The aim of this paper is to study the behavior of the weighted empirical measures of the decreasing step Euler scheme of a one-dimensional diffusion process having multiple invariant measures. This situation can occur when the drift and the…
The movement of a particle described by Brownian motion is quantified by a single parameter, $D$, the diffusion constant. The estimation of $D$ from a discrete sequence of noisy observations is a fundamental problem in biological single…
Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for example in biology, where toroidal data arises naturally when…
Score-based diffusion models, which generate new data by learning to reverse a diffusion process that perturbs data from the target distribution into noise, have achieved remarkable success across various generative tasks. Despite their…
We consider the problem of a particle traveling from an initial configuration to a final configuration (given by a point in the plane along with a prescribed velocity vector) in minimum time with non-homogeneous velocity and with…
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
We investigate the dynamics of several slender rigid bodies moving in a flow driven by the three-dimensional steady Stokes system in presence of a smooth background flow. More precisely we consider the limit where the thickness of these…
We establish the fractional diffusion limit of the kinetic scattering equation with diffusive boundary condition in a strongly convex bounded domain $\mathcal{D}\subset\mathbb{R}^d$. According to the nature of the boundary condition, two…
We consider a super-Brownian motion $\{X_t, t\geq 0\}$ in a random environment described by a centered Gaussian field $\{W(t,x),t\geq 0, x\in\mathbb{R}^d\}$ whose correlation function is given by $\mathcal{C} (x,y)(t \wedge s)$. The process…
We study the boundary trace processes of reflected diffusions on uniform domains. We obtain stable-like heat kernel estimates for such a boundary trace process when the diffusion on the underlying ambient space satisfies sub-Gaussian heat…