Related papers: Characterization of stationary distributions of re…
Stationary probability distributions of one-dimensional random walks on lattices with aperiodic disorder are investigated. The pattern of the distribution is closely related to the diffusional behavior, which depends on the wandering…
The problem of reconstructing the drift of a diffusion in $\erre^d$, $d\geq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of…
Let $(X_t)$ be a reflected diffusion process in a bounded convex domain in $\mathbb R^d$, solving the stochastic differential equation $$dX_t = \nabla f(X_t) dt + \sqrt{2f (X_t)} dW_t, ~t \ge 0,$$ with $W_t$ a $d$-dimensional Brownian…
We introduce a family of two-dimensional reflected random walks in the positive quadrant and study their Martin boundary. While the minimal boundary is systematically equal to a union of two points, the full Martin boundary exhibits an…
For a random field on a general discrete set, we introduce a condition that the range of the correlation from each site is within a predefined compact set D. For such a random field omega defined on the model set Lambda that satisfies a…
In this paper we consider the Stratonovich reflected stochastic differential equation $dX_t=\sigma(X_t)\circ dW_t+b(X_t)dt+dL_t$ in a bounded domain $\O$ which satisfies conditions, introduced by Lions and Sznitman, which are specified…
In this paper the author studies the problem of the homogenization of a diffusion perturbed by a periodic reflection invariant vector field. The vector field is assumed to have fixed direction but varying amplitude. The existence of a…
For a multidimensional driftless diffusion in an unbounded, smooth, sub-linear generalized parabolic domain, with oblique reflection from the boundary, we give natural conditions under which either explosion occurs, if the domain narrows…
Solids with spatially varying photonic structure offer gaps to light of a wider range of frequencies than do simple photonic systems. We solve numerically the field distribution in a solid cholesteric with a linearly varying inverse pitch…
Consider a scalar reflected diffusion $(X_t:t\geq 0)$, where the unknown drift function $b$ is modelled nonparametrically. We show that in the low frequency sampling case, when the sample consists of $(X_0,X_\Delta,...,X_{n\Delta})$ for…
We study diffusion of charged particles in stationary stochastic magnetic field ${\bf B}$ with zero mean, $\langle {\bf B} \rangle = 0 $. In the case when electric current is carried by electrons, the field is force-free, $\mathrm{curl}…
We consider a semi-infinite dielectric with multiple spatially dispersive resonances in the susceptibility. The effect of the boundary is described by an arbitrary reflection coefficient for polarization waves in the material at the…
The problem of diffraction of a waveguide mode by a thin Neumann screen is considered. The incident mode is assumed to have frequency close to the cut-off. The problem is reduced to a propagation problem on a branched surface and then is…
We quantify the asymptotic behaviour of multidimensional drifltess diffusions in domains unbounded in a single direction, with asymptotically normal reflections from the boundary. We identify the critical growth/contraction rates of the…
The second part of the article is devoted to field transfers by diffraction that are represented by fractional Fourier transformations whose orders are complex numbers. The corresponding effects on the Wigner distributions associated with…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provides a framework for creating a connection between infinite…
This is a review of Glauber's asymptotic diffraction theory, in which diffractive scattering is described in terms of interference between semiclassical amplitudes, resulting from a stationary-phase approximation. Typically two such…
The problem of recovering a diffusion coefficient $a$ in a second-order elliptic partial differential equation from a corresponding solution $u$ for a given right-hand side $f$ is considered, with particular focus on the case where $f$ is…
Stationary distributions of multivariate diffusion processes have recently been proposed as probabilistic models of causal systems in statistics and machine learning. Motivated by these developments, we study stationary multivariate…