Related papers: Boundary crossing probabilities for diffusions wit…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
We study the influence of the boundary conditions at the solid liquid interface on diffusion in a confined fluid. Using an hydrodynamic approach, we compute numerical estimates for the diffusion of a particle confined between two planes.…
We consider the multivariate point process determined by the crossing times of the components of a multivariate jump process through a multivariate boundary, assuming to reset each component to an initial value after its boundary crossing.…
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
The standard diffusive spreading, characterized by a Gaussian distribution with mean square displacement that grows linearly with time, can break down, for instance, under the presence of correlations and heterogeneity. In this work, we…
This paper develops a non-asymptotic approach to mean field approximations for systems of $n$ diffusive particles interacting pairwise. The interaction strengths are not identical, making the particle system non-exchangeable. The marginal…
We investigate a stochastic process consisting of a two-dimensional particle with anisotropic diffusion, mortality rate and a drift velocity, in the presence of an absorbing boundary. After the particle has encountered the boundary, the…
We compute exact values respectively bounds of "distances" - in the sense of (transforms of) power divergences and relative entropy - between two discrete-time Galton-Watson branching processes with immigration GWI for which the offspring…
Diffusion through semipermeable structures arises in a wide range of processes in the physical and life sciences. Examples at the microscopic level range from artificial membranes for reverse osmosis to lipid bilayers regulating molecular…
We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…
We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…
Let $M$ be a $d$-dimensional connected compact Riemannian manifold with boundary $\partial M$, let $V\in C^2(M)$ such that $\mu({\rm d} x):={\rm e}^{V(x)}{\rm d} x$ is a probability measure, and let $X_t$ be the diffusion process generated…
Given an unconditional diffusion model targeting a joint model $\pi(x, y)$, using it to perform conditional simulation $\pi(x \mid y)$ is still largely an open question and is typically achieved by learning conditional drifts to the…
A criterion for proving a strong form of propagation of chaos on the path space, known as entropy chaos, for a general interacting diffusion system is proposed. Our analysis focuses on the class of conservative diffusions introduced by…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
In this paper we introduce a novel particle filter scheme for a class of partially-observed multivariate diffusions. %continuous-time dynamic models where the %signal is given by a multivariate diffusion process. We consider a variety of…
In this paper we propose a Monte Carlo maximum likelihood estimation strategy for discretely observed Wright-Fisher diffusions. Our approach provides an unbiased estimator of the likelihood function and is based on exact simulation…
We propose a model for anomalous transport in inhomogeneous environments, such as fractured rocks, in which particles move only along pre-existing self-similar curves (cracks). The stochastic Loewner equation is used to efficiently generate…
We provide a general framework for learning diffusion bridges that transport prior to target distributions. It includes existing diffusion models for generative modeling, but also underdamped versions with degenerate diffusion matrices,…
For regime-switching diffusions processes with singular drifts, we introduce integrability conditions involving a nice reference probability measure and the $Q$-matrix of the jump part to study the existence of the invariant probability…