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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 study a symmetric diffusion $X$ on $\mathbb{R}^d$ in divergence form in a stationary and ergodic environment, with measurable unbounded and degenerate coefficients $a^\omega$. The diffusion is formally associated with $L^\omega u =…
As a generalization of deterministic, nonlinear conservative dynamical systems, a notion of {\em canonical conservative dynamics} with respect to a positive, differentiable stationary density $\rho(x)$ is introduced: $\dot{x}=j(x)$ in which…
We consider a two-dimensional Hamiltonian system perturbed by a small diffusion term, whose coefficient is state-dependent and non-degenerate. As a result, the process consists of the fast motion along the level curves and slow motion…
We revisit the work of Mitter and Newton on an information-theoretic interpretation of Bayes' formula through the Gibbs variational principle. This formulation allowed them to pose nonlinear estimation for diffusion processes as a problem…
We study the inverse random source problem for the time-space fractional diffusion equation driven by fractional Brownian motion with Hurst index $H\in(0,1)$. With the aid of a novel estimate, by using the operator approach we propose…
The longitudinal Doppler shift is a measure of hyperbolic distance. Transformations of uniform motion are determined by the Doppler shift, while its square root transforms to a uniformly accelerated frame. A time-velocity space metric is…
Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of…
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…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a…
Brownian motion in periodic potentials has been widely investigated in statistical physics and related interdisciplinary fields. In the overdamped regime, it has been well-known that the diffusion constant $D^*$ is given by the…
Diffusive transport is characterized by the scaling law $(length)^{2}\propto(time)$. In this letter we show that this relationship is significantly altered in curved analogue spacetimes. This circumstance provides an opportunity to tailor…
Recent advancements in diffusion models and diffusion bridges primarily focus on finite-dimensional spaces, yet many real-world problems necessitate operations in infinite-dimensional function spaces for more natural and interpretable…
This paper is concerned with stochastic processes that model multiple (or iterated) scattering in classical mechanical systems of billiard type, defined below. From a given (deterministic) system of billiard type, a random process with…
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous…
Statistical description of stochastic dynamics in highly unstable potentials is strongly affected by properties of divergent trajectories, that quickly leave meta-stable regions of the potential landscape and never return. Using ideas from…
The existence of normal deterministic diffusion in dynamical systems with a two-dimensional phase space tiled by regular triangles (or their unions into regular hexagons) is proven.
A method is proposed for the calculation of diffusion constants for one-dimensional maps exhibiting deterministic diffusion. The procedure is based on harmonic inversion and uses a known relation between the diffusion constant and the…
We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we…