Related papers: Perturbed GUE Minor Process and Warren's Process w…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We revisit the diffusion properties and the mean drift induced by an external field of a random walk process in a class of branched structures, as the comb lattice and the linear chains of plaquettes. A simple treatment based on scaling…
The present paper provides a characterisation of exchangeable pairs of random measures $(\widetilde\mu_1,\widetilde\mu_2)$ whose identical margins are fixed to coincide with the distribution of a gamma completely random measure, and whose…
We consider n one-dimensional Brownian motions, such that n/2 Brownian motions start at time t=0 in the starting point a and end at time t=1 in the endpoint b and the other n/2 Brownian motions start at time t=0 at the point -a and end at…
We considered diffusion-driven processes on small-world networks with distance-dependent random links. The study of diffusion on such networks is motivated by transport on randomly folded polymer chains, synchronization problems in…
Airy and Pearcey-like kernels and generalizations arising in random matrix theory are expressed as double integrals of ratios of exponentials, possibly multiplied with a rational function. In this work it is shown that such kernels are…
Recent studies have indicated that the coarse grained dynamics of a large class of traffic models and driven-diffusive systems may be described by urn models. We consider a class of one-dimensional urn models whereby particles hop from an…
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…
In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian…
We show the $L^2$-Wasserstein contraction for the transition kernel of a discretised diffusion process, under a contractivity at infinity condition on the drift and a sufficiently high diffusivity requirement. This extends recent results…
The microscopic origin of dissipation of a driven quantum many body system is addressed in the framework of a parametric banded random matrix approach. We find noticeable violations of the fluctuation-dissipation theorem and we observe also…
We study the small-time asymptotics for hypoelliptic diffusion processes conditioned by their initial and final positions, in a model class of diffusions satisfying a weak H\"ormander condition where the diffusivity is constant and the…
We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional small diffusions. Our test is based on discrete observation of the processes, and the diffusion coefficient is a nuisance function which…
In the small noise regime, the average transition time between metastable states of a reversible diffusion process is described at the logarithmic scale by Arrhenius' law. The Eyring-Kramers formula classically provides a subexponential…
We introduce a broad class of self-similar processes $\{Z(t),t\ge 0\}$ called generalized Hermite process. They have stationary increments, are defined on a Wiener chaos with Hurst index $H\in (1/2,1)$, and include Hermite processes as a…
This work discusses the homogenization analysis for diffusion processes on scale-free metric graphs, using weak variational formulations. The oscillations of the diffusion coefficient along the edges of a metric graph induce internal…
We consider systems of Brownian particles in the space of positive definite matrices, which evolve independently apart from some simple interactions. We give examples of such processes which have an integrable structure. These are related…
A pathwise large deviation principle in the Wasserstein topology and a pathwise central limit theorem are proved for the empirical measure of a mean-field system of interacting diffusions. The coefficients are path-dependent. The framework…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
We present a model of anomalous diffusion consisting of an ensemble of particles undergoing homogeneous Brownian motion except for confinement by randomly placed reflecting boundaries. For power-law distributed compartment sizes, we…