Related papers: Large deviation principle for bridges of degenerat…
In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…
Using a weak convergence approach, we establish a Large Deviation Principle (LDP) for the solutions of fluid dynamic systems in two-dimensional bounded domains subjected to no-slip boundary conditions and perturbed by additive noise. Our…
We study the transmission of random walkers through a finite-size inhomogeneous material with a quenched, long-range correlated distribution of scatterers. We focus on a finite one-dimensional structure where walkers undergo random…
We reexamine the theory of transition from drift to no-drift in biased diffusion on percolation networks. We argue that for the bias field B equal to the critical value B_c, the average velocity at large times t decreases to zero as…
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridge simulation plays a fundamental role in likelihood and…
Using an inverse of the standard linear congruential random number generator, large randomly occupied lattices can be visited by a random walker without having to determine the occupation status of every lattice site in advance. In seven…
We consider a sequence of processes defined on half-line for all non negative t. We give sufficient conditions for Large Deviation Principle (LDP) to hold in the space of continuous functions with a new metric that is more sensitive to…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
The migration of liquids in porous media, such as sand, has been commonly considered at high saturation levels with liquid pathways at pore dimensions. In this letter we reveal a low saturation regime observed in our experiments with…
We consider the time dependent dispersion properties of overdamped tracer particles diffusing in a one dimensional periodic potential under the influence of an additional constant tilting force $F$. The system is studied in the region where…
We consider the standard first passage percolation model on $\mathbb Z^d$ with bounded and bounded away from zero weights. We show that the rescaled passage time $\widetilde{\mathbf T}_{n,X}$ restricted to a compact set $X$ satisfies a…
We present a collection of explicit diffusion approximations to small temperature Schr\"{o}dinger bridges on manifolds. Our most precise results are when both marginals are the same and the Schr\"{o}dinger bridge is on a manifold with a…
We study an inhomogeneous sparse random graph on [N] = {1, . . . , N } as introduced in a seminal paper by Bollobas, Janson and Riordan (2007): vertices have a type (here in a compact metric space S), and edges between different vertices…
In the framework of Harnack type Dirichlet forms, we prove a large deviation principle for the asymptotics of reversible Markov processes with rate function given by the energy of the paths.
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
Current fluctuations in boundary-driven diffusive systems are, in many cases, studied using hydrodynamic theories. Their predictions are then expected to be valid for currents which scale inversely with the system size. To study this…
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…
Bridges form dynamically in granular media as a result of spatiotemporal inhomogeneities. We classify bridges as linear and complex, and analyse their geometrical characteristics. In particular, we find that the length distribution of…
We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…
Let L be a positive line bundle over a projective complex manifold X. Consider the space of holomorphic sections of the tensor power of order p of L. The determinant of a basis of this space, together with some given probability measure on…