Related papers: Uniform asymptotic approximation of diffusion to a…
We consider one dimensional diffusive search strategies subjected to external potentials. The location of a single target is drawn from a given probability density function (PDF) $f_G(x)$ and is fixed for each stochastic realization of the…
This paper investigates a diffusion process in a narrow tubular domain with reflecting boundary conditions, where the geometry serves as a singular perturbation of an underlying graph in $\mathbb{R}^2$ or $\mathbb{R}^3$. The construction…
The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…
We consider non-negative solutions of the fast diffusion equation $u_t=\Delta u^m$ with $m \in (0,1)$, in the Euclidean space R^d, d?3, and study the asymptotic behavior of a natural class of solutions, in the limit corresponding to…
We consider diffusion under stochastic resetting to the origin in one dimension and compute the mean time to find both of two targets placed either side of the origin. A surprising result is that increasing the distance between two targets…
In the present article the diffusion equation is used to model the spatio-temporal dynamics of a tumor, taking into account the heterogeneous of the medium. This approach makes it possible to take into account the complex geometric shape of…
Inference-time controllable generation is essential for real-world applications of unconditional diffusion models. However, most existing techniques focus on individual samples, struggling in applications that require the sample population…
The Ornstein-Uhlenbeck process of diffusion in the harmonic potential is re-examined in the context of the first-passage time problem. We investigate this problem to the extent that it has not yet been fully resolved and demonstrate exact…
We consider solutions in frequency bands of dispersive equations on the line defined by Fourier multipliers, these solutions being considered as wave packets. In this paper, a refinement of an existing method permitting to expand…
The time fractional diffusion equation is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order $\beta \in (0,1)$. The fundamental solution for the Cauchy problem is…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
A singularly perturbed parabolic problem of convection-diffusion type with a discontinuous initial condition is examined. A particular complimentary error function is identified which matches the discontinuity in the initial condition. The…
We study the long time behavior of a Brownian particle moving in an anomalously diffusing field, the evolution of which depends on the particle position. We prove that the process describing the asymptotic behaviour of the Brownian particle…
We study a single, motionless three-dimensional droplet growing by adsorption of diffusing monomers on a 2D substrate. The diffusing monomers are adsorbed at the aggregate perimeter of the droplet with different boundary conditions. Models…
We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from…
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…
We study the survival probability of a particle diffusing in a two-dimensional domain, bounded by a smooth absorbing boundary. The short-time expansion of this quantity depends on the geometric characteristics of the boundary, whilst its…
This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
We consider a heat problem with discontinuous diffusion coefficientsand discontinuous transmission boundary conditions with a resistancecoefficient. For all compact $(\epsilon,\delta)$-domains $\Omega\subset\mathbb{R}^n$ with a $d$-set…