Related papers: Absolute Continuity of the Laws of Perturbed Diffu…
A model for diffusion on a cubic lattice with a random distribution of traps is developed. The traps are redistributed at certain time intervals. Such models are useful for describing systems showing dynamic disorder, such as ion-conducting…
Systems of N = 1, 2, . . . first-order hyperbolic conservation laws feature N undamped waves propagating at finite speeds. On their own hand, multi-step Finite Difference and lattice Boltzmann schemes with q = N + 1, N + 2, . . . unknowns…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
The Talbot-Plateau law asserts that when the flux (light energy) of a flicker-fused stimulus equals the flux of a steady stimulus, they will appear equal in brightness. To be perceived as flicker-fused, the frequency of the flash sequence…
We study the existence and infinite-speed propagation of solutions to models arising in porous media, when the mobility is highly degenerate (inverse power law). The approach is based on maximum principles for the fractional Laplacian, and…
We prove a law of large numbers in terms of complete convergence of independent random variables taking values in increments of monotone functions, with convergence uniform both in the initial and the final time. The result holds also for…
For a difference approximations of multidimensional diffusion, the truncated local limit theorem is proved. Under very mild conditions on the distribution of the difference terms, this theorem provides that the transition probabilities of…
We consider the inverse problem of reconstructing the posterior measure over the trajec- tories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive…
We ask for necessary and sufficient conditions for almost sure finiteness of the perpetual integrals of a Levy process. Zero-one laws are already known for Brownian motion with drift and spectrally one-sided Levy processes. Under the…
We present a solution to the problem of partial reflection and refraction of a polarized paraxial Gaussian beam at the interface between two transparent media. The Fedorov--Imbert transverse shift of the centers of gravity of the reflected…
We study approximations of reflected It\^o diffusions on convex subsets $D$ of $\Rd$ by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable (possibly…
We study the problem of the existence and regularity of a probability density in an abstract framework based on a "balancing" with approximating absolutely continuous laws. Typically, the absolutely continuous property for the approximating…
We present a new approach to absolute continuity of laws of Poisson functionals. The theoretical framework is that of local Dirichlet forms as a tool to study probability spaces. The method gives rise to a new explicit calculus that we show…
This article extends a strong averaging principle for L\'evy diffusions which live on the leaves of a foliated manifold subject to small transversal L\'evy type perturbation to the case of non-compact leaves. The main result states that the…
This work focuses on stability of regime-switching diffusions consisting of continuous and discrete components, in which the discrete component switches in a countably infinite set and its switching rates at current time depend on the…
We examine Fourier frames and, more generally, frame measures for different probability measures. We prove that if a measure has an associated frame measure, then it must have a certain uniformity in the sense that the weight is distributed…
We introduce two discrete models of a collection of colliding particles with stored momentum and study the asymptotic growth of the mean-square displacement of an active particle. We prove that the models are superdiffusive in one dimension…
Let G \subset \R^k be a convex polyhedral cone with vertex at the origin given as the intersection of half spaces {G_i, i= 1, ..., N}, where n_i and d_i denote the inward normal and direction of constraint associated with G_i, respectively.…
We examine the Langevin diffusion confined to a closed, convex domain $D\subset\mathbb{R}^d$, represented as a reflected stochastic differential equation. We introduce a sequence of penalized stochastic differential equations and prove that…