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We employ a generalization of Einstein's random walk paradigm for diffusion to derive a class of multidimensional degenerate nonlinear parabolic equations in non-divergence form. Specifically, in these equations, the diffusion coefficient…
We study the modeling of a compressible two-phase flow in a porous medium. The governing free boundary problem is known as the Verigin problem with phase transition. We introduce a novel variational framework to construct weak solutions.…
The master equation of one-dimensional three-species reaction-diffusion processes is mapped onto an imaginary-time Schr\"odinger equation. In many cases the Hamiltonian obtained is that of an integrable quantum chain. Within this approach…
We propose a Langevin equation for systems in an environment with nonuniform temperature. At odds with an older proposal, ours admits a locally Maxwellian steady state, local equipartition holds and for detailed-balanced (reversible)…
We consider a prototypical nonlinear parabolic equation whose flux has three distinguished features: it is nonlinear with respect to both the unknown and its gradient, it is homogeneous, and it depends only on the direction of the gradient.…
We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…
This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known…
We study in some generality intertwinings between $h$-transforms of Karlin-McGregor semigroups associated with one dimensional diffusion processes and those of their Siegmund duals. We obtain couplings so that the corresponding processes…
Veestraeten [1] recently derived inverse Laplace transforms for Laplace transforms that contain products of two parabolic cylinder functions by exploiting the link between the parabolic cylinder function and the transition density and…
Convergence rate to the stationary distribution for continuous-time Markov processes can be studied using Lyapunov functions. Recent work by the author provided explicit rates of convergence in special case of a reflected jump-diffusion on…
In the paper, we investigate the nonlinear thermoelasticity model in two- and three-dimensional convex and bounded domains. We propose new boundary conditions for the displacement. These conditions are not usual in thermoelasticity.…
We give a probabilistic representation for the gradient of a 2nd order linear parabolic PDE $\partial_{t}u(t,x)=(1/2)a^{ij}\partial_{ij}u(t,x)+b^{i}\partial_{i}u(t,x)$ with Cauchy initial condition $u(0,x)=f(x)$ and Neumann boundary…
Einstein's kinetic theory of the Brownian motion, based upon light water molecules continuously bombarding a heavy pollen, provided an explanation of diffusion from the Newtonian mechanics. Since the discovery of quantum mechanics it has…
Consider the Leibenson equation \begin{equation*} \partial_t u = \Delta_p u^q, \end{equation*} where $\Delta_p f = div(|\nabla f|^{p-2}\nabla f)$ for $p>1$ and $q>0$, which is a simultaneous generalization of the porous media and the…
This paper deals with the large time dynamics of bounded solutions of reaction-diffusion equations with unbounded initial support in $\mathbb{R}^N$. We prove a variational formula for the spreading speeds in any direction, and we also…
In this paper, the first microscopic approach to the Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended…
A complete family of solutions for the one-dimensional reaction-diffusion equation \[ u_{xx}(x,t)-q(x)u(x,t) = u_t(x,t) \] with a coefficient $q$ depending on $x$ is constructed. The solutions represent the images of the heat polynomials…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…