Related papers: Minimum survival probabilities in a two-dimensiona…
We study asymptotic properties of conditional least squares estimators for the drift parameters of two-factor affine diffusions based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. For…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
We investigate finite-size effects on diffusion in confined fluids using molecular dynamics simulations and hydrodynamic calculations. Specifically, we consider a Lennard-Jones fluid in slit pores without slip at the interface and show that…
We prove that the solutions to fast diffusion stochastic porous media equations have finite time extinction with strictly positive probability.
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
A singularly perturbed linear system of second order partial differential equations of parabolic reaction-diffusion type with given initial and boundary conditions is considered. The leading term of each equation is multiplied by a small…
Application of discrete-time survival methods for continuous-time survival prediction is considered. For this purpose, a scheme for discretization of continuous-time data is proposed by considering the quantiles of the estimated event-time…
Using techniques of the theory of semigroups of linear operators we study the question of approximating solutions to equations governing diffusion in thin layers separated by a semi-permeable membrane. We show that as thickness of the…
We suggest an explanation of typical incubation times statistical features based on the universal behavior of exit times for diffusion models. We give a mathematically rigorous proof of the characteristic right skewness of the incubation…
Diffusion models have attained prominence for their ability to synthesize a probability distribution for a given dataset via a diffusion process, enabling the generation of new data points with high fidelity. However, diffusion processes…
We consider Bayesian hierarchical models for survival analysis, where the survival times are modeled through an underlying diffusion process which determines the hazard rate. We show how these models can be efficiently treated by means of…
Diffusion in an evolving environment is studied by continuos-time Monte Carlo simulations. Diffusion is modelled by continuos-time random walkers on a lattice, in a dynamic environment provided by bubbles between two one-dimensional…
Statistical properties of the front of a semi-infinite system of single-file diffusion (one dimensional system where particles cannot pass each other, but in-between collisions each one independently follow diffusive motion) are…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
We discuss the diffusion phenomenon in the parabolic and hyperbolic regimes. New effects related to the finite velocity of the diffusion process are predicted, that can partially explain the strange behavior associated to adsorption…
We introduce and investigate the escape problem for random walkers that may eventually die, decay, bleach, or lose activity during their diffusion towards an escape or reactive region on the boundary of a confining domain. In the case of a…
In this paper, we study the dynamics of a random walker diffusing on a disordered one-dimensional lattice with random trappings. The distribution of escape probabilities is computed exactly for any strength of the disorder. These…
We survey recent results of normal and anomalous diffusion of two types of random motions with long memory in ${\Bbb R}^d$ or ${\Bbb Z}^d$. The first class consists of random walks on ${\Bbb Z}^d$ in divergence-free random drift field,…
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible…
Assuming some regression model, it is common to study the conditional distribution of survival given covariates. Here, we consider the impact of further conditioning, specifically conditioning on a marginal survival function, known or…