Related papers: Edgeworth expansion for functionals of continuous …
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure…
For soft matter systems strongly driven by stationary flow, we discuss an extended fluctuation-dissipation theorem (FDT). Beyond the linear response regime, the FDT for the stress acquires an additional contribution involving the observable…
We establish some asymptotic expansions for infinite weighted convolutions of distributions having light subexponential tails. Examples are presented, some showing that in order to obtain an expansion with two significant terms, one needs…
The "typical" asymptotic behavior of the weighted sums of independent, identically distibuted random vectors in k-dimensional space is considered. It is shown that under finitnes of fifth absolute moment of an individual term the rate of…
Brownian yet non-Gaussian phenomenon has recently been observed in many biological and active matter systems. The main idea of explaining this phenomenon is to introduce a random diffusivity for particles moving in inhomogeneous…
In this paper we intend to give a comprehensive approach of functional inequalities for diffusion processes under some "curvature" assumptions. Our notion of curvature coincides with the usual $\Gamma_2$ curvature of Bakry and Emery in the…
We study the long-time behavior of underdamped Brownian particle moving through a viscous medium and in a systematic potential, when it is subjected to a space-dependent high-frequency periodic force. When the frequency is very large, much…
In this paper we study an asymptotic expansion for the distribution of a random motion of a particle driven by a Markov process in diffusion approximation. We show that the singularly perturbed equation of a Markovian random motion can be…
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…
The molecular motion in heterogeneous media displays anomalous diffusion by the mean-squared displacement $\langle X^2(t) \rangle = 2 D t^\alpha$. Motivated by experiments reporting populations of the anomalous diffusion parameters $\alpha$…
It is well-known under the name of `periodic homogenization' that, under a centering condition of the drift, a periodic diffusion process on R^d converges, under diffusive rescaling, to a d-dimensional Brownian motion. Existing proofs of…
I construct a well-defined expansion in $\epsilon=2-d$ for diffusion processes on small-world networks. The technique permits one to calculate the average over disorder of moments of the Green's function, and is used to calculate the…
We report accelerating diffusive solutions to the diffusion equation with a constant diffusion tensor. The maximum values of the diffusion density evolve in an accelerating fashion described by Airy functions. We show the diffusive…
Many studies on biological and soft matter systems report the joint presence of a linear mean-squared displacement and a non-Gaussian probability density exhibiting, for instance, exponential or stretched-Gaussian tails. This phenomenon is…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
Subordinate diffusions are constructed by time changing diffusion processes with an independent L\'{e}vy subordinator. This is a rich family of Markovian jump processes which exhibit a variety of jump behavior and have found many…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
We present the exact adiabatic theory for the dynamics of the inhomogeneous density distribution of a classical fluid. Erroneous particle number fluctuations of dynamical density functional theory are absent, both for canonical and grand…
We prove that probability laws of certain multidimensional semimartingales which includes time-inhomogenous diffusions, under suitable assumptions, satisfy Quadratic Transportation Cost Inequality under the uniform metric. From this we…
We study the Brownian motion of an assembly of mobile inclusions embedded in a fluid membrane. The motion includes the dispersal of the assembly, accompanied by the diffusion of its center of mass. Usually, the former process is much faster…