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This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
Understanding anomalous transport and reaction kinetics due to microscopic physical and chemical disorder is a long-standing goal in many fields including geophysics, biology, and engineering. We consider reaction-diffusion characterized by…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called "mean field limit", or "hydrodynamic limit"). A common practice, often called the "fixed point approximation"…
We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal…
In this paper, we study solutions of the heterogeneous diffusion process with power-law nonlinearity governed by the stochastic differential equation $\mathrm{d}X_t= |X_t|^\alpha\,\mathrm{d}B_t + \alpha\lambda…
A multiscale analysis of 1D stochastic bistable reaction-diffusion equations with additive noise is carried out w.r.t. travelling waves within the variational approach to stochastic partial differential equations. It is shown with explicit…
In this article we develop an effective theory of pulse propagation in a nonlinear and disordered medium. The theory is formulated in terms of a nonlinear diffusion equation. Despite its apparent simplicity this equation describes novel…
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
We consider the evolution of a tight binding wave packet propagating in a time dependent potential. If the potential evolves according to a stationary Markov process, we show that the square amplitude of the wave packet converges, after…
We introduce a Langevin equation characterized by a time dependent drift. By assuming a temporal power-law dependence of the drift we show that a great variety of behavior is observed in the dynamics of the variance of the process. In…
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.
We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…
We investigate dynamically and statistically diffusive motion in a Klein-Gordon particle chain in the presence of disorder. In particular, we examine a low energy (subdiffusive) and a higher energy (self-trapping) case and verify that…
We consider the diffusive limit of an unsteady neutron transport equation in a two-dimensional plate with one-speed velocity. We show the solution can be approximated by the sum of interior solution, initial layer, and boundary layer with…
We consider the evolution of a tight binding wave packet propagating in a fluctuating periodic potential. If the fluctuations stem from a stationary Markov process satisfying certain technical criteria, we show that the square amplitude of…
We consider moving particles in media with nonlinear friction and drive them by an asymmetric dichotomic Markov process. Due to different energy dissipations, during the forward and backward stroke, we obtain a mean non-vanishing directed…
We study the "stiff pressure limit" of a nonlinear drift-diffusion equation, where the density is constrained to stay below the maximal value one. The challenge lies in the presence of a drift and the consequent lack of monotonicity in…
Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…