Related papers: Efficient numerical calculation of drift and diffu…
We study stochastic differential equations(SDEs) with a small perturbation parameter. Under the dissipative condition on the drift coefficient and the local Lipschitz condition on the drift and diffusion coefficients we prove the existence…
Microscopic processes on surfaces such as adsorption, desorption, diffusion and reaction of interacting particles can be simulated using kinetic Monte Carlo (kMC) algorithms. Even though kMC methods are accurate, they are computationally…
Conditional and Lie symmetries of semi-linear 1D Schr\"odinger and diffusion equations are studied if the mass (or the diffusion constant) is considered as an additional variable. In this way, dynamical symmetries of semi-linear…
In this note we prove sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift. We study the approximation of jump-diffusion SDEs with non-adaptive as well as…
Kramer's approach to the rate of the thermally activated escape from a metastable state is extended to field theory. Diffusion rate in the 1+1-dimensional Sine-Gordon model as a function of temperature and friction coefficient is evaluated…
We consider the problem of nonparametric estimation of the drift of a continuously observed one-dimensional diffusion with periodic drift. Motivated by computational considerations, van der Meulen e.a. (2014) defined a prior on the drift as…
Using the asymmetric fractional calculus of variations, we derive a fractional Lagrangian variational formulation of the convection-diffusion equation in the special case of constant coefficients.
It is generally believed that collisions of particles reduce the self-diffusion coefficient. Here we show that in odd-diffusive systems, which are characterized by diffusion tensors with antisymmetric elements, collisions surprisingly can…
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…
We investigate the fractional diffusion approximation of a kinetic equation in the upper-half plane with diffusive reflection conditions at the boundary. In an appropriate singular limit corresponding to small Knudsen number and long time…
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 address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
We consider the problem of approximating the Langevin dynamics of inertial particles being transported by a background flow. In particular, we study an acceleration corrected advection-diffusion approximation to the Langevin dynamics, a…
The complex dynamics of physical systems can often be modeled with stochastic differential equations. However, computational constraints inhibit the estimation of dynamics from large time-series datasets. I present a method for estimating…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
The stochastic thermodynamics of a dilute, well-stirred mixture of chemically-reacting species is built on the stochastic trajectories of reaction events obtained from the Chemical Master Equation. However, when the molecular populations…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
Using accurate multi-component diffusion treatment in numerical combustion studies remains formidable due to the computational cost associated with solving for diffusion velocities. To obtain the diffusion velocities, for low density gases,…
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{n\Delta},n=0,1,...,N. The sampling frequency \Delta^{-1} is constant, and asymptotics are taken as the number N of…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…