Related papers: Transience/Recurrence and Growth Rates for Diffusi…

For a diffusion process $X(t)$ of drift $\mu(x)$ and of diffusion coefficient $D=1/2$, we study the joint distribution of the two local times $A(t)= \int_{0}^{t} d\tau \delta(X(\tau)) $ and $B(t)= \int_{0}^{t} d\tau \delta(X(\tau)-L) $ at…

The scope of this paper is generative modeling through diffusion processes. An approach falling within this paradigm is the work of Song et al. (2021), which relies on a time-reversal argument to construct a diffusion process targeting the…

Sticky diffusion processes on bounded domains spend finite time (and finite mean time) on the lower-dimensional space given by the boundary. Once the process hits the boundary, then it starts again after a random amount of time. While on…

For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…

Fourier analysis has been an instrumental tool in the development of signal processing. This leads us to wonder whether this framework could similarly benefit generative modelling. In this paper, we explore this question through the scope…

The drawdown process of an one-dimensional regular diffusion process $X$ is given by $X$ reflected at its running maximum. The drawup process is given by $X$ reflected at its running minimum. We calculate the probability that a drawdown…

We analyse how simple local constraints in two dimensions lead a defect to exhibit robust, non-transient, and tunable, subdiffusion. We uncover a rich dynamical phenomenology realised in ice- and dimer-type models. On the microscopic scale…

We assume that we observe $N$ independent copies of a diffusion process on a time-interval $[0,2T]$. For a given time $t$, we estimate the transition density $p_t(x,y)$, namely the conditional density of $X_{t + s}$ given $X_s = x$, under…

We simulate a growth model with restricted surface relaxation process in d=1 and d=2, where d is the dimensionality of a flat substrate. In this model, each particle can relax on the surface to a local minimum, as the Edwards-Wilkinson…

Let $D\subsetneq R^d$ be an unbounded domain and let $B(t)$ be a Brownian motion in $D$ with normal reflection at the boundary. We study the transcience/recurrence dichotomy, focusing mainly on domains of the form $D=\{(x,z)\in…

Using statistical physics methods, we study generative diffusion models in the regime where the dimension of space and the number of data are large, and the score function has been trained optimally. Our analysis reveals three distinct…

We provide some on-off type criteria for recurrence and transience of regime-switching diffusion processes using the theory of M-matrix and the Perron-Frobenius theorem. State-independent and state-dependent regime-switching diffusion…

The evolution of RHEED reflexes intensity during reconstructed transitions characterizes (often implicitly) reconstructed surface state peculiarities. The approaches of a correct RHEED data interpretation, aimed at obtaining information…

We study diffusion processes that are stopped or reflected on the boundary of a domain. The generator of the process is assumed to contain two parts: the main part that degenerates on the boundary in a direction orthogonal to the boundary…

This paper concerns the diffusive limit of the time evolutionary Boltzmann equation in the half space $\mathbb{T}^2\times\mathbb{R}^+$ for a small Knudsen number $\varepsilon>0$. For boundary conditions in the normal direction, it involves…

For a multidimensional driftless diffusion in an unbounded, smooth, sub-linear generalized parabolic domain, with oblique reflection from the boundary, we give natural conditions under which either explosion occurs, if the domain narrows…

We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…

We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…

We consider a positive recurrent one-dimensional diffusion process with continuous coefficients and we establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words we find some…

Positive recurrence of a $d$-dimensional diffusion with switching and with one recurrent and one transient regimes and variable switching intensities is established under suitable conditions. The approach is based on embedded Markov chains.