Related papers: LAN property for an ergodic diffusion with jumps
We consider a random walk in random environment in the low disorder regime on $\mathbb Z^d$. That is, the probability that the random walk jumps from a site $x$ to a nearest neighboring site $x+e$ is given by $p(e)+\epsilon \xi(x,e)$, where…
Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…
Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…
We propose a model of sub-diffusion in which an external force is acting on a particle at all times not only at the moment of jump. The implication of this assumption is the dependence of the random trapping time on the force with the…
Many natural phenomena are quantified by counts of observable events, from the annihilation of quasiparticles in a lattice to predator-prey encounters on a landscape to spikes in a neural network. These events are triggered at random…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
The motion of a Brownian particle in the presence of Coulomb friction and an asymmetric spatial potential was evaluated in this study. The system exhibits a ratchet effect, i.e., an average directed motion even in the absence of an external…
The motion of a quantum particle hopping on a simple cubic lattice under the influence of thermal noise and of a static random potential is expected to be diffusive, i.e., the particle is expected to exhibit `quantum Brownian motion', no…
Measurements of protein motion in living cells and membranes consistently report transient anomalous diffusion (subdiffusion) which converges back to a Brownian motion with reduced diffusion coefficient at long times, after the anomalous…
The overdamped dynamics of a charged particle driven by an uniform electric field through a random sequence of scatterers in one dimension is investigated. Analytic expressions of the mean velocity and of the velocity power spectrum are…
We study a one-dimensional random walk among random conductances, with unbounded jumps. Assuming the ergodicity of the collection of conductances and a few other technical conditions (uniform ellipticity and polynomial bounds on the tails…
A quantitative relationship between the diffusion coefficient $D$ of a tagged particle in a liquid and the entropy $S$ of that liquid has long been sought, as it would allow entropy to be inferred directly from diffusion measurements and…
A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two methods. On one hand, we propose a locally linear estimator…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
When light travels through strongly scattering media with optical gain, the synergy between diffusive transport and stimulated emission can lead to lasing action. Below the threshold pump power, the emission spectrum is smooth and…
We study the statistical properties of the area and the absolute area under the trajectories of subdiffusive random walks. Using different frameworks to describe subdiffusion (as the scaled Brownian motion, fractional Brownian motion, the…
We consider the problems of parameter estimation for several models of threshold ergodic diffusion processes in the asymptotics of large samples. These models are the direct continuous time analogues of the well-known in time series…
Motivated by an application to empirical Bayes learning in high-dimensional regression, we study a class of Langevin diffusions in a system with random disorder, where the drift coefficient is driven by a parameter that continuously adapts…
In this paper, we investigate ergodicity in total variation of the process $X_t$, related to a L\'evy-driven stochastic differential equation with unbounded coefficients, and describe the speed of convergence to the respective invariant…
We examine the non-ergodic properties of scaled Brownian motion, a non-stationary stochastic process with a time dependent diffusivity of the form $D(t)\simeq t^{\alpha-1}$. We compute the ergodicity breaking parameter EB in the entire…