Related papers: A one-dimensional diffusion hits points fast

Let $X$ be a regular linear diffusion whose state space is an open interval $E\subseteq\mathbb{R}$. We consider a diffusion $X^*$ which probability law is obtained as a Doob $h$-transform of the law of $X$, where $h$ is a positive harmonic…

We study a reaction-diffusion process that involves two species of atoms, immobile and diffusing. We assume that initially only immobile atoms, uniformly distributed throughout the entire space, are present. Diffusing atoms are injected at…

Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…

We consider diffusion of independent molecules in an insulated Euclidean domain with unknown diffusivity parameter. At a random time and position, the molecules may bind and stop diffusing in dependence of a given `binding potential'. The…

In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here means a diffusion process living in a random environment…

We show the relation between processes which are modeled by a Langevin equation with multiplicative noise and infinite ergodic theory. We concentrate on a spatially dependent diffusion coefficient that behaves as ${D(x)}\sim…

Let $M$ be a $d$-dimensional connected compact Riemannian manifold with boundary $\partial M$, let $V\in C^2(M)$ such that $\mu({\rm d} x):={\rm e}^{V(x)}{\rm d} x$ is a probability measure, and let $X_t$ be the diffusion process generated…

We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…

We consider a one-dimensional stationary time series of fixed duration $T$. We investigate the time $t_{\rm m}$ at which the process reaches the global maximum within the time interval $[0,T]$. By using a path-decomposition technique, we…

Let $X$ be a one dimensional positive recurrent diffusion with initial distribution $\nu$ and invariant probability $\mu$. Suppose that for some $p> 1$, $\exists a\in\R$ such that $\forall x\in\R, \E_x T_a^p<\infty$ and $\E_\nu…

A collisionless continuous medium in Euclidean space is discussed, i.e. a continuum of free particles moving inertially, without interacting with each other. It is shown that the distribution density of such medium is weakly converging to…

The dynamics of a freely diffusing particle in a two-dimensional channel with cross sectional area $A(x)$, can be effectively described by a one-dimensional diffusion equation under the action of a potential of mean force $U(x)=-k_BT\ln…

This paper investigates the position (state) distribution of the single step binomial (multi-nomial) process on a discrete state / time grid under the assumption that the velocity process rather than the state process is Markovian. In this…

We consider a symmetric finite-range contact process on $\mathbb{Z}$ with two types of particles (or infections), which propagate according to the same supercritical rate and die (or heal) at rate $1$. Particles of type $1$ can enter any…

We consider diffusion processes with the help of Markov random walk models. Especially the process of diffusion of a relativistic particle in a relativistic equilibrium system is considered. We interpret one of the results as causal Zeno…

The invariance for the equation of fast diffusion in the 2D coordinate space has been proved, and its reduction to the 1D (with respect to the spatial variable) analog is demonstrated. On the basis of these results, new exact…

Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…

Let $\eta_t$ be a Poisson point process with intensity measure $t\mu$, $t>0$, over a Borel space $\mathbb{X}$, where $\mu$ is a fixed measure. Another point process $\xi_t$ on the real line is constructed by applying a symmetric function…

We consider a time inhomogeneous jump Markov process $X = (X_t)_t$ with state dependent jump intensity, taking values in $R^d . $ Its infinitesimal generator is given by \begin{multline*} L_t f (x) = \sum_{i=1}^d \frac{\partial f}{\partial…

In this article we consider a family of real-valued diffusion processes on the time interval $[0,1]$ indexed by their prescribed initial value $x \in \mathbb{R}$ and another point in space, $y \in \mathbb{R}$. We first present an…