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The bifurcation theory of ordinary differential equations (ODEs), and its application to deterministic population models, are by now well established. In this article, we begin to develop a complementary theory for diffusion-like…
We analyze here different types of fractional differential equations, under the assumption that their fractional order $\nu \in (0,1] $ is random\ with probability density $n(\nu).$ We start by considering the fractional extension of the…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
In this note, we connect two seemingly unrelated objects: On the one hand is a two-dimensional drift-diffusion process $X$ with divergence-free and time-independent drift $b$. The drift is given by a stationary Gaussian ensemble, and we…
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…
What are the key-features that enable an information diffusion model to explain the inherent dynamic, and often competitive, nature of real-world propagation phenomena? In this paper we aim to answer this question by proposing a novel class…
We consider the limiting behavior of fluctuations of small noise diffusions with multiple scales around their homogenized deterministic limit. We allow full dependence of the coefficients on the slow and fast motion. These processes arise…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
Most biochemical reactions in living cells rely on diffusive search for target molecules or regions in a heterogeneous overcrowded cytoplasmic medium. Rapid re-arrangements of the medium constantly change the effective diffusivity felt…
Suppose we have three independent copies of a regular diffusion on $[0,1]$ with absorbing boundaries. Of these diffusions, either at least two are absorbed at the upper boundary or at least two at the lower boundary. In this way, they…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
We consider a particle transport process in a one-dimensional system with a thin membrane, described by a normal diffusion equation. We consider two boundary conditions at the membrane that are linear combinations of integral operators,…
We propose a general methodology for recovering preference parameters from data on choices and response times. Our methods yield estimates with fast ($1/n$ for $n$ data points) convergence rates when specialized to the popular Drift…
The statistics of the first-encounter time of diffusing particles changes drastically when they are placed under confinement. In the present work, we make use of Monte Carlo simulations to study the behavior of a two-particle system in two-…
The separating time for two probability measures on a filtered space is an extended stopping time which captures the phase transition between equivalence and singularity. More specifically, two probability measures are equivalent before…
For a stopped diffusion process in a multidimensional time-dependent domain $\D$, we propose and analyse a new procedure consisting in simulating the process with an Euler scheme with step size $\Delta$ and stopping it at discrete times…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for…
Based on the theory of continuous time random walks (CTRW), we build the models of characterizing the transitions among anomalous diffusions with different diffusion exponents, often observed in natural world. In the CTRW framework, we take…
Subdiffusive motion of tracer particles in complex crowded environments, such as biological cells, has been shown to be widepsread. This deviation from brownian motion is usually characterized by a sublinear time dependence of the mean…