Related papers: Boundary value problems for statistics of diffusio…
We consider the primal and dual forms of the optimality conditions for PDE-contrained optimization problems arising in Data-Driven Computational Mechanics when specialized to the reaction-diffusion context. Starting with the continuous…
In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed…
Anomalous diffusion and L\'evy flights, which are characterized by the occurrence of random discrete jumps of all scales, have been observed in a plethora of natural and engineered systems, ranging from the motion of molecules to climate…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
We consider systems of particles hopping stochastically on $d$-dimensional lattices with space-dependent probabilities. We map the master equation onto an evolution equation in a Fock space where the dynamics are given by a quantum…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when…
There are many processes in cell biology that can be modelled in terms of an actively switching particle. The continuous degrees of freedom evolve according to a hybrid stochastic differential equation (hSDE) whose drift term depends on a…
In this paper we are concerned with one-dimensional backward stochastic differential equations (BSDE in short) of the following type: \[Y_t=\xi -\int_{t\wedge \tau}^{\tau}Y_r|Y_r|^q dr-\int_{t\wedge \tau}^{\tau}Z_r dB_r,\qquad t\geq 0,\]…
We consider partial exclusion processes~(PEPs) on the one-dimensional square lattice, that is, a system of interacting particles where each particle random walks according to a jump rate satisfying an exclusion rule that allows up to a…
We have studied anomalous diffusion of a particle in a random medium in which the passage of the particle may modify the state of the visited sites. The simplicity of the dynamics allows analytic solution. Interesting propagation and…
The theory of diffusion seeks to describe the motion of particles in a chaotic environment. Classical theory models individual particles as independent random walkers, effectively forgetting that particles evolve together in the same…
In this paper, we develop an ensemble-based time-stepping algorithm to efficiently find numerical solutions to a group of linear, second-order parabolic partial differential equations (PDEs). Particularly, the PDE models in the group could…
In this paper, we consider a class of initial-boundary value problems governed by pseudo-parabolic total variation flows. The principal characteristic of our problem lies in the velocity term of the diffusion flux, a feature that can bring…
By considering the master equation of the partially asymmetric diffusion process on a one-dimensional lattice, the most general boundary condition (i.e. interactions) for the multi-species reaction-diffusion processes is considered.…
We study the exchange of stability in scalar reaction-diffusion equations which feature a slow passage through transcritical and pitchfork type singularities in the reaction term, using a novel adaptation of the geometric blow-up method.…
The purpose of this paper is to consider the exit-time problem for a finite-range Markov jump process, i.e, the distance the particle can jump is bounded independent of its location. Such jump diffusions are expedient models for anomalous…
We consider an infinite system of coupled stochastic differential equations (SDE) describing dynamics of the following infinite particle system. Each partricle is characterised by its position $x\in \mathbb{R}^{d}$ and internal parameter…
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 derive the Bethe ansatz equations describing the complete spectrum of the transition matrix of the partially asymmetric exclusion process with the most general open boundary conditions. For totally asymmetric diffusion we calculate the…