Related papers: Path transformations for local times of one-dimens…

We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…

We consider a class of dissipative stochastic differential equations (SDE's) with time-periodic coefficients in finite dimension, and the response of time-asymptotic probability measures induced by such SDE's to sufficiently regular, small…

We consider certain random matrix eigenvalue dynamics, akin to Dyson Brownian motion, introduced by Rider and Valko. We show that from every initial condition, including ones involving coinciding coordinates, the dynamics, enhanced with…

In this paper, we study dimension reduction techniques for large-scale controlled stochastic differential equations (SDEs). The drift of the considered SDEs contains a polynomial term satisfying a one-sided growth condition. Such…

According to a theorem of S. Schumacher, for a diffusion X in an environment determined by a stable process that belongs to an appropriate class and has index a, it holds that X_t/(log t)^a converges in distribution, as t goes to infinity,…

We consider a diffusion process under a local weak H\"{o}rmander condition on the coefficients. We find Gaussian estimates for the density in short time and exponential lower and upper bounds for the probability that the diffusion remains…

We study transport in a one-dimensional lattice system with two conserved quantities -- `volume' and energy. Considering a slowly evolving local equilibrium state that is slightly deviated from an underlying global equilibrium, we estimate…

We consider a tracer particle performing a random walk on a two-dimensional lattice in the presence of immobile hard obstacles. Starting from equilibrium, a constant force pulling on the particle is switched on, driving the system to a new…

We study solution techniques for an evolution equation involving second order derivative in time and the spectral fractional powers, of order $s \in (0,1)$, of symmetric, coercive, linear, elliptic, second-order operators in bounded domains…

We study the problem of lateral diffusion on a static, quasi-planar surface generated by a stationary, ergodic random field possessing rapid small-scale spatial fluctuations. The aim is to study the effective behaviour of a particle…

In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…

This paper concerns periodic solutions for a 1D-model with nonlocal velocity given by the periodic Hilbert transform. There is a rich literature showing that this model presents singular behavior of solutions via numerics and mathematical…

We consider one-dimensional stochastic differential equations with jumps in the general case. We introduce new technics based on local time and we prove new results on pathwise uniqueness and comparison theorems. Our approach are very easy…

Many chemical reactions can be formulated in terms of particle diffusion in a complex energy landscape. Transition path theory (TPT) is a theoretical framework for describing the direct (reaction) pathways from reactant to product states…

We extend the work of Tanase-Nicola and Kurchan on the structure of diffusion processes and the associated supersymmetry algebra by examining the responses of a simple statistical system to external disturbances of various kinds. We…

In this paper we consider the one-dimensional dynamical evolution of a particle traveling at constant speed and performing, at a given rate, random reversals of the velocity direction. The particle is subject to stochastic resetting,…

A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…

This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a…

In first-passage percolation, one places nonnegative i.i.d. random variables (T(e)) on the edges of Z^d. A geodesic is an optimal path for the passage times T(e). Consider a local property of the time environment. We call it a pattern. We…

We analyze the law of the SLE tip at a fixed time in capacity parametrization. We describe it as the stationary law of a suitable diffusion process, and show that it has a density which is a unique solution of a certain PDE. Moreover, we…