Related papers: Quantitative Harris type theorems for diffusions a…
We consider overdamped Langevin diffusions in Euclidean space, with curvature equal to the spectral gap. This includes the Ornstein-Uhlenbeck process as well as non-Gaussian and non-product extensions with convex interaction, such as the…
We study fast / slow systems driven by a fractional Brownian motion $B$ with Hurst parameter $H\in (\frac 13, 1]$. Surprisingly, the slow dynamic converges on suitable timescales to a limiting Markov process and we describe its generator.…
By the probabilistic coupling approach which combines a new refined basic coupling with the synchronous coupling for L\'evy processes, we obtain explicit exponential contraction rates in terms of the standard $L^1$-Wasserstein distance for…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
Large deviation for Markov processes can be studied by Hamilton--Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the…
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes with sticky features, reflecting or absorbing boundaries and…
We provide a criterion for establishing lower bounds on the rate of convergence in $f$-variation of a continuous-time ergodic Markov process to its invariant measure. The criterion consists of novel super- and submartingale conditions for…
We consider a class of autonomous Hamiltonian systems subject to small, time-periodic perturbations. When the perturbation parameter is set to zero, the energy of the system is preserved. This is no longer the case when the perturbation…
We consider a diffusion process $X$ in a random L\'{e}vy potential $\mathbb{V}$ which is a solution of the informal stochastic differential equation \begin{eqnarray*}\cases{dX_t=d\beta_t-{1/2}\mathbb{V}'(X_t) dt,\cr X_0=0,}\end{eqnarray*}…
By using coupling by change of conditional probability measure, the log-Harnack inequality for path dependent McKean-Vlasov SDEs with distribution dependent diffusion coefficients is established, which together with the exponential…
We present two limit theorems, a mean ergodic and a central limit theorem, for a specific class of one-dimensional diffusion processes that depend on a small-scale parameter $\varepsilon$ and converge weakly to a homogenized diffusion…
The bulk nuclear matter produced in heavy ion collisions carries a multitude of conserved quantum numbers: electric charge, baryon number, and strangeness. Therefore, the diffusion processes associated to these conserved charges cannot…
We consider a diffusion $(\xi_t)_{t\ge 0}$ with some $T$-periodic time dependent input term contained in the drift: under an unknown parameter $\vth\in\Theta$, some discontinuity - an additional periodic signal - occurs at times…
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 study in some generality intertwinings between $h$-transforms of Karlin-McGregor semigroups associated with one dimensional diffusion processes and those of their Siegmund duals. We obtain couplings so that the corresponding processes…
We study the quantitative homogenization of linear second order elliptic equations in non-divergence form with highly oscillating periodic diffusion coefficients and with large drifts, in the so-called ``centered'' setting where…
Employing time-dependent projection formalism, a Fokker-Planck equation with non-Markovian transport coefficients is derived for large amplitude collective motion. Properties of transport coefficients for diffusion processes in a potential…
The convergence rate in Wasserstein distance is estimated for empirical measures of ergodic Markov processes, and the estimate can be sharp in some specific situations. The main result is applied to subordinations of typical models excluded…
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…
Although an intimate relation between entropy and diffusion has been advocated for many years and even seems to have been verified in theory and experiments, a quantitatively reliable study, and any derivation of an algebraic relation…