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When applying the finite-differences method to numerically solve the one-dimensional diffusion equation, one must choose discretization steps $\Delta x$, $\Delta t$ in space and time, respectively. By applying large-deviation theory on the…
The finite element solution of two-dimensional anisotropic diffusion problems is considered. A Delaunay-type mesh condition is developed for linear finite element approximations to satisfy a discrete maximum principle. The condition is…
The recent success of diffusion-based generative models in image and natural language processing has ignited interest in diffusion-based trajectory optimization for nonlinear control systems. Existing methods cannot, however, handle the…
The numerical approximation of an inverse problem subject to the convection--diffusion equation when diffusion dominates is studied. We derive Carleman estimates that are on a form suitable for use in numerical analysis and with explicit…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
We consider quasi-stationary (travelling wave type) solutions to a general nonlinear reaction-convection-diffusion equation with arbitrary, autonomous coefficients. The second order nonlinear equation describing one dimensional travelling…
We describe how to solve the problem of Taylor dispersion in the presence of absorbing boundaries using an exact stochastic formulation. In addition to providing a clear stochastic picture of Taylor dispersion, our method leads to…
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the first drawdown time and the maximum before this time, and…
Anomalous dynamics in which local perturbations spread faster than diffusion are ubiquitously observed in the long-time behavior of a wide variety of systems. Here, the manner by which such systems evolve towards their asymptotic…
A modified method of functional constraints is used to construct the exact solutions of nonlinear equations of reaction-diffusion type with delay and which are associated with variable coefficients. This study considers a most generalized…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We prove a Large Deviations Principle (LDP) for systems of diffusions (particles) interacting through their ranks, when the number of particles tends to infinity. We show that the limiting particle density is given by the unique solution of…
We investigate three different methods to tackle the problem of diffusion-limited reactions (annihilation) of hard-core classical particles in one dimension. We first extend an approach devised by Lushnikov and calculate for a single…
We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied in detail. Letting the parameter of the exponential time tend…
We consider a system of two reaction-diffusion-advection equations describing the one dimensional directed motion of particles with superimposed diffusion and mutual alignment. For this system we show the existence of traveling wave…
I consider a stochastic optimization problem for a time-changed Bessel process whose diffusion rate is constrained to be between two positive values $r_{1}<r_{2}$. The problem is to find an optimal adapted strategy for the choice of…
We propose a linear programming (LP) framework for steady-state diffusion and flux optimization on geometric networks. The state variable satisfies a discrete diffusion law on a weighted, oriented graph, where conductances are scaled by…
A general formulation of translationally invariant, parametrically correlated random matrix ensembles, is used to classify universality in correlation functions. Surprisingly, the range of possible physical systems is bounded, and can be…
Diffusion processes with boundaries are models of transport phenomena with wide applicability across many fields. These processes are described by their probability density functions (PDFs), which often obey Fokker-Planck equations (FPEs).…