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We study a prominent two-parametric family of diffusion processes $X_{z,z'}$ on an infinite-dimensional Thoma simplex. The family was constructed by Borodin and Olshanski in 2007 and it closely resembles Ethier-Kurtz's…
We use a natural ordered extension of the Chinese Restaurant Process to grow a two-parameter family of binary self-similar continuum fragmentation trees. We provide an explicit embedding of Ford's sequence of alpha model trees in 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…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…
For three constrained Brownian motions, the excursion, the meander, and the reflected bridge, the densities of the maximum and of the time to reach it were expressed as double series by Majumdar, Randon-Furling, Kearney, and Yor (2008).…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…
Diffusion in an evolving environment is studied by continuos-time Monte Carlo simulations. Diffusion is modelled by continuos-time random walkers on a lattice, in a dynamic environment provided by bubbles between two one-dimensional…
In this article we survey properties of mixed Poisson distributions and probabilistic aspects of the Stirling transform: given a non-negative random variable $X$ with moment sequence $(\mu_s)_{s\in\mathbb{N}}$ we determine a discrete random…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
We analyze a class of continuous time random walks in $\mathbb R^d,d\geq 2,$ with uniformly distributed directions. The steps performed by these processes are distributed according to a generalized Dirichlet law. Given the number of changes…
We consider the dynamics of diffusing particles in one space dimension with annihilation on collision and nucleation (creation of particles) with constant probability per unit time and length. The cases of nucleation of single particles and…
Diffusion processes have been widely used for approximations in the queueing theory. There are different types of diffusion approximations. Among them, we are interested in those obtained through limits of a sequence of models which…
Given suitable functions $V, \Psi:[0,\infty) \to [0,\infty)$, we obtain necessary and sufficient conditions on $V,\Psi$ for the existence of a metric measure space and a symmetric diffusion process that satisfies sub-Gaussian heat kernel…
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 investigate the ensemble and time averaged mean squared displacements for particle diffusion in a simple model for disordered media by assuming that the local diffusivity is both fluctuating in time and has a deterministic average growth…
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…
Given an increasing sequence of integers a(n), it is known (due to Weyl) that for almost all reals t, the fractional parts of the dilated sequence t*a(n) are uniformly distributed in the unit interval. Some effort has been made recently to…
We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the coordinates of the process and diffusion matrix proportional…
We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the…
Anomalous diffusion processes, in particular superdiffusive ones, are known to be efficient strategies for searching and navigation by animals and also in human mobility. One way to create such regimes are L\'evy flights, where the walkers…