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The complex Langevin approach is a promising method for the numerical treatment of systems with a sign problem, for which conventional lattice field theory techniques based on importance sampling cannot be applied. However, complex Langevin…
In complex Langevin simulations, the insufficient decay of the probability density near infinity leads to boundary terms that spoil the formal argument for correctness. We present a formulation of this term that is cheaply measurable in…
We consider general Markov processes with absorption and provide criteria ensuring the exponential convergence in total variation of the distribution of the process conditioned not to be absorbed. The first one is based on two-sided…
We study the Langevin dynamics corresponding to the $\nabla\phi$ (or Ginzburg-Landau) interface model with a uniformly convex interaction potential. We interpret these Langevin dynamics as a nonlinear parabolic equation forced by white…
Diffusive search for a static target is a common problem in statistical physics with numerous applications in chemistry and biology. We look at this problem from a different perspective and investigate the statistics of encounters between…
For the classical Shiryaev--Roberts martingale diffusion considered on the interval $[0,A]$, where $A>0$ is a given absorbing boundary, it is shown that the rate of convergence of the diffusion's quasi-stationary cumulative distribution…
Score-based diffusion models have demonstrated outstanding empirical performance in machine learning and artificial intelligence, particularly in generating high-quality new samples from complex probability distributions. Improving the…
We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
We study a class of high-frequency path functionals for diffusions with singular thresholds or boundaries, where the process exhibits either (i) skweness, oscillating coefficients, and stickiness, or (ii) sticky reflection. The functionals…
We obtain explicit criteria for both exponential ergodicity and strong ergodicity for one-dimensional time-changed symmetric stable processes with $\alpha\in(1,2)$. Explicit lower bounds for ergodic convergence rates are given.
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
Recently, a thermodynamic bound on correlation times was formulated in [A. Dechant, J. Garnier-Brun, S.-i. Sasa, Phys. Rev. Lett. 131, 167101 (2023)], showing how the decay of correlations in Langevin dynamics is bounded by short-time…
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
By making use of the Langevin equation with a kernel, it was shown that the Feynman measure exp(-S) can be realized in a restricted sense in a diffusive stochastic process, which diverges and has no equilibrium, for bottomless systems. In…
In this paper, we study the diffusive limit of the steady state radiative heat transfer system for non-homogeneous Dirichlet boundary conditions in a bounded domain with flat boundaries. A composite approximate solution is constructed using…
This paper investigates solutions of hyperbolic diffusion equations in $\mathbb{R}^3$ with random initial conditions. The solutions are given as spatial-temporal random fields. Their restrictions to the unit sphere $S^2$ are studied. All…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
Rate of convergence is studied for a diffusion process on the half line with a non-sticky reflection to a heavy-tailed 1D invariant distribution which density on the half line has a polynomial decay at infinity. Starting from a standard…