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This paper offers a personal review of some things we've learned about rates of convergence of Markov chains to their stationary distributions. The main topic is ways of speeding up diffusive behavior. It also points to open problems and…
We provide new bounds for the rate of convergence of the multivariate Central Limit Theorem in Wasserstein distances of order $p \geq 2$. In particular, we obtain what we conjecture to be the asymptotically optimal rate whenever the density…
In this paper we study the local instability to the boundary equilibria and the local stability to the positive equilibria for some chemical reaction-diffusion systems. We first analyze a three-species system with boundary equilibria in…
It is shown that the density of the ratio of two random variables with the same variance and joint Gaussian density satisfies a non stationary diffusion equation. Implications of this result for kernel density estimation of the condensed…
In this paper, we establish new quantitative convergence bounds for a class of functional autoregressive models in weighted total variation metrics. To derive our results, we show that under mild assumptions, explicit minorization and…
Recent works have derived non-asymptotic upper bounds for convergence of underdamped Langevin MCMC. We revisit these bound and consider introducing scaling terms in the underlying underdamped Langevin equation. In particular, we provide…
We examine the Langevin diffusion confined to a closed, convex domain $D\subset\mathbb{R}^d$, represented as a reflected stochastic differential equation. We introduce a sequence of penalized stochastic differential equations and prove that…
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to well-known distributions from directional statistics, since…
We consider a class of reaction-diffusion equations with a stochastic perturbation on the boundary. We show that in the limit of fast diffusion, one can rigorously approximate solutions of the system of PDEs with stochastic Neumann boundary…
We explore properties the solution of Langevin equation when stochastic influence is orthogonal to velocity of a particle. Wiener's process can accept unlimited values. But for these equations, the attraction surfaces exist. For these…
Convergence rates of Markov chains have been widely studied in recent years. In particular, quantitative bounds on convergence rates have been studied in various forms by Meyn and Tweedie [Ann. Appl. Probab. 4 (1994) 981-1101], Rosenthal…
We consider the long time behavior of heterogeneously interacting diffusive particle systems and their large population limit. The interaction is of mean field type with weights characterized by an underlying graphon. The limit is given by…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Second order Edgeworth type expansions for transition densities are proved. The paper differs from recent results in two respects. We allow…
We give concentration bounds for martingales that are uniform over finite times and extend classical Hoeffding and Bernstein inequalities. We also demonstrate our concentration bounds to be optimal with a matching anti-concentration…
We consider limits of certain measures supported on lattice points in lattice polyhedra defined as the intersection of half-spaces $\{m\in\mathbb{R}^n|\langle v_i,x\rangle+a_i \geq 0\}$, where $\sum_i v_i = 0$. The measures are densities…
The adsorption phenomenon of neutral particles from the limiting surfaces of the sample in the Langmuir approximation is investigated. The diffusion equation regulating the redistribution of particles in the bulk is assumed to be of…
Discontinuous transitions into absorbing states require an effective mechanism that prevents the stabilization of low density states. They can be found in different systems, such as lattice models or stochastic differential equations (e.g.…
We give necessary and sufficient conditions to characterize the convergence in distribution of a sequence of arbitrary random variables to a probability distribution which is the invariant measure of a diffusion process. This class of…
We investigate anomalous diffusion processes governed by the fractional Langevin equation and confined to a finite or semi-infinite interval by reflecting potential barriers. As the random and damping forces in the fractional Langevin…
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…