Related papers: Sticky couplings of multidimensional diffusions wi…
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard methods like the Euler scheme fail. We approximate the sticky…
We develop a new approach to study the long time behaviour of solutions to nonlinear stochastic differential equations in the sense of McKean, as well as propagation of chaos for the corresponding mean-field particle system approximations.…
One often needs to turn a coupling $(X_i, Y_i)_{i\geq 0}$ of a Markov chain into a sticky coupling where once $X_T = Y_T$ at some $T$, then from then on, at each subsequent time step $T'\geq T$, we shall have $X_{T'} = Y_{T'}$. However, not…
We raise a question on whether a dynamical system driven by Markov process is Markovian, for which we are able to propose a criterion and examples of positive case. This investigation leads us to develop (i) a general construction of…
We present and analyze a control variate strategy based on couplings to reduce the variance of finite difference estimators of sensitivity coefficients, called transport coefficients in the physics literature. We study the bias and variance…
We consider a degenerate stochastic differential equation that has a sticky point in the Markov process sense. We prove that weak existence and weak uniqueness hold, but that pathwise uniqueness does not hold nor does a strong solution…
The sticking of a soft polystyrene colloidal particle to a planar glass plate was studied by a microrheological technique using an optical tweezer to trap the particle and a piezoelectric-stage to position the plate and to sinusoidally…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
We consider a classical and possibly driven composite system $X \otimes Y$ weakly coupled to a Markovian thermal reservoir $R$ so that an unambiguous stochastic thermodynamics ensues for $X \otimes Y$. This setup can be equivalently seen as…
The purpose of this note is to give an example of stochastic flows of kernels, which naturally interpolates between the Arratia coalescing flow associated with systems of coalescing independent Brownian particles on the circle and the…
This paper formulates a notion of high-dimensional random dynamical systems that couple to another system, like an embedding environment, in such a way that each system engages in controlled exchange with the other system. Using the…
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…
We investigate continuous diffusions on star graphs with sticky behavior at the vertex. These are Markov processes with continuous paths having a positive occupation time at the vertex. We characterize sticky diffusions as time-changed…
A general setting for nested subdivisions of a bounded real set into intervals defining the digits $X_1,X_2,...$ of a random variable $X$ with a probability density function $f$ is considered. Under the weak condition that $f$ is almost…
We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such…
In this paper, we construct under general assumptions the stochastic dynamics of an interacting particle system in a bounded domain $\Omega$ with sticky boundary. Under appropriate conditions on the interaction the constructed process…
The paper is concerned with sticky weak solutions to the equations of pressureless gases in two or more space dimensions. Various initial data are constructed, showing that the Cauchy problem can have (i) two distinct sticky solutions, or…
The notion of a successful coupling of Markov processes, based on the idea that both components of the coupled system ``intersect'' in finite time with probability one, is extended to cover situations when the coupling is unnecessarily…
In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an…
Given a multi-dimensional It\^{o} process whose drift and diffusion terms are adapted processes, we construct a weak solution to a stochastic differential equation that matches the distribution of the It\^{o} process at each fixed time.…