Related papers: Jump Locations of Jump-Diffusion Processes with St…
In this paper we analyze a coupling between the very large jumps in physical and operational times as applied to anomalous diffusion. The approach is based on subordination of a skewed Levy-stable process by its inverse to get two types of…
The long-time dynamics of reaction-diffusion processes in low dimensions is dominated by fluctuation effects. The one-dimensional coagulation-diffusion process describes the kinetics of particles which freely hop between the sites of a…
We study the relaxation time in the random walk with jumps. The random walk with jumps combines random walk based sampling with uniform node sampling and improves the performance of network analysis and learning tasks. We derive various…
The Onsager--Machlup action functional is an important concept in statistical mechanics and thermodynamics to describe the probability of fluctuations in nonequilibrium systems. It provides a powerful tool for analyzing and predicting the…
The purpose of this work is to propose a nonlinear non-Markovian model of subdiffusive transport that involves chemotactic substance affecting the cells at all time, not only during the jump. This leads the random waiting time to be…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
Consider a graph where the sites are distributed in space according to a Poisson point process on $\mathbb R^n$. We study a population evolving on this network, with individuals jumping between sites with a rate which decreases…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
The state-dependent diffusion, which concerns the Brownian motion of a particle in inhomogeneous media has been described phenomenologically in a number of ways. Based on a system-reservoir nonlinear coupling model we present a microscopic…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state…
Density-dependent diffusion is a widespread phenomenon in nature. We have examined the density-dependent diffusion behavior of some biological processes such as tumor growth and invasion [23]. Here, we extend our previous work by developing…
With microwave irradiation, the switching current of a Josephson junction coupled to a microscopic two-level system jumps randomly between two discrete states. We modeled the switching process of the coupled system with quantum jump…
We discuss velocity-jump models for chemotaxis of bacteria with an internal state that allows the velocity jump rate to depend on the memory of the chemoattractant concentration along their path of motion. Using probabilistic techniques, we…
The effects of a stochastic reset, to its initial configuration, is studied in the exactly solvable one-dimensional coagulation-diffusion process. A finite resetting rate leads to a modified non-equilibrium stationary state. If in addition…
A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…
In this paper we analyze the relaxation to steady-state of intracellular diffusion in a pair of cells with gap-junction coupling. Gap junctions are prevalent in most animal organs and tissues, providing a direct diffusion pathway for both…
Convergence rate to the stationary distribution for continuous-time Markov processes can be studied using Lyapunov functions. Recent work by the author provided explicit rates of convergence in special case of a reflected jump-diffusion on…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…