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The fractional Poisson process and the Wright process (as discretization of the stable subordinator) along with their diffusion limits play eminent roles in theory and simulation of fractional diffusion processes. Here we have analyzed…
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…
In many-particle diffusions, particles that move the furthest and fastest can play an outsized role in physical phenomena. A theoretical understanding of the behavior of such extreme particles is nascent. A classical model, in the spirit of…
Self-interacting diffusions are processes living on a compact Riemannian manifold defined by a stochastic differential equation with a drift term depending on the past empirical measure of the process. The asymptotics of this measure is…
We consider an infinite system of particles in one dimension, each particle performs independant Sinai's random walk in random environment. Considering an instant $t$, large enough, we prove a result in probability showing that the…
A version of fractional diffusion on bounded domains, subject to 'homogeneous Dirichlet boundary conditions' is derived from a kinetic transport model with homogeneous inflow boundary conditions. For nonconvex domains, the result differs…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
Melting is omnipresent in nature and technology, with applications ranging from metallurgy, biology, food science, and latent thermal energy storage to oceanography, geophysics, and climate science, and occurring on all scales from…
In this paper we investigate the behavior of particles crossing a neat interface between two media. A Monte Carlo and analytical model, based on fractional derivatives, are presented and discussed in detail, together with a comparison.…
The Mellin transform is usually applied in probability theory to the product of independent random variables. In recent times the machinery of the Mellin transform has been adopted to describe the L\'evy stable distributions, and more…
We consider the diffusion approximation of branching processes in random environment (BPREs). This diffusion approximation is similar to and mathematically more tractable than BPREs. We obtain the exact asymptotic behavior of the survival…
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…
Stochastic point processes relevant to the theory of long-range aperiodic order are considered that display diffraction spectra of mixed type, with special emphasis on explicitly computable cases together with a unified approach of…
The paper treats a reaction-diffusion equation with hysteretic nonlinearity on a one-dimensional lattice. It arises as a result of the spatial discretization of the corresponding continuous model with so-called nontransverse initial data…
The problem of natural selection in dispersal-structured populations consisting of individuals characterized by different diffusion coefficients is studied. The competition between the organisms is taken into account through the assumption…
Using martingale theory, we compute, in very few lines, exact analytical expressions for various first-exit-time statistics associated with one-dimensional biased diffusion. Examples include the distribution for the first-exit time from an…
We establish a general analytic framework for determining the AF-martingale dimension of diffusion processes associated with strongly local regular Dirichlet forms on metric measure spaces. While previous approaches typically relied on…
This paper deals with branching processes in varying environment, namely, whose offspring distributions depend on the generations. We provide sufficient conditions for survival or extinction which rely only on the first and second moments…
It is well known that a regular diffusion on an interval $I$ without killing inside is uniquely determined by a canonical scale function $s$ and a canonical speed measure $m$. Note that $s$ is a strictly increasing and continuous function…
It is known that the time until a birth and death process reaches a certain level is distributed as a sum of independent exponential random variables. Diaconis, Miclo and Swart gave a probabilistic proof of this fact by coupling the birth…