Related papers: Simultaneous determination of the drift and diffus…
Diffusion on a quenched heterogeneous environment in the presence of bias is considered analytically. The first-passage-time statistics can be applied to obtain the drift and the diffusion coefficient in periodic quenched environments. We…
This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L\'evy process and the switching part depends on the jump…
Collective diffusion coefficient in a two-dimensional lattice gas on a nonhomogeneous substrate is investigated using variational approach. Particles reside at adsorption sites with different well depths potentials and jump randomly between…
In this article, we consider a jump diffusion process (X_t)observed at discrete times t=0,Delta,...,nDelta. The sampling interval Delta tends to 0 and nDelta tends to infinity. We assume that (X_t) is ergodic, strictly stationary and…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation known as the Fokker-Planck equation describes the…
This article is devoted to the detection of parameters in anomalous diffusion from a single passive measurement. More precisely, we consider the simultaneous identification of coefficients as well as a time-dependent source term appearing…
We analyze a simple model of deterministic diffusion. The model consists of a one-dimensional periodic array of scatterers in which point particles move from cell to cell as defined by a piecewise linear map. The microscopic chaotic…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
Diffusion of colloidal particles in a complex environment such as polymer networks or biological cells is a topic of high complexity with significant biological and medical relevance. In such situations, the interaction between the…
We study nonparametric estimation of the diffusion coefficient from discrete data, when the observations are blurred by additional noise. Such issues have been developed over the last 10 years in several application fields and in particular…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
In this paper, we study averaging principles for a class of time-inhomogeneous stochastic differential equations (SDEs) with slow and fast time-scales, where the drift term in the fast component is time-dependent and only partially…
We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…
We present a study on the dynamics of a system consisting of a pair of hardcore particles diffusing with different rates. We solved the drift-diffusion equation for this model in the case when one particle, labeled F, drifts and diffuses…
In this work, we study convection-diffusion equations in the cases of bounded drifts and drifts induced by the gradient of a potential. We define a new notion of solution and prove its existence and uniqueness. Furthermore, we show the…
We study invariant solutions of a certain class of time-fractional diffusion-wave equations with variable coefficients via Lie symmetry analysis. In physics, the fractional diffusion equation describes transport dynamics that are governed…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…
We construct both normal and anomalous deterministic biased diffusions to obtain the Einstein relation for their time-averaged transport coefficients. We find that the difference of the generalized Lyapunov exponent between biased and…