Related papers: Pathwise differentiability of reflected diffusions…
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 propose a new method for calculating reflection and transmission coefficients for an arbitrarily polarized electromagnetic plane wave incident on a one-dimensional dielectric medium of finite thickness and with dielectric permittivity…
Pathwise uniqueness for multi-dimensional stochastic McKean--Vlasov equation is established under moderate regularity conditions on the drift and diffusion coefficients. Both drift and diffusion depend on the marginal measure of the…
Here we study stochastic differential equations with a reflecting boundary condition. We provide sufficient conditions for pathwise uniqueness and non-explosion property of solutions in a framework admitting non-Lipschitz continuous…
Representations based on random walks can exploit discrete data distributions for clustering and classification. We extend such representations from discrete to continuous distributions. Transition probabilities are now calculated using a…
Ray flow methods provide efficient tools for modelling wave energy transport in complex systems at high-frequencies. We compare two Petrov-Galerkin discretizations of a phase-space boundary integral model for stationary wave energy…
Convection-diffusion-reaction equations are a class of second-order partial differential equations widely used to model phenomena involving the change of concentration/population of one or more substances/species distributed in space.…
Uchaikin suggested a mathematical model of an anomalous diffusion in a space was suggested. This model origins in an investigation of processes in complex systems with variable structure: glasses, liquid crystals, biopolymers, proteins and…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
In this paper we consider the Stratonovich reflected stochastic differential equation $dX_t=\sigma(X_t)\circ dW_t+b(X_t)dt+dL_t$ in a bounded domain $\O$ which satisfies conditions, introduced by Lions and Sznitman, which are specified…
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…
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
Stochastic flows generated by reflected SDEs in a half-plane with an additive diffusion term are considered. A derivative in the initial data is represented a.s. as an infinite product of matrices. We use this representation and construct…
We prove that reflected Brownian motion with normal reflections in a convex domain satisfies a dimension free Talagrand type transportation cost-information inequality. The result is generalized to other reflected diffusions with suitable…
Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and \sigma(.), let L be the usual second-order elliptic operator associated with b(.) and \sigma(.). Under suitable…
Interaction of a domain wall with boundaries of a system is studied for a class of stochastic driven particle models. Reflection maps are introduced for the description of this process. We show that, generically, a domain wall reflects…
We study approximations of reflected It\^o diffusions on convex subsets $D$ of $\Rd$ by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable (possibly…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…