Related papers: Pathwise differentiability of reflected diffusions…
Let G \subset \R^k be a convex polyhedral cone with vertex at the origin given as the intersection of half spaces {G_i, i= 1, ..., N}, where n_i and d_i denote the inward normal and direction of constraint associated with G_i, respectively.…
General properties of linear propagation of discretized light in homogeneous and curved waveguide arrays are comprehensively investigated and compared to those of paraxial diffraction in continuous media. In particular, general laws…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can…
In this article, we demonstrate the phenomenon of thermal transpiration in a bounded convex domain. We employ the stationary Boltzmann equation with a cutoff potential. For boundary condition, we partition the boundary into diffuse…
The article presents a novel variational calculus to analyze the stability and the propagation of chaos properties of nonlinear and interacting diffusions. This differential methodology combines gradient flow estimates with backward…
Pathwise uniqueness holds for the Skorokhod stochastic differential equation in $C^{1+\gamma}$ domains in $\mathbb{R}^d$ for $\gamma >1/2$ and $d\geq3$.
Let $L_t:=\Delta_t+Z_t$ for a $C^{1,1}$-vector field $Z$ on a differential manifold $M$ with boundary $\partial M$, where $\Delta_t$ is the Laplacian induced by a time dependent metric $g_t$ differentiable in $t\in [0,T_c)$. We first…
In the linear approximation, we study a one-dimensional problem of the reflectionless wave propagation on a surface of a shallow duct with the spatially varying water depth, duct width, and current. We show that both global and bounded…
A new proof of pathwise uniqueness for SDEs with Sobolev diffusion and integrable drift term is introduced by extending a method from E. Fedrizzi and F. Flandoli (Pathwise uniqueness and continuous dependence of SDEs with non-regular drift,…
The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according to the excursion-theoretic methodology of Prokaj (2009).…
Commonly, normal diffusive behavior is characterized by a linear dependence of the second central moment on time, $< x^2(t) >\propto t$, while anomalous behavior is expected to show a different time dependence, $ < x^2(t) > \propto…
Given trajectory data, a domain-specific study area, and a user-defined threshold, we aim to find anomalous trajectories indicative of possible GPS spoofing (e.g., fake trajectory). The problem is societally important to curb illegal…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
We develop a domain-decomposition model reduction method for linear steady-state convection-diffusion equations with random coefficients. Of particular interest to this effort are the diffusion equations with random diffusivities, and the…
We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown…
Infiltration of diffusing particles from one material to another where the diffusion mechanism is either normal or anomalous is a widely observed phenomena. When the diffusion is anomalous we find interesting behaviors: diffusion may lead…
This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
We study the convergence of the method of reflections for the Stokes equations in domains perforated by countably many spherical particles with boundary conditions typical for the suspension of rigid particles. We prove that a relaxed…
The differential cross-section for the reflection of light beams off rigid bodies obtained by the rotation of a generic derivable convex function is calculated. The calculation is developed using elementary notions of calculus and is…