Related papers: On diffusions in media with pockets of large diffu…
We consider a diffusion on a bounded domain, assuming that the system is irreducible inside the domain and that the diffusion has varying degree of degeneracy on the domain's boundary. The long-term statistical properties of typical…
Diffusion processes with boundaries are models of transport phenomena with wide applicability across many fields. These processes are described by their probability density functions (PDFs), which often obey Fokker-Planck equations (FPEs).…
We establish the existence of a solution to a non-linearly coupled elliptic-parabolic system of PDEs describing the single-phase, miscible displacement of one incompressible fluid by another in a porous medium. We consider a…
Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, neuroscience, social networks,…
Hawkes processes are a class of simple point processes whose intensity depends on the past history, and is in general non-Markovian. Limit theorems for Hawkes processes in various asymptotic regimes have been studied in the literature. In…
We consider a one-dimensional diffusion process with coefficients that are periodic outside of a finite 'interface region'. The question investigated in this article is the limiting long time / large scale behaviour of such a process under…
The paper deals with the homogenization of reaction-diffusion equations with large reaction terms in a multi-scale porous medium. We assume that the fractures and pores are equidistributed and that the coefficients of the equations are…
Probing the transport of fluids within confined domains is important in many areas including material science, catalysis, food science, and cell biology. The diffusion propagator fully characterizes the diffusion process, which is highly…
When the unconditioned process is a diffusion living on the half-line $x \in ]-\infty,a[$ in the presence of an absorbing boundary condition at position $x=a$, we construct various conditioned processes corresponding to finite or infinite…
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 investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
For a class of particle systems in continuous space with local interactions, we show that the asymptotic diffusion matrix is an infinitely differentiable function of the density of particles. Our method allows us to identify relatively…
The problem of a random walk in a disordered media is mapped into a model of a random walk with memory. The latter model, as opposed to the former one, does not make reference to a particular realization of the disorder. The equivalence of…
We address propagation and entanglement of Gaussian states in optical media characterised by non-trivial spectral densities. In particular, we consider environments with a finite bandwidth and show that in the low temperature regime: i)…
Here we aim at justifying rigorously different types of physically relevant diffusive limits for radiative flows. For simplicity, we consider the barotropic situation, and adopt the so-called P1-approximation of the radiative transfer…
Scattering of electromagnetic (EM) waves by many small particles, embedded in a given medium, is studied. Physical properties of the particles are described by their boundary impedances. The limiting equation is obtained for the effective…
We consider diffusion processes with a spatially varying diffusivity giving rise to anomalous diffusion. Such heterogeneous diffusion processes are analysed for the cases of exponential, power-law, and logarithmic dependencies of the…
We study the asymptotic behavior of a diffusion process with small diffusion in a domain $D$. This process is reflected at $\partial D$ with respect to a co-normal direction pointing inside $D$. Our asymptotic result is used to study the…
The influence of crowding on the diffusion of tagged particles in a dense medium is investigated in the framework of a mean-field model, derived in the continuum limit from a microscopic stochastic process with exclusion. The probability…
This article is accepted for publication in the "Annals I.H.P. Prob. & Stat.". We investigate the ballistic behavior of diffusions in random environment. We introduce conditions in the spirit of (T) and (T') of the discrete setting, cf.…