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We present a formalism for obtaining the statistical properties of functionals and inverse functionals of the paths of a particle diffusing in a one-dimensional quenched random potential. We demonstrate the implementation of the formalism…
In this paper, we consider the approximate controllability of partial differential equations with time derivatives of non-integer order via boundary control. We first show the unique existence of the solution under smooth boundary…
In this paper, we introduce the linear fractional self-attracting diffusion driven by a fractional Brownian motion with Hurst index 1/2<H<1, which is analogous to the linear self-attracting diffusion. For 1-dimensional process we study its…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We prove a priori bounds for solutions of stochastic reaction diffusion equations with super-linear damping in the reaction term. These bounds provide a control on the supremum of solutions on any compact space-time set which only depends…
Fractional Brownian motion (FBM), a non-Markovian self-similar Gaussian stochastic process with long-ranged correlations, represents a widely applied, paradigmatic mathematical model of anomalous diffusion. We report the results of…
We consider diffusion processes in media with pockets of large diffusivity. The asymptotic behavior of such processes is described when the diffusion coefficients in the pockets tend to infinity. The limiting process is identified as 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…
I calculate the limitations on the widely-used forward-only (uni-directional) propagation assumption by considering the effects of transverse effects (e.g. diffraction). The starting point is the scalar second order wave equation, and…
Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of…
This note details the development of a discrete-time diffusion process to approximate the midnight customer count process in a $M_\textrm{per}/\textrm{Geo}_\textrm{2timeScale}/N$ system. We prove a limit theorem that supports this diffusion…
This paper is devoted to the analysis of some fundamental problems of linear elasticity in 1D continua with self-similar interparticle interactions. We introduce a self-similar continuous field approach where the self-similarity is…
The fractional diffusion equation is rigorously derived as a scaling limit from a deterministic Rayleigh gas, where particles interact via short range potentials with support of size $\varepsilon$ and the background is distributed in space…
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…
The transport equation of active motion is generalised to consider time-fractional dynamics for describing the anomalous diffusion of self-propelled particles observed in many different systems. In the present study, we consider an…
This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any…
Central limit theorems play an important role in the study of statistical inference for stochastic processes. However, when the nonparametric local polynomial threshold estimator, especially local linear case, is employed to estimate the…
This work deals with an inverse boundary value problem arising from the equation of heat conduction. We reconstruct small perturbations of the (isotropic) heat conductivity distribution from partial (on accessible part of the boundary)…
Motivated by recent work on approximation of diffusion equations by deterministic interacting particle systems, we develop a nonlocal approximation for a range of linear and nonlinear diffusion equations and prove convergence of the method…
We analyze the influence of reflective boundary conditions on the statistics of Poisson-Kac diffusion processes, and specifically how they modify the Poissonian switching-time statistics. After addressing simple cases such as diffusion in a…