Related papers: Approximating diffusion reflections at elastic bou…
The general, multidimensional barrier crossing problem for diffusive processes under the action of conservative forces is studied with the goal of developing tractable approximations. Particular attention is given to the effect of different…
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We rigorously derive non-equilibrium space-time fluctuation for the particle density of a system of reflected diffusions in bounded Lipschitz domains in $\mathbb R^d$. The particles are independent and are killed by a time-dependent…
We study a general limiting framework for the convergence of sequences of additive functionals of diffusions to L\'evy subordinators, and provide explicit sufficient conditions that both ensure convergence and characterize the law of the…
The concept of energetic particle reservoirs, essentially based on the assumption of the presence of outer reflecting boundaries/magnetic mirrors or diffusion barriers (deterministic) rather than on the effect of particle diffusive…
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…
Take a multidimensional normally or obliquely reflected diffusion in a smooth domain. Approximate it by solutions of stochastic differential equations without reflection using the penalty method. That is, we approximate the reflection term…
We prove existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and c\`adl\`ag convex regions $\mathcal{D}=\{D_t;t\in[0,T]\}$. We also show that the solution may be…
How long does a diffusing molecule spend in a close vicinity of a confining boundary or a catalytic surface? This quantity is determined by the boundary local time, which plays thus a crucial role in the description of various…
Consider uniformly elliptic random walk on $\bbZ^d$ with independent jump rates across nearest neighbour bonds of the lattice. We show that the infinite volume effective diffusion matrix can be almost surely recovered as the limit of finite…
We develop a diffusion approximation for systems subject to fast random resetting by small amplitudes. Equivalently, this describes systems with frequent but small catastrophes. We demonstrate the validity of the approximation by computing…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
In this paper we consider a diffusion process obtained as a small random perturbation of a dynamical system attracted to a stable equilibrium point. The drift and the diffusive perturbation are assumed to evolve slowly in time. We describe…
The problem of the time required for a diffusing molecule, within a large bounded domain, to first locate a small target is prevalent in biological modeling. Here we study this problem for a small spherical target. We develop uniform in…
The Skorokhod reflection was used in 1961 to create a reflected diffusion on the half-line. Later, it was used for processes with jumps such as reflected L\'evy processes. Like a Brownian motion, which is a weak limit of random walks,…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
We consider a semi-infinite spatially dispersive dielectric with unequal transverse and longitudinal susceptibilities. The effect of the boundary is characterized by arbitrary reflection coefficients for polarization waves in the material…
We discuss reflection factors for purely elastic scattering theories and relate them to perturbations of specific conformal boundary conditions, using recent results on exact off-critical g-functions. For the non-unitary cases, we support…