Related papers: Statistical test for fractional Brownian motion ba…
We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional small diffusions. Our test is based on discrete observation of the processes, and the diffusion coefficient is a nuisance function which…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We address the problem of diffusion on a comb whose teeth display a varying length. Specifically, the length $\ell$ of each tooth is drawn from a probability distribution displaying the large-$\ell$ behavior $P(\ell) \sim…
We use numerical simulations to study the behavior of 2D frictionless disk systems under cyclic shear as a function of reversal amplitude \gamma_r. Our studies focus on mean bulk and disk dynamics. These measurements suggest a crossover…
We present certain mathematical aspects of an information method which was formulated in an attempt to investigate diffusion phenomena. We imagine a regular dynamical hamiltonian systems under the random perturbation of thermal (molecular)…
We present a numerical method that consistently implements thermal fluctuations and hydrodynamic interactions to the motion of Brownian particles dispersed in incompressible host fluids. In this method, the thermal fluctuations are…
A generalization of the Drude model is studied. On the one hand, the free motion of the particles is allowed to be sub- or superdiffusive; on the other hand, the distribution of the time delay between collisions is allowed to have a long…
We study statistical inference for small-noise-perturbed multiscale dynamical systems where the slow motion is driven by fractional Brownian motion. We develop statistical estimators for both the Hurst index as well as a vector of unknown…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
The non-Markovian continuous-time random walk model, featuring fat-tailed waiting times and narrow distributed displacements with a non-zero mean, is a well studied model for anomalous diffusion. Using an analytical approach, we recently…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
We consider scaled Brownian motion (sBm), a random process described by a diffusion equation with explicitly time-dependent diffusion coefficient $D(t) = D_0 t^{\alpha - 1}$ (Batchelor's equation) which, for $\alpha < 1$, is often used for…
The problem of mass diffusion in layered systems has relevance to applications in different scientific disciplines, e.g., chemistry, material science, soil science, and biomedical engineering. The mathematical challenge in these type of…
Non-Gaussian shapes, despite a linear form of the mean-squared displacement, have been observed for the displacement distribution in a large range of diffusive systems. Stochastic models for such "Brownian yet non-Gaussian" diffusion will…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…
The random motion of molecules in living cells has consistently been reported to deviate from standard Brownian motion, a behavior coined as ``anomalous diffusion''. Fluorescence Correlation Spectroscopy (FCS) is a powerful method to…
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model…