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In this note we establish exponentially fast smooth convergence for global curve diffusion flows, and discuss open problems relating embeddedness to global existence (Giga's conjecture) and the shape of Type I singularities (Chou's…
By refining a recent result of Xie and Zhang, we prove the exponential ergodicity under a weighted variation norm for singular SDEs with drift containing a local integrable term and a coercive term. This result is then extended to singular…
A wide class of nonlinear Langevin equations with drift and diffusion coefficients separable in time and space driven by the Gaussian white noise is analyzed in terms of a generalized n-moment. We show the system may present ergodic…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
Usually the problem of drift estimation for a diffusion process is considered under the hypothesis of ergodicity. It is less often considered under the hypothesis of null-recurrence, simply because there are fewer limit theorems and…
One century after Einstein's work, Brownian Motion still remains both a fundamental open issue and a continous source of inspiration for many areas of natural sciences. We first present a discussion about stochastic and deterministic…
Let $Y$ be an Ornstein-Uhlenbeck diffusion governed by an ergodic finite state Markov process $X$: $dY_t=-\lambda(X_t)Y_tdt+\sigma(X_t)dB_t$, $Y_0$ given. Under ergodicity condition, we get quantitative estimates for the long time behavior…
This work is devoted to the analysis of the quantum drift-diffusion model derived by Degond et al. The model is obtained as the diffusive limit of the quantum Liouville-BGK equation, where the collision term is defined after a local quantum…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…
We presented a methodology to approximate the entropy production for Brownian motion in a tilted periodic potential. The approximation stems from the well known thermodynamic uncertainty relation. By applying a virial-like expansion, we…
Irreversible drift-diffusion processes are very common in biochemical reactions. They have a non-equilibrium stationary state (invariant measure) which does not satisfy detailed balance. For the corresponding Fokker-Planck equation on a…
The probability density is a fundamental quantity for characterizing diffusion processes. However, it is seldom known except in a few renowned cases, including Brownian motion and the Ornstein-Uhlenbeck process and their bridges, geometric…
Based on the explicit coupling property, the ergodicity and the exponential ergodicity of L\'{e}vy driven Ornstein-Uhlenbeck processes are established.
We prove a conjecture of Lalley and Sellke [Ann. Probab. 15 (1987)] asserting that the empirical (time-averaged) distribution function of the maximum of branching Brownian motion converges almost surely to a double exponential, or Gumbel,…
We consider two-dimensional L\'evy processes reflected to stay in the positive quadrant. Our focus is on the non-standard regime when the mean of the free process is negative but the reflection vectors point away from the origin, so that…
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…
We study many interacting Brownian particles under a tilted periodic potential. We numerically measure the linear response coefficient of the density field by applying a slowly varying potential transversal to the tilted direction. In…
We consider a continuous-time random walk in the quarter plane for which the transition intensities are constant on each of the four faces $(0,\infty)^2$, $F_1=\{0\}\times(0,\infty)$, $F_2=(0,\infty)\times\{0\}$ and $\{(0,0)\}$. We show…
The analytical expressions for the time-dependent cross-correlations of the translational and rotational Brownian displacements of a particle with arbitrary shape are derived. The reference center is arbitrary, and the reference frame is…