Related papers: Transition functions of diffusion processes with t…
In this paper, we study the purely discontinuous Girsanov transforms which were discussed in Chen and Song \cite{CS2} and Song \cite{S3}. We show that the transition density of any purely discontinuous Girsanov transform of a…
In this paper we introduce a novel particle filter scheme for a class of partially-observed multivariate diffusions. %continuous-time dynamic models where the %signal is given by a multivariate diffusion process. We consider a variety of…
The invariance for the equation of fast diffusion in the 2D coordinate space has been proved, and its reduction to the 1D (with respect to the spatial variable) analog is demonstrated. On the basis of these results, new exact…
For n-dimensional ergodic diffusion processes with values in $G=\mathbb{R}_{+}^n$ we prove time-independent upper bounds for the transitional density and so also for the unique ergodic density. We do not require geodesic completeness of the…
We construct a pair of related diffusions on a space of interval partitions of the unit interval $[0,1]$ that are stationary with the Poisson-Dirichlet laws with parameters (1/2,0) and (1/2,1/2) respectively. These are two particular cases…
We are interested in studying the stationary solutions and phase transitions of aggregation equations with degenerate diffusion of porous medium-type, with exponent $1 < m < \infty$. We first prove the existence of possibly infinitely many…
We consider an extended birth-death-immigration process defined on a lattice formed by the integers of $d$ semiaxes joined at the origin. When the process reaches the origin, then it may jumps toward any semiaxis with the same rate. The…
The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\varepsilon^2)),\, t\in [0,T]$ and the discrete time…
Three-dimensional icosahedral random tilings are studied in the semi-entropic model. We introduce a global energy measure defined by the variance of the quasilattice points in orthogonal space. The specific heat shows a pronounced Schottky…
Three dimensional continuous and discrete Fourier-like transforms, based on the three simple and four semisimple compact Lie groups of rank 3, are presented. For each simple Lie group, there are three families of special functions ($C$-,…
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the Poisson Gamma mixture representation of the noncentral…
We study a class of diffusion processes arising from random perturbations of conservative Hamiltonian systems. Under a set of abstract hypotheses -- including basic structural assumptions on the Hamiltonian, a weak Lyapunov structure, and a…
We study for a class of symmetric L\'evy processes with state space $\rn$ the transition density $p_t(x)$ in terms of two one-parameter families of metrics, $(d_t)_{t>0}$ and $(\delta_t)_{t>0}$. The first family of metrics describes the…
In this paper, we propose a drift-diffusion process on the probability simplex to study stochastic fluctuations in probability spaces. We construct a counting process for linear detailed balanced chemical reactions with finite species such…
We study the diffusion of an ensemble of overdamped particles sliding over a tilted random poten- tial (produced by the interaction of a particle with a random polymer) with long-range correlations. We found that the diffusion properties of…
We establish a general analytic framework for determining the AF-martingale dimension of diffusion processes associated with strongly local regular Dirichlet forms on metric measure spaces. While previous approaches typically relied on…
We introduce a new transfer matrix method for calculating the thermodynamic properties of random-tiling models of quasicrystals in any number of dimensions, and describe how it may be used to calculate the phason elastic properties of these…
This paper revisits the modeling of multicomponent diffusion within the framework of thermodynamics of irreversible processes. We briefly review the two well-known main approaches, leading to the generalized Fick-Onsager multicomponent…
We consider a system of infinitely many penduli on an $m$-dimensional lattice with a weak coupling. For any prescribed path in the lattice, for suitable couplings, we construct orbits for this Hamiltonian system of infinite degrees of…
We consider a diffusion process on an evolving surface with a piecewise Lipschitz-continuous boundary from an energetic point of view. We employ an energetic variational approach with both surface divergence and transport theorems to derive…