Related papers: Lie symmetries methods in boundary crossing proble…
Jacobi diffusion is a representative diffusion process whose solution is bounded in a domain under certain drift and diffusion coefficient conditions. However, the process without such conditions has not been thoroughly investigated. We…
A cross-diffusion system for two compoments with a Laplacian structure is analyzed on the multi-dimensional torus. This system, which was recently suggested by P.-L. Lions, is formally derived from a Fokker-Planck equation for the…
Complete descriptions of the Lie symmetries of a class of nonlinear reaction-diffusion equations with gradient-dependent diffusivity in one and two space dimensions are obtained. A surprisingly rich set of Lie symmetry algebras depending on…
In this paper, we study numerical methods for the homogenization of linear second-order elliptic equations in nondivergence-form with periodic diffusion coefficients and large drift terms. Upon noting that the effective diffusion matrix can…
The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…
A mathematical model for description of the viscous fingering induced by a chemical reaction is under study. This complicated five-component model is reduced to a three-component diffusive Lotka-Volterra system with convection by…
Lie symmetry group method is applied to study the boundary-layer equations for two-dimensional steady flow of an incompressible, viscous fluid near a stagnation point at a heated stretching sheet placed in a porous medium equation. The…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
A symmetry group classification for fourth-order reaction-diffusion equations, allowing for both second-order and fourth-order diffusion terms, is carried out. The fourth order equations are treated, firstly, as systems of second-order…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
After a short excursion from discovery of Brownian motion to the Richardson "law of four thirds" in turbulent diffusion, the article introduces the L\'{e}vy flight superdiffusion as a self-similar L\'{e}vy process. The condition of…
In this work we consider an interface logistic problem where two populations live in two different regions, separated by a membrane or interface where it happens an interchange of flux. Thus, the two populations only interact or are coupled…
Characterization of composite materials, whose properties vary in space over microscopic scales, has become a problem of broad interdisciplinary interest. In particular, estimation of the inhomogeneous transport coefficients, e.g. the…
Lagrangian motions of fluid particles in a general velocity field oscillating in time are studied with the use of the two-timing method. Our aims are: (i) to calculate systematically the most general and practically usable asymptotic…
We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in…
A {\it Lie system} is a nonautonomous system of first-order differential equations admitting a {\it superposition rule}, i.e., a map expressing its general solution in terms of a generic family of particular solutions and some constants.…
Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on the joint density of the first passage time of the first…
In neuroscience, the distribution of a decision time is modelled by means of a one-dimensional Fokker--Planck equation with time-dependent boundaries and space-time-dependent drift. Efficient approximation of the solution to this equation…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…