Related papers: Lie symmetries methods in boundary crossing proble…
We explore first-passage phenomenology for biased active processes with a renewal-type structure, focusing in particular on paradigmatic run-and-tumble models in both discrete and continuous state spaces. In general, we show there is no…
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
In this paper, we investigate the existence of solution for systems of Fokker-Planck equations coupled through a common nonlinear congestion. Two different kinds of congestion are considered: a porous media congestion or \textit{soft}…
Using the original advanced version of the direct method, we efficiently compute the equivalence groupoids and equivalence groups of two peculiar classes of Kolmogorov backward equations with power diffusivity and solve the problems of…
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
New theorems for the moments of the first passage time of one dimensional nonlinear stochastic processes with an entrance boundary are formulated. This important class of one dimensional stochastic processes results among others from…
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on…
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…
In this paper, we construct a Feller-Dynkin boundary process by applying the method of intertwiners to the coherent family, introduced in our previous work, of Laguerre processes with a fixed parameter. The corresponding boundary process is…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
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 long-time dynamics of the nonlinear processes modeled by diffusion-transport partial differential equations in non-divergence form with drifts. The solutions are subject to some inhomogeneous Dirichlet boundary condition.…
This work is aimed at the derivation of reliable and efficient a posteriori error estimates for convection-dominated diffusion problems motivated by a linear Fokker-Planck problem appearing in computational neuroscience. We obtain…
Differential equations need boundary conditions (BC's) for their solution. It is commonly acknowledged that differential equations and BC's are representative of independent physical processes, and no correlations between them is required.…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr…
Lie symmetry group method is applied to study Newtonian incompressible fluid's equations flow in turbulent boundary layers. The symmetry group and its optimal system are given, and group invariant solutions associated to the symmetries are…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…
The algebraic properties of drift-flux two-phase fluids models without gravitational and wall friction forces are studied. More precisely, for the two fluids we consider equation of states of polytropic gases. We perform a classification…
We present a numerical method for the solution of diffusion problems in unbounded planar regions with complex geometries of absorbing and reflecting bodies. Our numerical method applies the Laplace transform to the parabolic problem,…