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In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random…
We propose a new methodology for the experimental measurement of the Onsager coefficients of porous media flows by application of the fluctuation-dissipation theorem. The experimental setup consists of a steady-state flow condition in which…
To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…
Diffusion models have emerged as powerful generative tools with applications in computer vision and scientific machine learning (SciML), where they have been used to solve large-scale probabilistic inverse problems. Traditionally, these…
We consider a Wright-Fisher diffusion (x(t)) whose current state cannot be observed directly. Instead, at times t1 < t2 < . . ., the observations y(ti) are such that, given the process (x(t)), the random variables (y(ti)) are independent…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding…
The limit of small entropy production is reached in relaxing systems long after preparation, and in stationary driven systems in the limit of small driving power. Surprisingly, for extended systems this limit is not in general the…
Physical systems with complex unsteady dynamics, such as fluid flows, are often poorly represented by a single mean solution. For many practical applications, it is crucial to access the full distribution of possible states, from which…
The aim of this article is to study a Cahn-Hilliard model for a multicomponent mixture with cross-diffusion effects, degenerate mobility and where only one of the species does separate from the others. We define a notion of weak solution…
This paper studies the identification of an $\mathbb{R}^d$-valued diffusion $X$ when a running function of it, say $h(X_t)$, is observed. A point-wise observation of the process (in other words, observing $h(X_t)$ in isolation) cannot…
By considering the master equation of the partially asymmetric diffusion process on a one-dimensional lattice, the most general boundary condition (i.e. interactions) for the multi-species reaction-diffusion processes is considered.…
This paper considers particle propagation in a cylindrical molecular communication channel, e.g. a simplified model of a blood vessel. Emitted particles are influenced by diffusion, flow, and a vertical force induced e.g. by gravity or…
We prove uniform H\"older estimates in a class of singularly perturbed competition-diffusion elliptic systems, with the particular feature that the interactions between the components occur three by three (ternary interactions). These…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…
In this note we provide some precise estimates explaining the diffusive structure of partially dissipative systems with time-dependent coefficients satisfying a uniform Kalman rank condition. Precisely, we show that under certain (natural)…
When the unconditioned process is a diffusion living on the half-line $x \in ]-\infty,a[$ in the presence of an absorbing boundary condition at position $x=a$, we construct various conditioned processes corresponding to finite or infinite…
Constrained diffusions in convex polyhedral domains with a general oblique reflection field, and with a diffusion coefficient scaled by a small parameter, are considered. Using an interior Dirichlet heat kernel lower bound estimate for…
This paper introduces an approach to endow generative diffusion processes the ability to satisfy and certify compliance with constraints and physical principles. The proposed method recast the traditional sampling process of generative…
We present several results on smoothness in $L_{p}$ sense of filtering densities under the Lipschitz continuity assumption on the coefficients of a partially observable diffusion processes. We obtain them by rewriting in divergence form…