Related papers: Exact long time behavior of some regime switching …
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $\xi >0$. For Markov processes we give additional conditions under which the…
Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel from the origin…
In this work, we consider a finite-state inhomogeneous-time Markov chain whose probabilities of transition from one state to another tend to decrease over time. This can be seen as a cooling of the dynamics of an underlying Markov chain. We…
This note is motivated by the article by F. Lutscher, E. Pachepsky, and M. Lewis (2005), The Effect of Dispersal Patterns on Stream Populations SIAM Rev. Vol. 47 No. 4 pp. 749-772 on the drift paradox. We consider the case of a regime…
In this paper we consider a diffusion process obtained as a small random perturbation of a dynamical system attracted to a stable equilibrium point. The drift and the diffusive perturbation are assumed to evolve slowly in time. We describe…
Linear diffusions are used to model a large number of stochastic processes in physics, including small mechanical and electrical systems perturbed by thermal noise, as well as Brownian particles controlled by electrical and optical forces.…
Convergence rate to the stationary distribution for continuous-time Markov processes can be studied using Lyapunov functions. Recent work by the author provided explicit rates of convergence in special case of a reflected jump-diffusion on…
We study diffusion in a network which is governed by non-autonomous Kirchhoff conditions at the vertices of the graph. Also the diffusion coefficients may depend on time. We prove at first a result on existence and uniqueness using form…
We develop an Onsager-Machlup-type theory for nonequilibrium semi-Markov processes. Our main result is an exact large time asymptotics for the joint probability of the occupation times and the currents in the system, establishing some…
Determining accurately when regime and structural changes occur in various time-series data is critical in many social and natural sciences. We develop and show further the equivalence of two consistent estimation techniques in locating the…
We study the continuous absorbing-state phase transition in the one-dimensional diffusive epidemic process via mean-field theory and Monte Carlo simulation. In this model, particles of two species (A and B) hop on a lattice and undergo…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
Unbalanced probability circulation, which yields cyclic motions in phase space, is the defining characteristics of a stationary diffusion process without detailed balance. In over-damped soft matter systems, such behavior is a hallmark of…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
We study a class of interacting particle systems on $\mathbb{R}$ with two types. Particles evolve by independent jumps sampled from a fixed distribution, with type-dependent jump rates $v_+$, $v_-$ and stochastic type switching driven by…
For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $\RL^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…