Related papers: Equivariant discretizations of diffusions, random …
Many theories of physical interest, which admit a Hamiltonian description, exhibit symmetries under a particular class of non - strictly canonical transformation, known as dynamical similarities. The presence of such symmetries allows a…
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws…
Random diffusions are a popular tool in Monte-Carlo estimations, with well established algorithms such as Walk-on-Spheres (WoS) going back several decades. In this work, we introduce diffusion estimators for the problems of angular…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
Dilute granular flows are routinely described by collisional kinetic theory, but dense flows require a fundamentally different approach, due to long-lasting, many-body contacts. In the case of silo drainage, many continuum models have been…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
Oscillatory systems of interacting Hawkes processes with Erlang memory kernels were introduced in Ditlevsen (2017). They are piecewise deterministic Markov processes (PDMP) and can be approximated by a stochastic diffusion. First, a strong…
We obtain a Liouville property for stationary diffusions in random environment which are small, isotropic perturbations of Brownian motion in spacial dimension greater than two. Precisely, we prove that, on a subset of full probability, the…
Diffusive transport is a universal phenomenon, throughout both biological and physical sciences, and models of diffusion are routinely used to interrogate diffusion-driven processes. However, most models neglect to take into account the…
The foundations of the fractional diffusion equation are investigated based on coupled and decoupled continuous time random walks (CTRW). For this aim we find an exact solution of the decoupled CTRW, in terms of an infinite sum of stable…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
Diffusion probabilistic models excel at sampling new images from learned distributions. Originally motivated by drift-diffusion concepts from physics, they apply image perturbations such as noise and blur in a forward process that results…
In numerical studies of diffusive dynamics, two different action functionals are often used to specify the probability distribution of trajectories, one of which requiring the evaluation of the second derivative of the potential in addition…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
This paper introduces equivariant hamiltonian flows, a method for learning expressive densities that are invariant with respect to a known Lie-algebra of local symmetry transformations while providing an equivariant representation of the…
In this paper, we present a framework to compare the differences in the occupation probabilities of two random walk processes, which can be generated by modifications of the network or the transition probabilities between the nodes of the…
There are many fields where the transition from diffusive to ballistic motion is important. Here we deal with relaxation processes in nmr in gases. Correlation functions for trajectory variables (position and velocity) valid across this…
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…
We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical…
We study the discretization of Darboux integrable systems. The discretization is done using $x$-, $y$-integrals of the considered continuous systems. New examples of semi-discrete Darboux integrable systems are obtained.