Related papers: Optimal Trapping of Brownian Motion: A Nonlinear A…

In this paper, we consider nonlinear diffusion processes driven by space-time white noises, which have an interpretation in terms of partial differential equations. For a specific choice of coefficients, they correspond to the Landau…

In this paper we study nonnegative, measure valued solutions of the initial value problem for one-dimensional drift-diffusion equations when the nonlinear diffusion is governed by an increasing $C^1$ function $\beta$ with $\lim_{r\to…

For $p\in (1,+\infty)$ and $b \in (0, +\infty]$ the $p$-torsion function with Robin boundary conditions associated to an arbitrary open set $\Om \subset \R^m$ satisfies formally the equation $-\Delta_p =1$ in $\Om$ and $|\nabla u|^{p-2}…

Verifying stability and safety guarantees for nonlinear systems has received considerable attention in recent years. This property serves as a fundamental building block for specifying more complex system behaviors and control objectives.…

Our aim is to study the limit of the solution of reaction-diffusion porous medium equation with linear drift $\displaystyle\partial_t u -\Delta u^m +\nabla \cdot (u \: V)=g(t,x,u) $, as $m\to\infty.$ We study the problem in bounded domain…

We establish an explicit maximum principle for the Dirichlet problem associated with the $p$-Laplacian ($p>1$), where the constant depends on both $p$ and the geometry of the domain. From this result we derive two main applications. First,…

We study some finite time transport properties of isotropic Brownian flows. Under a certain nondegeneracy condition on the potential spectral measure, we prove that uniform shrinking or expansion of balls under the flow over some bounded…

We consider the solution of the torsion problem $-\Delta u=1$ in $\Omega$ and $u=0$ on $\partial \Omega$. Serrin's celebrated symmetry theorem states that, if the normal derivative $u_\nu$ is constant on $\partial \Omega$, then $\Omega$…

We consider solutions of a quasi-linear parabolic PDE with zero oblique boundary data in a bounded domain. Our main result states that the solutions can be approximated by solutions of a PDE in the whole space with a penalizing drift term.…

Let $T^m$ be the $m$-dimensional unit torus, $m \in N$. The torsional rigidity of an open set $\Omega \subset T^m$ is the integral with respect to Lebesgue measure over all starting points $x \in \Omega$ of the expected lifetime in $\Omega$…

This paper is concerned with the attraction-repulsion chemotaxis system with superlinear logistic degradation, \begin{align*} \begin{cases} u_t = \Delta u - \chi \nabla\cdot(u \nabla v) + \xi \nabla\cdot (u \nabla w) + \lambda u - \mu u^k,…

We prove a conjecture of Lalley and Sellke [Ann. Probab. 15 (1987)] asserting that the empirical (time-averaged) distribution function of the maximum of branching Brownian motion converges almost surely to a double exponential, or Gumbel,…

The online increasing subsequence problem is a stochastic optimisation task with the objective to maximise the expected length of subsequence chosen from a random series by means of a nonanticipating decision strategy. We study the…

We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point $x=0$. Let $\sigma_1$ and $\sigma_2$ denote the volatilities on the negative and…

Brownian motion in terms of Lifson and Jackson (LJ) formula has been widely explored in periodic systems and it has been believed for a long time that the LJ formula only applies to periodic potentials. Recently we show that for the…

In this paper we analyze the asymptotic behaviour as $p\to 1^+$ of solutions $u_p$ to $$ \left\{ \begin{array}{rclr} -\Delta_pu&=&\lambda|\nabla u|^{p-2}\nabla u\cdot\frac{x}{|x|^2}+ f&\quad \mbox{ in } \Omega,\\ u_p&=&0 &\quad \mbox{ on…

We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…

We consider a one-dimensional diffusion process $X$ in a $(-\kappa/2)$-drifted Brownian potential for $\kappa\neq 0$. We are interested in the maximum of its local time, and study its almost sure asymptotic behaviour, which is proved to be…

We consider the following singularly perturbed Neumann problem \begin{eqnarray*} \ve^2 \Delta u -u +u^p = 0 \, \quad u>0 \quad {\mbox {in}} \quad \Omega, \quad {\partial u \over \partial \nu}=0 \quad {\mbox {on}} \quad \partial \Omega,…

A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…