Related papers: A density for the local time of the Brox diffusion
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…
We investigate the statistics of encounters of a diffusing particle with different subsets of the boundary of a confining domain. The encounters with each subset are characterized by the boundary local time on that subset. We extend a…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
We consider a particle diffusing outside a compact planar set and investigate its boundary local time $\ell_t$, i.e., the rescaled number of encounters between the particle and the boundary up to time $t$. In the case of a disk, this is…
Local time is the measure of how much time a random walk has visited a given position. In multiple scattering media, where waves are diffuse, local time measures the sensitivity of the waves to the local medium's properties. Local…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
This paper concerns the first passage times of Bessel processes to a point on the positive real line. We are interested in the case when the process starts at a position on its right and compute the densities of the distributions of the…
How long does a diffusing molecule spend in a close vicinity of a confining boundary or a catalytic surface? This quantity is determined by the boundary local time, which plays thus a crucial role in the description of various…
We consider Brox's model: a one-dimensional diffusion in a Brownian potential W. We show that the normalized local time process (L(t;m_(log t) + x)=t; x \in R), where m_(log t) is the bottom of the deepest valley reached by the process…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM,…
We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…
Diffusion of molecules within biological cells and tissues is strongly influenced by crowding. A key quantity to characterize diffusion is the particle lifetime, which is the time taken for a diffusing particle to exit by hitting an…
We calculate the explicit probability distribution function for the flux between sites in a simple discrete time diffusive system composed of independent random walkers. We highlight some of the features of the distribution and we discuss…
We consider Brownian particles immersed in the fluid which flow is turbulent. We study the limit where the particles' inertia is weak and their velocity relaxes fast to the velocity of the flow. The trajectories of the particles in this…
We discuss the diffusion phenomenon in the parabolic and hyperbolic regimes. New effects related to the finite velocity of the diffusion process are predicted, that can partially explain the strange behavior associated to adsorption…
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…
Diffusion-mediated surface phenomena are crucial for human life and industry, with examples ranging from oxygen capture by lung alveolar surface to heterogeneous catalysis, gene regulation, membrane permeation and filtration processes.…
We study a Brownian particle diffusing under a time-modulated stochastic resetting mechanism to a fixed position. The rate of resetting r(t) is a function of the time t since the last reset event. We derive a sufficient condition on r(t)…
Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…