Related papers: Change of drift in one-dimensional diffusions
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the…
Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the…
We analyze numerically and analytically the non linear transport properties of a drift-diffusion equation in presence of a magnetic field and of a disorder potential. For a wide range of parameters this model exhibits a plateau where the…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
In the case of diffusions on $\mathbb R^d$ with constant diffusion matrix, without assuming reversibility nor hypoellipticity, we prove that the contractivity of the deterministic drift is equivalent to the constant rate contraction of…
It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time.…
We characterize a transition from normal to ballistic diffusion in a bouncing ball dynamics. The system is composed of a particle, or an ensemble of non-interacting particles, experiencing elastic collisions with a heavy and periodically…
In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian…
Usually the problem of drift estimation for a diffusion process is considered under the hypothesis of ergodicity. It is less often considered under the hypothesis of null-recurrence, simply because there are fewer limit theorems and…
The intrinsic length scales of a reaction diffusion system (Gierer-Meinhardt model)is varied by quasi-statically changing the diffusion constant of the activator and a transition from rolls to hexagon is detected. The transition is…
The complex interactions of localized vortices with waves is investigated using a model of point vortices in the presence of a transverse or longitudinal wave. This simple model shows a rich dynamical behavior including oscillations of a…
Kramer's approach to the rate of the thermally activated escape from a metastable state is extended to field theory. Diffusion rate in the 1+1-dimensional Sine-Gordon model as a function of temperature and friction coefficient is evaluated…
The microscopic approach to the description of the phase behaviour and critical phenomena in binary fluid mixtures is proposed. It is based on the method of collective variables with a reference system. The physical nature of the order…
We establish a local martingale $M$ associate with $f(X,Y)$ under some restrictions on $f$, where $Y$ is a process of bounded variation (on compact intervals) and either $X$ is a jump diffusion (a special case being a L\'evy process) or $X$…
We reconsider the problem of diffusion of particles at constant speed and present a generalization of the Telegrapher process to higher dimensional stochastic media ($d>1$), where the particle can move along $2^d$ directions. We derive the…
When nano-magnets are coupled to random external sources, their magnetization becomes a random variable, whose properties are defined by an induced probability density, that can be reconstructed from its moments, using the Langevin…
We consider the bilocal conductivity tensor, the two-probe conductance and its fluctuations for a disordered phase-coherent two-dimensional system of non-interacting electrons in the presence of a magnetic field, including correctly the…
We consider a system of diffusing particles on the real line in a quadratic external potential and with repulsive electrostatic interaction. The empirical measure process is known to converge weakly to a deterministic measure-valued process…
We consider the inverse problem of determining different type of information about a diffusion process, described by ordinary or fractional diffusion equations stated on a bounded domain, like the density of the medium or the velocity field…
Particles moving along curved trajectories will diffuse if the curvature fluctuates sufficiently in either magnitude or orientation. We consider particles moving at a constant speed with either a fixed or with a Gaussian distributed…