Related papers: Change of drift in one-dimensional diffusions
The martingale characterizes a kind of fairness or unbiased nature of the stochastic process which is associated with another stochastic process. If $x_t$ evolves according to the Langevin equation whose mean drift is $a_t$ as function of…
In this work, we show that for the martingale problem for a class of degenerate diffusions with bounded continuous drift and diffusion coefficients, the small noise limit of non-degenerate approximations leads to a unique Feller limit. The…
The diffusion type is determined not only by microscopic dynamics but also by the environment properties. For example, the environment's fractal structure is responsible for the emergence of subdiffusive scaling of the mean square…
We study the motion of independent particles in a dynamical random environment on the integer lattice. The environment has a product distribution. For the multidimensional case, we characterize the class of spatially ergodic invariant…
We study the dissipation measure arising in the inviscid limit of two-dimensional incompressible fluids. It is proved that the dissipation is Lebesgue in time and, for almost every time, it is absolutely continuous with respect to the…
Spatial diffusion of particles in periodic potential models has provided a good framework for studying the role of chaos in global properties of classical systems. Here a bidimensional "soft" billiard, classically modeled from an optical…
The difference diffusion model with two equilibrium states is given by a stochastic equation with two components: the predicted one, which is determined by the regression function of increments with two equilibriums, and the stochastic one,…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
We consider one component lattice gases with a local dynamics and a stationary product Bernoulli measure. We give upper and lower bounds on the diffusivity at an equilibrium point depending on the dimension and the local behavior of the…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We theoretically investigate the pattern formation observed when a fluid flows over a solid substrate that can dissolve or melt. We use a turbulent mixing description that includes the effect of the bed roughness. We show that the…
We consider a diffusion on a bounded domain, assuming that the system is irreducible inside the domain and that the diffusion has varying degree of degeneracy on the domain's boundary. The long-term statistical properties of typical…
A sharp change in apparent mobility at a characteristic temperature that depends on the observation time has been reported in experiments and simulations of hydrated proteins. Such behavior is often discussed in the context of the protein…
We investigate the occurrence of waterlike thermodynamic and dynamic anomalous behavior in a one dimensional lattice gas model. The system thermodynamics is obtained using the transfer matrix technique and anomalies on density and…
We prove the existence of a diffusion process whose invariant measure is the fractional polymer or Edwards measure for fractional Brownian motion in dimension $d\in\mathbb{N}$ with Hurst parameter $H\in(0,1)$ fulfilling $dH < 1$. The…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
Discontinuous transitions into absorbing states require an effective mechanism that prevents the stabilization of low density states. They can be found in different systems, such as lattice models or stochastic differential equations (e.g.…
This article considers a class of metastable non-reversible diffusion processes whose invariant measure is a Gibbs measure associated with a Morse potential. In a companion paper [32], we proved the Eyring-Kramers formula for the…
Using Girsanov transformations we construct from sticky reflected Brownian motion on $[0,\infty)$ a conservative diffusion on $E:=[0,\infty)^n$, $n \in \mathbb{N}$, and prove that its transition semigroup possesses the strong Feller…