Related papers: Change of drift in one-dimensional diffusions
According to a theorem of S. Schumacher, for a diffusion X in an environment determined by a stable process that belongs to an appropriate class and has index a, it holds that X_t/(log t)^a converges in distribution, as t goes to infinity,…
The correct definition of the conductance of finite systems implies a connection to the system of the massive ideal leads. Influence of the latter on the properties of the system appears to be rather essential and is studied below on the…
The experiments of Leptos et al. [Phys. Rev. Lett. 103, 198103 (2009)] show that the displacements of small particles affected by swimming microorganisms achieve a non-Gaussian distribution, which nevertheless scales diffusively -- the…
We study singularities in the large deviation function of the time-averaged current of diffusive systems connected to two reservoirs. A set of conditions for the occurrence of phase transitions, both first and second order, are obtained by…
Diffusion-coagulation can be simply described by a dynamic where particles perform a random walk on a lattice and coalesce with probability unity when meeting on the same site. Such processes display non-equilibrium properties with strong…
Transport by normal diffusion can be decomposed into the so-called hydrodynamic modes which relax exponentially toward the equilibrium state. In chaotic systems with two degrees of freedom, the fine scale structure of these hydrodynamic…
The Wright-Fisher diffusion is a fundamentally important model of evolution encompassing genetic drift, mutation, and natural selection. Suppose you want to infer the parameters associated with these processes from an observed sample path.…
Deterministic diffusion in temporally oscillating convection is studied for particles with finite mass. The particles are assumed to obey a simple dissipative dynamical system and the particle diffusion is induced by the strange attractor.…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
We propose a formalization for dissipative fluids with interfaces in an inhomogeneous temperature field from the viewpoint of a variational principle. Generally, the Lagrangian of a fluid is given by the kinetic energy density minus the…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
We show how to apply the macroscopic fluctuation theory (MFT) of Bertini, De Sole, Gabrielli, Jona-Lasinio, and Landim to study the current fluctuations of diffusive systems with a step initial condition. We argue that one has to…
In this note, we connect two seemingly unrelated objects: On the one hand is a two-dimensional drift-diffusion process $X$ with divergence-free and time-independent drift $b$. The drift is given by a stationary Gaussian ensemble, and we…
We study numerically and analytically the dynamics of particles on the Galton board, a regular lattice of disc scatters, in the presence of a constant external force and friction. It is shown that under certain conditions friction leads to…
The nature of the critical point of the Anderson transition in high magnetic fields is discussed with an emphasis on scale invariance and universality of the critical exponent. Special attention is paid to the distribution function of the…
We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly…
We consider the problem of learning two families of time-evolving random measures from indirect observations. In the first model, the signal is a Fleming--Viot diffusion, which is reversible with respect to the law of a Dirichlet process,…
F\"orster resonance energy transfer (FRET) is a quantum mechanical phenomenon involving the non-radiative transfer of energy between coupled electric dipoles. Due to the strong dependence of FRET on the distance between the dipoles, it is…
The sliding friction of a dimer moving over a periodic substrate and subjected to an external force is studied in the steady state for arbitrary temperatures within a one-dimensional model. Nonlinear phenomena that emerge include dynamic…