Related papers: Spectral analysis of the multi-dimensional diffusi…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
We investigate the Brownian diffusion of particles in one spatial dimension and in the presence of finite regions within which particles can either evaporate or be reset to a given location. For open boundary conditions, we highlight the…
We study the solvability of boundary-value problems for differential-operator equations of the second order in L p (0, 1; X), with 1 < p < +$\infty$, X being a UMD complex Banach space. The originality of this work lies in the fact that we…
In this note, we demonstrated for the first time that one can derive an expression for the effective diffusion coefficient, equal to the Lifson-Jackson formula, using a subsequent homogenization of the 1D reaction-diffusion-advection…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We present a method that allows, under suitable equivariance and regularity conditions, to determine the Poisson boundary of a diffusion starting from the Poisson boundary of a sub-diffusion of the original one. We then give two examples of…
In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps,…
In this paper we prove some results on interior transmission eigenvalues. First, under rea- sonable assumptions, we prove that the spectrum is a discrete countable set and the generalized eigenfunctions spanned a dense space in the range of…
The free multiplicative Brownian motion $b_{t}$ is the large-$N$ limit of Brownian motion $B_t^N$ on the general linear group $\mathrm{GL}(N;\mathbb{C})$. We prove that the Brown measure for $b_{t}$---which is an analog of the empirical…
We study the strong consistency and asymptotic normality of a least squares estimator of the drift coefficient in complex-valued Ornstein-Uhlenbeck processes driven by fractional Brownian motion, extending the results of Chen, Hu, Wang…
Introducing an interpolation method we derive lower bounds for the spectral gap for Brownian motion on general domains with sticky-reflecting boundary diffusion associated to the first nontrivial eigenvalue for the Laplace operator with…
We prove eigenvalue processes from dynamical random matrix theory including Dyson Brownian motion, Wishart process, and Dynkin's Brownian motion of ellipsoids are results of projecting Brownian motion through Riemannian submersions induced…
The molecular motion in heterogeneous media displays anomalous diffusion by the mean-squared displacement $\langle X^2(t) \rangle = 2 D t^\alpha$. Motivated by experiments reporting populations of the anomalous diffusion parameters $\alpha$…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…
For the symmetric case of space-fractional diffusion processes (whose basic analytic theory has been developed in 1952 by Feller via inversion of Riesz potential operators) we present three random walk models discrete in space and time. We…
The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial…
Vladimirov defined an operator on balls in $\mathbb Q_p$, the $p$-adic numbers, that is analogous to the Laplace operator in the real setting. Kochubei later provided a probabilistic interpretation of the operator. This Vladimirov-Kochubei…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
Ram\'irez and Rider (2009) established that the hard edge of the spectrum of the $\beta$-Laguerre ensemble converges, in the high-dimensional limit, to the bottom of the spectrum of the stochastic Bessel operator. Using stochastic analysis…