Related papers: Diffusion Limit of Poisson Limit-Order Book Models
We consider a finite sequence of random points in a finite domain of a finite-dimensional Euclidean space. The points are sequentially allocated in the domain according to a model of cooperative sequential adsorption. The main peculiarity…
We investigate energy diffusion in long-range interacting spin systems, where the interaction decays algebraically as $V(r) \propto r^{-\alpha}$ with the distance $r$ between the sites. We consider prototypical spin systems, the transverse…
We consider the classical problem of particle diffusion in $d$-dimensional radially-symmetric systems with absorbing boundaries. A key quantity to characterise such diffusive transport is the evolution of the proportion of particles…
A limit theorem for a sequence of diffusion processes on graphs is proved in a case when vary both parameters of the processes (the drift and diffusion coefficients on every edge and the asymmetry coefficients in every vertex), and…
This paper investigates the connection between discrete and continuous models describing prion proliferation. The scaling parameters are interpreted on biological grounds and we establish rigorous convergence statements. We also discuss,…
We construct a two-parameter family of Feller diffusions on the set of open subsets of $(0,1)$ that arise as diffusive limits of two-parameter ordered Chinese Restaurant Process up-down chains. The diffusions we construct are natural…
In [20], the authors addressed the question of the averaging of a slow-fast Piecewise Deterministic Markov Process (PDMP) in infinite dimension. In the present paper, we carry on and complete this work by the mathematical analysis of the…
Diffusion models have emerged as powerful tools for solving inverse problems, yet prior work has primarily focused on observations with Gaussian measurement noise, restricting their use in real-world scenarios. This limitation persists due…
The finite element solution of two-dimensional anisotropic diffusion problems is considered. A Delaunay-type mesh condition is developed for linear finite element approximations to satisfy a discrete maximum principle. The condition is…
We explore asymptotically optimal bounds for deviations of Bernoulli convolutions from the Poisson limit in terms of the Shannon relative entropy and the Pearson $\chi^2$-distance. The results are based on proper non-uniform estimates for…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
A system of diffusion-reaction equations coupled with a dissolution-precipitation model is discussed. We start by introducing a microscale model together with its homogenized version. In the present paper, we first derive the corrector…
The fractional Poisson process and the Wright process (as discretization of the stable subordinator) along with their diffusion limits play eminent roles in theory and simulation of fractional diffusion processes. Here we have analyzed…
Despite the growing interest in diffusion models, gaining a deep understanding of the model class remains an elusive endeavour, particularly for the uninitiated in non-equilibrium statistical physics. Thanks to the rapid rate of progress in…
Diffusion models are a class of generative models that serve to establish a stochastic transport map between an empirically observed, yet unknown, target distribution and a known prior. Despite their remarkable success in real-world…
We study the diffusion-reaction-advection model for mobile chemical species together with the dissolution and precipitation of immobile species in a porous medium at the micro-scale. This leads to a system of semilinear parabolic partial…
We prove a Large Deviations Principle (LDP) for systems of diffusions (particles) interacting through their ranks, when the number of particles tends to infinity. We show that the limiting particle density is given by the unique solution of…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
We develop an analytical theory for diffusive random lasers by coupling the transport theory of the disordered medium to the semiclassical laser rate equations, accounting for (coherent) stimulated and (incoherent) spontaneous emission.…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…