Related papers: Diffusion approximation for fully coupled stochast…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
In earlier papers Poisson equation in the whole space was studied for so called ergodic generators $L$ corresponding to homogeneous Markov diffusions ($X_t, \, t\ge 0$) in $\mathbb R^d$. Solving this equation is one of the main tools for…
We prove regularity and stochastic homogenization results for certain degenerate elliptic equations in nondivergence form. The equation is required to be strictly elliptic, but the ellipticity may oscillate on the microscopic scale and is…
We derive the hydrodynamic limit of a kinetic equation with a stochastic, short range perturbation of the velocity operator. Under some mixing hypotheses on the stochastic perturbation, we establish a diffusion-approximation result: the…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
In this paper we study the diffusion approximation of a swarming model given by a system of interacting Langevin equations with nonlinear friction. The diffusion approximation requires the calculation of the drift and diffusion coefficients…
In the present contribution we establish quantitative results on the periodic approximation of the corrector equation for the stochastic homogenization of linear elliptic equations in divergence form, when the diffusion coefficients satisfy…
We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
We study the Poisson equation Lu+f=0 in R^d, where L is the infinitesimal generator of a diffusion process. In this paper, we allow the second-order part of the generator L to be degenerate, provided a local condition of Doeblin type is…
In this note, we discuss the uniform ergodicity of a diffusion process given by an It\^o stochastic differential equation. We present an integral condition in terms of the drift and diffusion coefficients that ensures the uniform ergodicity…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
In this article we study the numerical approximation of a variable coefficient fractional diffusion equation. Using a change of variable, the variable coefficient fractional diffusion equation is transformed into a constant coefficient…
In this paper we investigate the approximation of a diffusion model problem with contrasted diffusivity and the error analysis of various nonconforming approximation methods. The essential difficulty is that the Sobolev smoothness index of…
Translational diffusion coefficients are routinely estimated from molecular dynamics simulations. Linear fits to mean squared displacement (MSD) curves have become the de facto standard, from simple liquids to complex biomacromolecules.…
This paper concerns the use of the expectation-maximisation (EM) algorithm for inference in partially observed diffusion processes. In this context, a well known problem is that all except a few diffusion processes lack closed-form…
We construct a novel estimator for the diffusion coefficient of the limiting homogenized equation, when observing the slow dynamics of a multiscale model, in the case when the slow dynamics are of bounded variation. Previous research…