Related papers: Diffusion limit for a stochastic kinetic problem w…
This paper is devoted to diffusion limits of linear Boltzmann equations. When the equilibrium distribution function is Maxwellian distribution, it is well known that for an appropriate time scale, the small mean free path limit gives rise…
This short survey article stems from recent progress on critical cases of stochastic evolution equations in variational formulation with additive, multiplicative or gradient noises. Typical examples appear as the limit cases of the…
Currently, there is no general theory for deriving diffusion approximations of queueing systems with high- or infinite-dimensional state descriptors. In this paper, we explore one path for deriving diffusion limit equations of queueing…
The paper presents a generalization of the local limit theorem on the convergence of inhomogeneous Markov chains to the diffusion limit for the case where the corresponding process coefficients satisfy weak regularity conditions and…
We consider a class of stochastic kinetic equations, depending on two time scale separation parameters $\epsilon$ and $\delta$: the evolution equation contains singular terms with respect to $\epsilon$, and is driven by a fast ergodic…
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 consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and 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…
The paper examines stochastic diffusion within an expanding space-time framework. It starts with providing a rationale for the considered model and its motivation from cosmology where the expansion of space-time is used in modelling various…
The evolution of dispersal is a classical question in evolutionary biology, and it has been studied in a wide range of mathematical models. A selection-mutation model, in which the population is structured by space and a phenotypic trait,…
Two types of random evolution processes are studied for ensembles of the standard map with driving parameter $K$ that determines its degree of stochasticity. For one type of processes the parameter $K$ is chosen at random from a Gaussian…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
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…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
In this article, we investigate the asymptotic behavior of the solution to a one-dimensional stochastic heat equation with random nonlinear term generated by a stationary, ergodic random field. We extend the well-known central limit theorem…
Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…
We prove anomalous-diffusion scaling for a one-dimensional stochastic kinetic dynamics, in which the stochastic drift is driven by an exogenous Bessel noise, and also includes endogenous volatility which is permitted to have arbitrary…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We consider a random process as a solution of stochastic differential equations with dependence of the coefficients on small parameter $\varepsilon$ and we suppose that the drift coefficients of these equations are unbounded on the…
We consider in this paper a solvable model for the motion of molecular motors. Based on the averaging principle, we reduce the problem to a diffusion process on a graph. We then calculate the effective speed of transportation of these…