Related papers: Time reversal of diffusion processes under a finit…
Using martingale theory, we compute, in very few lines, exact analytical expressions for various first-exit-time statistics associated with one-dimensional biased diffusion. Examples include the distribution for the first-exit time from an…
A standard inverse problem is to determine a source which is supported in an unknown domain $D$ from external boundary measurements. Here we consider the case of a time-dependent situation where the source is equal to unity in an unknown…
In this work, we study the inverse problem of recovering a potential coefficient in the subdiffusion model, which involves a Djrbashian-Caputo derivative of order $\alpha\in(0,1)$ in time, from the terminal data. We prove that the inverse…
This paper studies the loss of the semimartingale property of the process $g(Y)$ at the time a one-dimensional diffusion $Y$ hits a level, where $g$ is a difference of two convex functions. We show that the process $g(Y)$ can fail to be a…
Over the last two decades, anomalous diffusion processes in which the mean squares variance grows slower or faster than that in a Gaussian process have found many applications. At a macroscopic level, these processes are adequately…
This paper develops a rigorous probabilistic framework that extends denoising diffusion models to the setting of noncommutative random variables. Building on Voiculescu's theory of free entropy and free Fisher information, we formulate…
As a fundamental thermodynamic principle, speed limits reveal the lower bound of entropy production (EP) required for a system to transition from a given initial state to a final state. While various speed limits have been developed for…
The time independent mean field method (TIMF) for the calculation of matrix elements of non relativistic propagators is based on a variational principle whose non linearity induces a multiplicity of variational solutions. Several of them…
This paper is devoted to the error analysis of a time-spectral algorithm for fractional diffusion problems of order $\alpha$ ($0 < \alpha < 1$). The solution regularity in the Sobolev space is revisited, and new regularity results in the…
In this work, we investigate an inverse problem of recovering multiple orders in a time-fractional diffusion model from the data observed at one single point on the boundary. We prove the unique recovery of the orders together with their…
Quantum transition amplitudes are formulated for a model system with local internal time, using path integrals. The amplitudes are shown to be more regular near a turning point of internal time than could be expected based on existing…
We propose and investigate a method for identifying timescales of dissipation in nonequilibrium steady states modeled as discrete-state Markov jump processes. The method is based on how the irreversibility-measured by the statistical…
In this paper, we investigate the direct and linear inverse problems of identifying time-dependent and time-independent source terms in a time-fractional diffusion-wave equation, using measured data at an interior point of the time…
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…
We consider a class of discrete-time random walks with directed unit steps on the integer line. The direction of the steps is reversed at the time instants of events in a discrete-time renewal process and is maintained at uneventful time…
We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the…
This paper explores the forward and inverse problems for a fractional subdiffusion equation characterized by time-dependent diffusion and reaction coefficients. Initially, the forward problem is examined, and its unique solvability is…
Inference-time controllable generation is essential for real-world applications of unconditional diffusion models. However, most existing techniques focus on individual samples, struggling in applications that require the sample population…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an…
The time variation of entropy, as an alternative to the variance, is proposed as a measure of the diffusion rate. It is shown that for linear and time-translationally invariant systems having a large-time limit for the density, at large…