Related papers: Diffusion Means in Geometric Spaces

We introduce a simple yet powerful calculational tool useful in calculating averages of ratios and products of characteristic polynomials. The method is based on Dyson Brownian motion and Grassmann integration formula for determinants. It…

Anomalous-diffusion, the departure of the spreading dynamics of diffusing particles from the traditional law of Brownian-motion, is a signature feature of a large number of complex soft-matter and biological systems. Anomalous-diffusion…

We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…

Diffusivity is a key quantity in describing velocity fluctuations in granular materials. These fluctuations are the basis of many thermodynamic and hydrodynamic models which aim to provide a statistical description of granular systems. We…

Diffusion of small particles is omnipresent in a plentiful number of processes occurring in Nature. As such, it is widely studied and exerted in almost all branches of sciences. It constitutes such a broad and often rather complex subject…

Motivated by contemporary and rich applications of anomalous diffusion processes we propose a new statistical test for fractional Brownian motion, which is one of the most popular models for anomalous diffusion systems. The test is based on…

We present an analytical closed form expression, which gives a good approximate propagator for diffusion on the sphere. Our formula is the spherical counterpart of the Gaussian propagator for diffusion on the plane. While the analytical…

We discuss a new phenomenon of turbulent thermal diffusion associated with turbulent transport of aerosols in the atmosphere and in laboratory experiments. The essence of this phenomenon is the appearance of a nondiffusive mean flux of…

We consider n-point sticky Brownian motions: a family of n diffusions that evolve as independent Brownian motions when they are apart, and interact locally so that the set of coincidence times has positive Lebesgue measure with positive…

We present a study of sound wave propagation in a time dependent random medium and an application to imaging. The medium is modeled by small temporal and spatial random fluctuations in the wave speed and density, and it moves due to an…

We discuss the distribution of various estimators for extracting the diffusion constant of single Brownian trajectories obtained by fitting the squared displacement of the trajectory. The analysis of the problem can be framed in terms of…

Einstein's theory of Brownian motion is revisited in order to formulate generalized kinetic theory of anomalous diffusion. It is shown that if the assumptions of analyticity and the existence of the second moment of the displacement…

Giant diffusion, where the diffusion coefficient of a Brownian particle in a periodic potential with an external force is significantly enhanced by the external force, is a non-trivial non-equilibrium phenomenon. We propose a simple…

We study the statistical properties of the time-averaged mean-square displacements (TAMSD). This is a standard non-local quadratic functional for inferring the diffusion coefficient from an individual random trajectory of a diffusing tracer…

A variety of researchers have successfully obtained the parameters of low dimensional diffusion models using the data that comes out of atomistic simulations. This naturally raises a variety of questions about efficient estimation,…

The properties of diffusion processes are drastically affected by heterogeneities of the medium that can induce non-Gaussian behavior of the propagator in contrast with the idealized realm of Brownian motion. In this paper we analyze the…

Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The…

We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the…

Can a diffusion model produce its own "mental average" of a concept-one that is as sharp and realistic as a typical sample? We introduce Diffusion Mental Averages (DMA), a model-centric answer to this question. While prior methods aim to…

The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…