Related papers: Random walk approximation for irreversible drift-d…
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can…
We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…
We present an exact solution for one-dimensional overdamped dynamics near a hard wall, allowing us to connect steady-state distributions under confinement with the extreme value statistics of unconfined stochastic processes. This mapping…
We demonstrate the non-ergodicity of a simple Markovian stochastic processes with space-dependent diffusion coefficient $D(x)$. For power-law forms $D(x) \simeq|x|^{\alpha}$, this process yield anomalous diffusion of the form $\ < x^2(t)\ >…
We study the main properties of the solution of a Fokker-Planck equation characterized by a variable diffusion coefficient and a polynomial superlinear drift, modeling the formation of consensus in a large interacting system of individuals.…
The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the…
Computing the stochastic entropy production associated with the evolution of a stochastic dynamical system is a well-established problem. In a small number of cases such as the Ornstein-Uhlenbeck process, of which we give a complete…
A physical-mathematical approach to anomalous diffusion may be based on fractional diffusion equations and related random walk models. The fundamental solutions of these equations can be interpreted as probability densities evolving in time…
We present a Master Equation formulation based on a Markovian random walk model that exhibits sub-diffusion, classical diffusion and super-diffusion as a function of a single parameter. The non-classical diffusive behavior is generated by…
Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin process whose friction coefficient depends on the state of a similar, unobserved process. Integrating out the latter, we derive the long…
Fluid transport networks are important in many natural settings and engineering applications, from animal cardiovascular and respiratory systems to plant vasculature to plumbing networks and chemical plants. Understanding how network…
A free boundary diffusive logistic model finds application in many different fields from biological invasion to wildfire propagation. However, many of these processes show a random nature and contain uncertainties in the parameters. In this…
Via a Dirichlet form extension theorem and making full use of two-sided heat kernel estimates, we establish quenched invariance principles for random walks in random environments with a boundary. In particular, we prove that the random walk…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
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…
The asymptotic analysis of a linear high-field Wigner-BGK equation is developped by a modified Chapman-Enskog procedure. By an expansion of the unknown Wigner function in powers of the Knudsen number $\epsilon$, evolution equations are…
We obtain equilibration rates for a one-dimensional nonlocal Fokker-Planck equation with time-dependent diffusion coefficient and drift, modeling the relaxation of a large swarm of robots, feeling each other in terms of their distance,…
We show that the Turing patterns in reaction systems with subdiffusion can be replicated in an effective system with Markovian cross-diffusion. The effective system has the same Turing instability as the original system, and the same…
We present a stochastic and variational aspect of the Lax-Friedrichs scheme applied to hyperbolic scalar conservation laws. This is a finite difference version of Fleming's results ('69) that the vanishing viscosity method is characterized…
The pinning of flux lattices by weak impurity disorder is studied in the absence of free dislocations using both the gaussian variational method and, to $O(\epsilon=4-d)$, the functional renormalization group. We find universal logarithmic…