Related papers: Exact simulation of the first passage time through…
The stochastic solution with Gaussian stationary increments is establihsed for the symmetric space-time fractional diffusion equation when $0 < \beta < \alpha \le 2$, where $0 < \beta \le 1$ and $0 < \alpha \le 2$ are the fractional…
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…
Stochastic simulation methods can be applied successfully to model exact spatio-temporally resolved reaction-diffusion systems. However, in many cases, these methods can quickly become extremely computationally intensive with increasing…
Sampling from the posterior is a key technical problem in Bayesian statistics. Rigorous guarantees are difficult to obtain for Markov Chain Monte Carlo algorithms of common use. In this paper, we study an alternative class of algorithms…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
To describe the nonequilibrium states of a system we introduce a new thermodynamic parameter - the lifetime (the first passage time) of a system. The statistical distributions that can be obtained out of the mesoscopic description…
In this paper we consider large state space continuous time Markov chains (MCs) arising in the field of systems biology. For density dependent families of MCs that represent the interaction of large groups of identical objects, Kurtz has…
We establish an invariance principle for a one-dimensional random walk in a dynamical random environment given by a speed-change exclusion process. The jump probabilities of the walk depend on the configuration of the exclusion in a finite…
We study memory based random walk models to understand diffusive motion in crowded heterogeneous environment. The models considered are non-Markovian as the current move of the random walk models is determined by randomly selecting a move…
We investigate the mean first passage time of an active Brownian particle in one dimension using numerical simulations. The activity in one dimension is modeled as a two state model; the particle moves with a constant propulsion strength…
This article introduces two techniques for computing the distribution of the absorption or first passage time of the drifted Wiener diffusion subject to Poisson resetting times, to an upper hard wall barrier and to a lower absorbing…
Transport of particles through channels is of paramount importance in physics, chemistry and surface science due to its broad real world applications. Much insights can be gained by observing the transition paths of a particle through a…
Generative diffusion models have achieved remarkable success in producing high-quality images. However, these models typically operate in continuous intensity spaces, diffusing independently across pixels and color channels. As a result,…
Stochastic chemical systems with diffusion are modeled with a reaction-diffusion master equation. On a macroscopic level, the governing equation is a reaction-diffusion equation for the averages of the chemical species. On a mesoscopic…
We propose a new class of generative models that naturally handle data of varying dimensionality by jointly modeling the state and dimension of each datapoint. The generative process is formulated as a jump diffusion process that makes…
Diffusion Models generate data by reversing a stochastic diffusion process, progressively transforming noise into structured samples drawn from a target distribution. Recent theoretical work has shown that this backward dynamics can undergo…
We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeometric diffusions, which can all be…
In this work, we derive first order continuum traffic flow models from a microscopic delayed follow-the-leader model. Those are applicable in the context of vehicular traffic flow as well as pedestrian traffic flow. The microscopic model is…
In this work, we explore a time-fractional diffusion equation of order $\alpha \in (0,1)$ with a stochastic diffusivity parameter. We focus on efficient estimation of the expected values (considered as an infinite dimensional integral on…
We consider the stochastic ranking process with space-time dependent jump rates for the particles. The process is a simplified model of the time evolution of the rankings such as sales ranks at online bookstores. We prove that the joint…