Related papers: Local explosions and extinction in continuous-stat…
Spatio-temporal hierarchical modeling is an extremely attractive way to model the spread of crime or terrorism data over a given region, especially when the observations are counts and must be modeled discretely. The spatio-temporal…
We study the two-species diffusion-annihilation process, $A+B\rightarrow$ \O, on the fully-connected lattice. Probability distributions for the number of particles and the reaction time are obtained for a finite-size system using a master…
Markovian diffusion processes yield a system of conservation laws which couple various conditional expectation values (local moments). Solutions of that closed system of deterministic partial differential equations stand for a regular…
In this paper, we introduce branching processes in a L\'evy random environment. In order to define this class of processes, we study a particular class of non-negative stochastic differential equations driven by Brownian motions and Poisson…
We consider the initial value problem for the thermal-diffusive combustion systems of the form: $u_{1,t}= Delta_{x}u_1 - u_1 u_2^m$, $u_{2,t}= d Delta_{x} u_2 + u_1 u_2^m$, $x in R^{n}$, $n geq 1$, $m geq 1$, $d > 1$, with bounded uniformly…
For the continuous-time $\lambda$-recurrent jump process, the $\lambda$-recurrence assures the existence of quasi-stationary distribution when it has finite exit states (the states that have positive killing rates). And we give an explicit…
We discuss velocity-jump models for chemotaxis of bacteria with an internal state that allows the velocity jump rate to depend on the memory of the chemoattractant concentration along their path of motion. Using probabilistic techniques, we…
Solving statistical learning problems often involves nonconvex optimization. Despite the empirical success of nonconvex statistical optimization methods, their global dynamics, especially convergence to the desirable local minima, remain…
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynamics. The discrete time sequences are specified in terms of an…
We consider a generic class of stochastic particle-based models whose state at an instant in time is described by a set of continuous degrees of freedom (e.g. positions), and the length of this set changes stochastically in time due to…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
Richardson's theory of turbulent particle pair diffusion [Richardson, L. F. Proc. Roy. Soc. Lond. A 100, 709--737, 1926], based upon observational data, is equivalent to a locality hypothesis in which the turbulent pair diffusivity $(K)$…
For the 2D matrix Langevin dynamics that corresponds to the continuous-time limit of the product of some $2 \times 2$ random matrices, the finite-time Lyapunov exponent can be written as an additive functional of the associated Riccati…
A branching process $Z$ is said to be non conservative if it hits $\infty$ in a finite time with positive probability. It is well known that this happens if and only if the branching mechanism $\varphi$ of $Z$ satisfies…
We consider conservative cross-diffusion systems for two species where individual motion rates depend linearly on the local density of the other species. We develop duality estimates and obtain stability and approximation results. We first…
We consider an individual-based spatially structured population for Darwinian evolution in an asexual population. The individuals move randomly on a bounded continuous space according to a reflected brownian motion. The dynamics involves…
Extinction is the ultimate absorbing state of any stochastic birth-death process, hence the time to extinction is an important characteristic of any natural population. Here we consider logistic and logistic-like systems under the combined…
We study Langevin dynamics with stochastic diffusivity arising from fluctuations of the surrounding medium. The diffusivity is modeled as Ornstein-Uhlenbeck process driven by symmetric dichotomous noise, which confines it to a finite…
We introduce a random variable approach to investigate the dynamics of a dissipative two-state system. Based on an exact functional integral description, our method reformulates the problem as that of the time evolution of a quantum state…
We consider a critical continuous-time branching process (a Yule process) in which the individuals independently execute symmetric $\alpha-$stable random motions on the real line starting at their birth points. Because the branching process…