Related papers: Local behavior of diffusions at the supremum

Let $X=(X_t)_{t\ge0}$ be a stable L\'{e}vy process of index $\alpha \in(1,2)$ with no negative jumps and let $S_t=\sup_{0\le s\le t}X_s$ denote its running supremum for $t>0$. We show that the density function $f_t$ of $S_t$ can be…

For general $\beta \geq 1$, we consider Dyson Brownian motion at equilibrium and prove convergence of the extremal particles to an ensemble of continuous sample paths in the limit $N \to \infty$. For each fixed time, this ensemble is…

In this work, we focus on the behavior of a single passive Brownian particle in a suspension of passive particles with short-range repulsive interactions and a larger self-diffusion coefficient. While the forces affecting the…

It is known since Kellerer (1972) that for any process that is increasing for the convex order, or "peacock" as in Hirsch et al. 2011, there exist martingales with the same marginals laws. Nevertheless, there is no general constructive…

We study the asymptotic behaviour of the maximum local time L*(t) of the Brox's process, the diffusion in Brownian environment. Shi proved that the maximum speed of L*(t) is surprisingly, at least t log(log(log t)) whereas in the discrete…

Let $X_H(t), t\ge 0$ be a fractional Brownian motion with Hurst index $H\in(0,1}$ and define a gamma-reflected process $W_\Ga(t)=X_H(t)-ct-\gammainf_{s\in[0,t]}\left(X_H(s)-cs \right)$, $t\ge0$ with $c>0,\gamma \in [0,1]$ two given…

Random walks in random scenery are processes defined by $Z_n:=\sum_{k=1}^n\xi_{X_1+...+X_k}$, where basically $(X_k,k\ge 1)$ and $(\xi_y,y\in\mathbb Z)$ are two independent sequences of i.i.d. random variables. We assume here that $X_1$ is…

We consider the long-time behavior of a diffusion process on $\mathbb{R}^d$ advected by a stationary random vector field which is assumed to be divergence-free, dihedrally symmetric in law and have a log-correlated potential. A special case…

The aim of this paper is two-fold. On one hand, we will study the distorted Brownian motion on $\mathbb{R}$, i.e. the diffusion process $X$ associated with a regular and strongly local Dirichlet form obtained by the closure of…

Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…

Physical Brownian motion describes the dynamics of a Brownian particle experiencing frictional force. It was investigated in the classical work [L. S. Ornstein and G. E. Uhlenbeck, Phys. Rev. 36 (1930)] as a physically meaningful approach…

This paper investigates the exit-time problem for time-inhomogeneous diffusion processes. The focus is on the small-noise behavior of the exit time from a bounded positively invariant domain. We demonstrate that, when the drift and…

We consider a drift-diffusion process with a time-independent and divergence-free random drift that is of white-noise character. We are interested in the critical case of two space dimensions, where one has to impose a small-scale cut-off…

Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…

We study the large time behavior of solutions to a non-local diffusion equation, $u_t=J*u-u$ with $J$ smooth, radially symmetric and compactly supported, posed in $\mathbb{R}_+$ with zero Dirichlet boundary conditions. In sets of the form…

We prove uniqueness of a martingale problem with boundary conditions on a simplex associated to a differential operator with an unbounded drift. We show that the solution of the martingale problem remains absorbed at the boundary once it…

Let $X=\{X(t), t\geq 0\}$ be a Brownian motion or a spectrally negative stable process of index $1<\a<2$. Let $E=\{E(t),t\geq 0\}$ be the hitting time of a stable subordinator of index $0<\beta<1$ independent of $X$. We use a connection…

It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time.…

We consider a perturbed ordinary differential equation where the perturbation is only significant when a one-dimensional null recurrent diffusion is close to zero. We investigate the first order correction to the unperturbed system and…

There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of minimality in the SEP leads to the new and useful concept of a…