Related papers: Fluctuation scaling limits for positive recurrent …
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
We consider sequences of additive functionals of difference approximations for uniformly non-degenerate multidimensional diffusions. The conditions are given, sufficient for such a sequence to converge weakly to a W-functional of the…
We study the fluctuations of the area $A=\int_0^T x(t) dt$ under a one-dimensional Brownian motion $x(t)$ in a trapping potential $\sim |x|$, at long times $T\to\infty$. We find that typical fluctuations of $A$ follow a Gaussian…
We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a…
Recent studies have shown that in the presence of noise both fronts propagating into a metastable state and so-called pushed fronts propagating into an unstable state, exhibit diffusive wandering about the average position. In this paper we…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
We investigate the fractional diffusion approximation of a kinetic equation in the upper-half plane with diffusive reflection conditions at the boundary. In an appropriate singular limit corresponding to small Knudsen number and long time…
Constrained diffusions in convex polyhedral domains with a general oblique reflection field, and with a diffusion coefficient scaled by a small parameter, are considered. Using an interior Dirichlet heat kernel lower bound estimate for…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
In a growing number of strongly disordered and dense systems, the dynamics of a particle pulled by an external force field exhibits super-diffusion. In the context of glass forming systems, super cooled glasses and contamination spreading…
Quantum fluctuations of lightcone are examined in a 4-dimensional spacetime with two parallel planes. Both the Dirichlet and the Neumann boundary conditions are considered. In all the cases we have studied, quantum lightcone fluctuations…
The standard diffusion processes are known to be obtained as the limits of appropriate random walks. These prelimiting random walks can be quite different however. The diffusion coefficient can be made responsible for the size of jumps or…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
We review our proof that in a scaling limit, the time evolution of a quantum particle in a static random environment leads to a diffusion equation. In particular, we discuss the role of Feynman graph expansions and of renormalization.
A model for diffusion in liquids that couples the dynamics of tracer particles to a fluctuating Stokes equation for the fluid is investigated in the limit of large Schmidt number. In this limit, the concentration of tracers is shown to…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…
We consider a positive recurrent one-dimensional diffusion process with continuous coefficients and we establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words we find some…
Let $u(t,\mathbf{x}),\ t>0,\ \mathbf{x}\in \mathbb{R}^{n},$ be the spatial-temporal random field arising from the solution of a relativistic diffusion equation with the spatial-fractional parameter $\alpha\in (0,2)$ and the mass parameter…
The well known scaling of the Edwards-Wilkinson equation is essentially determined by dimensional analysis. Once a drift term is added, more sophisticated reasoning is required, which initially suggests that the drift term dominates over…
We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities. Using these moment solutions, we construct closed-form…