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The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
We consider a countable system of interacting (possibly non-Markovian) stochastic differential equations driven by independent Brownian motions and indexed by the vertices of a locally finite graph $G = (V,E)$. The drift of the process at…
This study presents an efficient, accurate, effective and unconditionally stable time stepping scheme for the Darcy-Brinkman equations in double-diffusive convection. The stabilization within the proposed method uses the idea of stabilizing…
We compare the rate of convergence to the time average of a function over an integrable Hamiltonian flow with the one obtained by a stochastic perturbation of the same flow. Precisely, we provide detailed estimates in different Fourier…
A time-varying empirical spectral process indexed by classes of functions is defined for locally stationary time series. We derive weak convergence in a function space, and prove a maximal exponential inequality and a…
We present a detailed analysis of non-degenerate time-homogeneous It\^o-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability…
In this paper we consider approximations to the popular Pitman-Yor process obtained by truncating the stick-breaking representation. The truncation is determined by a random stopping rule that achieves an almost sure control on the…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
Adsorption to a surface, reversible-binding, and trapping are all prevalent scenarios where particles exhibit "stickiness". Escape and first-passage times are known to be drastically affected, but detailed understanding of this phenomenon…
By use of window functions, time-frequency analysis tools like Short Time Fourier Transform overcome a shortcoming of the Fourier Transform and enable us to study the time- frequency characteristics of signals which exhibit transient os-…
We present technical results required for the description and understanding of correlations and fluctuations of the empirical density and current as well as diverse time-integrated and time-averaged thermodynamic currents of diffusion…
For a diffusion process $X(t)$ of drift $\mu(x)$ and of diffusion coefficient $D=1/2$, we study the joint distribution of the two local times $A(t)= \int_{0}^{t} d\tau \delta(X(\tau)) $ and $B(t)= \int_{0}^{t} d\tau \delta(X(\tau)-L) $ at…
I describe the Time-Dependent Superfluid Local Density Approximation, which is an adiabatic extension of the Density Functional Theory to superfluid Fermi systems and their real-time dynamics. This new theoretical framework has been applied…
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which…
Using extensive Brownian dynamics computer simulations, the long-time self-diffusion coefficient is calculated for Gaussian-core particles as a function of the number density. Both spherical and rod-like particles interacting via Gaussian…
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…
We study the symmetric inclusion process (SIP) in the condensation regime. We obtain an explicit scaling for the variance of the density field in this regime, when initially started from a homogeneous product measure. This provides relevant…
We derive and analyze new diffusion approximations of stationary distributions of Markov chains that are based on second- and higher-order terms in the expansion of the Markov chain generator. Our approximations achieve a higher degree of…
Of primary interest in this paper is the numerical approximation of a time dependent fractional, in space, diffusion equation where the domain is assumed to be nonhomogeneous, having different axial diffusion coefficients. This work is…