Related papers: Conditioned diffusion processes with an absorbing …
We investigate the long-time behavior of the survival probability of a tagged particle in a single-file diffusion in a finite interval. The boundary conditions are of two types: 1) one boundary is absorbing the second is reflecting, 2) both…
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous…
A common approach for the numerical simulation of wave propagation on a spatially unbounded domain is to truncate the domain via an artificial boundary, thus forming a finite computational domain with an outer boundary. Absorbing boundary…
We consider a system of noncolliding Brownian motions introduced in our previous paper, in which the noncolliding condition is imposed in a finite time interval $(0,T]$. This is a temporally inhomogeneous diffusion process whose transition…
We study diffusion processes that are stopped or reflected on the boundary of a domain. The generator of the process is assumed to contain two parts: the main part that degenerates on the boundary in a direction orthogonal to the boundary…
We consider diffusion processes in media with pockets of large diffusivity. The asymptotic behavior of such processes is described when the diffusion coefficients in the pockets tend to infinity. The limiting process is identified as a…
We establish the fractional diffusion limit of the kinetic scattering equation with diffusive boundary condition in a strongly convex bounded domain $\mathcal{D}\subset\mathbb{R}^d$. According to the nature of the boundary condition, two…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
For a branching process in random environment it is assumed that the offspring distribution of the individuals varies in a random fashion, independently from one generation to the other. For the subcritical regime a kind of phase transition…
In the present paper, we characterize the behavior of supercritical branching processes in random environment with linear fractional offspring distributions, conditioned on having small, but positive values at some large generation. As it…
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when…
We demonstrate that absorbing phase transitions in one dimension may be induced by the dynamics of a single site. As an example we consider a one-dimensional model of diffusing particles, where a single site at the boundary evolves…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
For nonlinear discrete time systems satisfying a controllability condition, we present a stability condition for model predictive control without stabilizing terminal constraints or costs. The condition is given in terms of an analytical…
For an arbitrary diffusion process $X$ with time-homogeneous drift and variance parameters $\mu(x)$ and $\sigma^2(x)$, let $V_\varepsilon$ be $1/\varepsilon$ times the total time $X(t)$ spends in the strip…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
Conditioning a multitype Galton-Watson process to stay alive into the indefinite future leads to what is known as its associated $Q$-process. We show that the same holds true if the process is conditioned to reach a positive threshold or a…
An asymptotic analysis for a system with equation and dynamic boundary condition of Cahn-Hilliard type is carried out as the coefficient of the surface diffusion acting on the phase variable tends to 0, thus obtaining a forward-backward…
We consider a diffusion process with coefficients that are periodic outside of an 'interface region' of finite thickness. The question investigated in the articles [1,2] is the limiting long time / large scale behaviour of such a process…
The problem of conditioning a continuous-state branching process with quadratic competition (logistic CB process) on non-extinction is investigated. We first establish that non-extinction is equivalent to the total progeny of the population…