Related papers: Conditioning two diffusion processes with respect …
Let $\{Z_{m},m\geq 0\}$ be a critical branching process in random environment and $\{S_{m},m\geq 0\}$ be its associated random walk. Assuming that the increments distribution of the associated random walk belongs without centering to the…
Suppose that a $d$-dimensional domain is filled with a gas of (in general, interacting) diffusive particles with density $n_0$. A particle is absorbed whenever it reaches the domain boundary. Employing macroscopic fluctuation theory, we…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…
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. Interestingly there is the possibility that the…
Conditional specification of distributions is a developing area with increasing applications. In the finite discrete case, a variety of compatible conditions can be derived. In this paper, we propose an alternative approach to study the…
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…
Probabilistic conditioning is concerned with the identification of a distribution of a random variable $X$ given a random variable $Y$. It is a cornerstone of scientific and engineering applications where modeling uncertainty is key. This…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
We define a new variant of exclusion processes in discrete time that has jump probabilities that depend on the last jump performed. In a particular limit for the jump probabilities and in suitable scaling limits for space and time, we…
In this paper we consider two branching processes living in a joint random environment. Assuming that both processes are critical we address the following question: What is the probability that both populations survive up to a large time…
We introduce a method of intervals for the analysis of diffusion-limited annihilation, A+A -> 0, on the line. The method leads to manageable diffusion equations whose interpretation is intuitively clear. As an example, we treat the…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
Consider a stable L\'evy process $X=(X_t,t\geq 0)$ and let $T_x$, for $x>0$, denote the first passage time of $X$ above the level $x$. In this work, we give an alternative proof of the absolute continuity of the law of $T_x$ and we obtain a…
An approach to reasoning with default rules where the proportion of exceptions, or more generally the probability of encountering an exception, can be at least roughly assessed is presented. It is based on local uncertainty propagation…
We introduce DeepFHT, a survival-analysis framework that couples deep neural networks with first hitting time (FHT) distributions from stochastic process theory. Time to event is represented as the first passage of a latent diffusion…
In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with a regular or exit boundary at 0 and an entrance boundary at $\infty$. By using the Doob's $h$-transform, we show that the conditional…
The diffusion of finite-size hard-core interacting particles in two- or three-dimensional confined domains is considered in the limit that the confinement dimensions become comparable to the particle's dimensions. The result is a nonlinear…
We study dynamics of filling of an initially empty finite medium by diffusing particles $A$ and $B$, which arise on the surface upon dissociation of $AB$ molecules, impinging on it with a fixed flux density $I$, and desorb from it by the…
We consider diffusion processes x_{t} on the unit interval. Doob-transformation techniques consist of a selection of x_{t}-paths procedure. The law of the transformed process is the one of a branching diffusion system of particles, each…