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We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…

Numerical Analysis · Mathematics 2021-05-24 G. Deligiannidis , S. Maurer , M. V. Tretyakov

In this article we consider regularizations of the Dirac delta distribution with applications to prototypical elliptic and hyperbolic partial differential equations (PDEs). We study the convergence of a sequence of distributions…

Numerical Analysis · Mathematics 2016-11-01 Bamdad Hosseini , Nilima Nigam , John M. Stockie

Large deviations of conservative interacting particle systems, such as the zero range process, about their hydrodynamic limit and their respective rate functions lead to the analysis of the skeleton equation; a degenerate…

Probability · Mathematics 2022-03-16 Benjamin Fehrman , Benjamin Gess

It has recently been demonstrated that locality of spatial supports in the parametrization of coefficients in elliptic PDEs can lead to improved convergence rates of sparse polynomial expansions of the corresponding parameter-dependent…

Numerical Analysis · Mathematics 2017-07-11 Markus Bachmayr , Albert Cohen , Dinh Dũng , Christoph Schwab

A variant of the Parareal method for highly oscillatory systems of PDEs was proposed by Haut and Wingate (2014). In that work they proved superlinear conver- gence of the method in the limit of infinite time scale separation. Their coarse…

Numerical Analysis · Mathematics 2017-05-29 Adam Peddle , Terry Haut , Beth Wingate

In a celebrated paper, Dyson shows that the spectrum of an n\times n random Hermitian matrix, diffusing according to an Ornstein-Uhlenbeck process, evolves as n noncolliding Brownian motions held together by a drift term. The universal edge…

Probability · Mathematics 2007-05-23 Mark Adler , Pierre van Moerbeke

We prove existence and Sobolev regularity of solutions of a nonlinear system of degenerate-parabolic PDEs with self- and cross-diffusion, transport/confinement and nonlocal interaction terms. The macroscopic system of PDEs is formally…

Analysis of PDEs · Mathematics 2021-06-01 Luca Alasio , Maria Bruna , Simone Fagioli , Simon Schulz

The diffusive transport distance, a novel pseudo-metric between probability measures on the real line, is introduced. It generalizes Martingale optimal transport, and forms a hierarchy with the Hellinger and the Wasserstein metrics. We…

Analysis of PDEs · Mathematics 2025-01-27 Daniel Matthes , Eva-Maria Rott , André Schlichting

Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…

Machine Learning · Computer Science 2024-07-18 Xingzi Xu , Ali Hasan , Jie Ding , Vahid Tarokh

In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…

Probability · Mathematics 2009-09-23 Shige Peng , Mingyu Xu

In this paper we consider a class of one-dimensional interacting particle systems in equilibrium, constituting a dynamic random environment, together with a nearest-neighbor random walk that on occupied/vacant sites has a local drift to the…

Probability · Mathematics 2009-11-13 L. Avena , F. den Hollander , F. Redig

In this note, we give an original convergence result for products of independent random elements of motion group. Then we consider dynamic random walks which are inhomogeneous Markov chains whose transition probability of each step is, in…

Probability · Mathematics 2010-03-04 C. R. E. Raja , R. Schott

In this paper, we extend a result of Kesten and Spitzer (1979). Let us consider a stationary sequence $(\xi\_k:=f(T^k(.)))\_k$ given by an invertible probability dynamical system and some centered function $f$. Let $(S\_n)\_n$ be a simple…

Dynamical Systems · Mathematics 2007-05-23 Francoise Pene

We study existence, uniqueness, and distributional aspects of generalized solutions to the Cauchy problem for first-order symmetric (or Hermitian) hyperbolic systems of partial differential equations with Colombeau generalized functions as…

Analysis of PDEs · Mathematics 2011-11-10 Guenther Hoermann , Christian Spreitzer

We derive a functional central limit theorem for the excursion of a random walk conditioned on sweeping a prescribed geometric area. We assume that the increments of the random walk are integer-valued, centered, with a third moment equal to…

Probability · Mathematics 2019-10-30 Philippe Carmona , Nicolas Pétrélis

We apply the theory of Lie point symmetries for the study of a family of partial differential equations which are integrable by the hyperbolic reductions method and are reduced to members of the Painlev\'{e} transcendents. The main results…

Exactly Solvable and Integrable Systems · Physics 2022-08-08 Andronikos Paliathanasis

Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…

Statistical Mechanics · Physics 2024-03-01 Guoxing Lin , Shaokun Zheng

We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution.…

Probability · Mathematics 2020-03-13 Sean D. Lawley , Jonathan C. Mattingly , Michael C. Reed

L\'{e}vy robotic systems combine superdiffusive random movement with emergent collective behaviour from local communication and alignment in order to find rare targets or track objects. In this article we derive macroscopic fractional PDE…

Robotics · Computer Science 2020-03-06 Gissell Estrada-Rodriguez , Heiko Gimperlein

We study the evolution of a random walker on a conservative dynamic random environment composed of independent particles performing simple symmetric random walks, generalizing results of [16] to higher dimensions and more general transition…