Related papers: On partially observed jump diffusions II. The filt…
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 study the deterministic diffusion coefficient of the two-dimensional periodic Lorentz gas as a function of the density of scatterers. Results obtained from computer simulations are compared to the analytical approximation of Machta and…
A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process (K(t), i(t), Y(t)), where (K(t), i(t)) is an autonomous reversible jump process, with waiting times between two jumps with…
In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…
We study enhancement of diffusive mixing on a compact Riemannian manifold by a fast incompressible flow. Our main result is a sharp description of the class of flows that make the deviation of the solution from its average arbitrarily small…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
The fractional diffusion equation is rigorously derived as a scaling limit from a deterministic Rayleigh gas, where particles interact via short range potentials with support of size $\varepsilon$ and the background is distributed in space…
In this article we address the problem of the nonlinear interaction of subdiffusive particles. We introduce the random walk model in which statistical characteristics of a random walker such as escape rate and jump distribution depend on…
We investigate a stochastic process consisting of a two-dimensional particle with anisotropic diffusion, mortality rate and a drift velocity, in the presence of an absorbing boundary. After the particle has encountered the boundary, the…
The behavior of slow-fast diffusions as the separation of scale diverges is a well-studied problem in the literature. In this short paper, we revisit this problem and obtain a new proof of existing strong quantitative convergence estimates…
We develop several statistical tests of the determinant of the diffusion coefficient of a stochastic differential equation, based on discrete observations on a time interval $[0,T]$ sampled with a time step $\Delta$. Our main contribution…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
We study nonparametric Bayesian statistical inference for the parameters governing a pure jump process of the form $$Y_t = \sum_{k=1}^{N(t)} Z_k,~~~ t \ge 0,$$ where $N(t)$ is a standard Poisson process of intensity $\lambda$, and $Z_k$ are…
In this article we consider the estimation of static parameters for partially observed diffusion process with discrete-time observations over a fixed time interval. In particular, we assume that one must time-discretize the partially…
A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It\^{o} stochastic differential equation, and the fast component is a…
We study mean-field inclusion processes with an additional slow phase, in which particle interactions occur at a vanishing rate proportional to the inverse system size. In the thermodynamic limit, such systems exhibit condensation at high…
Let a lattice gas of constant density, described by the symmetric simple exclusion process, be brought in contact with a "target": a spherical absorber of radius $R$. Employing the macroscopic fluctuation theory (MFT), we evaluate the…
This article investigates several properties related to densities of solutions X to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density…
In this paper, we consider a diffusion process with jumps whose drift and jump coefficient depend on an unknown parameter. We then give a self-contained proof of the local asymptotic mixed normality (LAMN) property when the process is…
Suppose that a point-like steady source at $x=0$ injects particles into a half-infinite line. The particles diffuse and die. At long times a non-equilibrium steady state sets in, and we assume that it involves many particles. If the…