Related papers: On partially observed jump diffusions III. Regular…
Recently, Roht et al. [J. Contam. Hydrol. 145, 10-16 (2013)] observed that the presence of suspended non-Brownian macroscopic particles decreased the dispersivity of a passive solute, for a pressure-driven flow in a narrow parallel-plates…
For continuous-time linear stochastic dynamical systems driven by Wiener processes, we consider the problem of designing ensemble filters when the observation process is randomly time-sampled. We propose a continuous-discrete McKean--Vlasov…
We reconsider the problem of diffusion of particles at constant speed and present a generalization of the Telegrapher process to higher dimensional stochastic media ($d>1$), where the particle can move along $2^d$ directions. We derive the…
We discuss the combined effects of overdamped motion in a quenched random potential and diffusion, in one dimension, in the limit where the diffusion coefficient is small. Our analysis considers the statistics of the mean first-passage time…
Traditional turbulence models are derived for single-phase flow. Extension of the family of two-equation turbulence models for two-phase flow is obtained via scaling the transport equations by the density. In the special case of two-phase…
We investigate diffusion-type partial differential equations that are irregular in the sense that they admit weak solutions which are nowhere smooth, even for prescribed smooth data. By reformulating these equations as first-order partial…
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…
It has been noticed that when the waiting time distribution exhibits a transition from an intermediate time power law decay to a long-time exponential decay in the continuous time random walk model, a transition from anomalous diffusion to…
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…
Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t(x))$ is a diffusion process satisfying the stochastic differential equation with diffusion and drift coefficients $\sigma: \R^n\to \R^n\otimes \R^d$, $b: \R^n\to…
Feature selection procedures for spatial point processes parametric intensity estimation have been recently developed since more and more applications involve a large number of covariates. In this paper, we investigate the setting where the…
Transport of point-size Brownian particles under the influence of a constant and uniform force field through a three-dimensional channel with smoothly varying periodic cross-section is investigated. Here, we employ an asymptotic analysis in…
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…
Fast data generation based on Machine Learning has become a major research topic in particle physics. This is mainly because the Monte Carlo simulation approach is computationally challenging for future colliders, which will have a…
The input-output behaviour of the Wiener neuronal model subject to alternating input is studied under the assumption that the effect of such an input is to make the drift itself of an alternating type. Firing densities and related…
We consider a system of particles undergoing correlated diffusion with elastic boundary conditions on the half-line. By taking the large particle limit we establish existence and uniqueness for the limiting empirical measure valued process…
Motivated by the observation that anomalous diffusion is a realistic feature in the dynamics of biological populations, we investigate its implications in a paradigmatic model for the evolution of a single species density $u(x,t)$. The…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
We present a multiscale approach to model diffusion in a crowded environment and its effect on the reaction rates. Diffusion in biological systems is often modeled by a discrete space jump process in order to capture the inherent noise of…