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We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…
Constraints can affect dramatically the behavior of diffusion processes. Recently, we analyzed a natural and a technological system and reported that they perform diffusion-like discrete steps displaying a peculiar constraint, whereby the…
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…
We consider a one-dimensional diffusion process with coefficients that are periodic outside of a finite 'interface region'. The question investigated in this article is the limiting long time / large scale behaviour of such a process under…
We consider the long-time behavior of a diffusion process on $\mathbb{R}^d$ advected by a stationary random vector field which is assumed to be divergence-free, dihedrally symmetric in law and have a log-correlated potential. A special case…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
For a stopped diffusion process in a multidimensional time-dependent domain $\D$, we propose and analyse a new procedure consisting in simulating the process with an Euler scheme with step size $\Delta$ and stopping it at discrete times…
An asymptotic limit of a class of Cahn-Hilliard systems is investigated to obtain a general nonlinear diffusion equation. The target diffusion equation may reproduce a number of well-known model equations: Stefan problem, porous media…
We derive differential equations for multiplicative statistics of the Bessel determinantal point process depending on two parameters. In particular, we prove that such statistics are solutions to an integrable nonlinear partial differential…
A superconductive model characterized by a third order parabolic operator L" is analysed. When the viscous terms, represented by higher - order deriva- tives, tend to zero, a hyperbolic operator L0 appears. Furthermore, if P" is the…
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time. Such processes are constructed as limits of a sequence of…
We consider the interacting Bessel processes, a family of multiple-particle systems in one dimension where particles evolve as individual Bessel processes and repel each other via a log-potential. We consider two limiting regimes for this…
We propose a stochastic description of the dynamics of a Bose-Einstein condensate within the context of Nelson stochastic mechanics. We start from the $N$ interacting conservative diffusions, associated with the $N$ Bose particles, and take…
We provide a rigorous derivation of the brownian motion as the hydrodynamic limit of a deterministic system of hard-spheres as the number of particles $N$ goes to infinity and their diameter $\varepsilon$ simultaneously goes to $0,$ in the…
We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…
This paper is concerned with the blow-up property of solutions to an initial boundary value problem for a reaction diffusion equation with special diffusion processes. It is shown, under certain conditions on the initial data, that the…
We study the existence of Feller semigroups arising in the theory of multidimensional diffusion processes. We study bounded perturbations of elliptic operators with boundary conditions containing an integral over the closure of the domain…
We treat the problem of diffusion of solute atoms around screw dislocations. In particular, we express and solve the diffusion equation, in radial symmetry, in an elastic field of a screw dislocation subject to the flux conservation…
This paper introduces an approach to endow generative diffusion processes the ability to satisfy and certify compliance with constraints and physical principles. The proposed method recast the traditional sampling process of generative…
We consider overdamped Langevin diffusions in Euclidean space, with curvature equal to the spectral gap. This includes the Ornstein-Uhlenbeck process as well as non-Gaussian and non-product extensions with convex interaction, such as the…