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Bessel processes associated with the root systems $A_{N-1}$ and $B_N$ describe interacting particle systems with $N$ particles on $\mathbb R$; they form dynamic versions of the classical $\beta$-Hermite and Laguerre ensembles. In this paper…
We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the coordinates of the process and diffusion matrix proportional…
Diffusion processes have been widely used for approximations in the queueing theory. There are different types of diffusion approximations. Among them, we are interested in those obtained through limits of a sequence of models which…
We lead the algorithm of expansion of sojourn probability of many-dimensional diffusion processes in small domain. The principal member of this expansion defines normalizing coefficient for special limit theorems.
A finite difference method is constructed to solve singularly perturbed convection-diffusion problems posed on smooth domains. Constraints are imposed on the data so that only regular exponential boundary layers appear in the solution. A…
We introduce diffusions on a space of interval partitions of the unit interval that are stationary with the Poisson-Dirichlet laws with parameters $(\alpha,0)$ and $(\alpha,\alpha)$. The construction has two steps. The first is a general…
Constrained diffusions in convex polyhedral domains with a general oblique reflection field, and with a diffusion coefficient scaled by a small parameter, are considered. Using an interior Dirichlet heat kernel lower bound estimate for…
This article discusses the modeling of perturbed potential temperature in an atmospheric boundary layer. We adopt a convection-diffusion model with specified initial and boundary conditions that resulted from simplifying the linearized…
The aim of the paper is to construct and justify asymptotic approximations for solutions to quasilinear convection-diffusion problems with a predominance of nonlinear convective flow in a thin cylinder, where an inhomogeneous nonlinear…
In this paper, we survey and discuss various surface phenomena such as prewetting, layering and faceting for a family of two- and three-dimensional low-temperature models of statistical mechanics, notably Ising models and (2+1)-dimensional…
We consider a system of two singularly perturbed Boundary Value Problems (BVPs) of convection-diffusion type with discontinuous source terms and a small positive parameter multiplying the highest derivatives. Then their solutions exhibit…
Diffusion-driven flow is a boundary layer flow arising from the interplay of gravity and diffusion in density-stratified fluids when a gravitational field is non-parallel to an impermeable solid boundary. This study investigates…
We construct a pair of related diffusions on a space of interval partitions of the unit interval $[0,1]$ that are stationary with the Poisson-Dirichlet laws with parameters (1/2,0) and (1/2,1/2) respectively. These are two particular cases…
We consider a decision maker who must choose an action in order to maximize a reward function that depends also on an unknown parameter {\Theta}. The decision maker can delay taking the action in order to experiment and gather additional…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
This paper aims to study the q-analogue of the Sturm Liouville problem and to give an asymptotic behaviour at infinity for its solution '. Additionally, we establish an asymptotic expansion of the q-Bessel function $j_\alpha$ for $\alpha…
The aim of this paper is to discuss the constructivity of the method originally introduced by U. Bessi to approach the phenomenon of topological instability commonly known as Arnold's Diffusion. By adapting results and proofs from existing…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We present a new curvature condition which is preserved by the Ricci flow in higher dimensions. For initial metrics satisfying this condition, we establish a higher dimensional version of Hamilton's neck-like curvature pinching estimate.…
The problem of the diffusion evolution of a pore filled with molecular hydrogen in a spherical granule in a hydrogen medium is solved. The initial position of the pore is displaced relative to the center of the granule. A nonlinear system…