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Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…
The global estimation problem of the drift function is considered for a large class of ergodic diffusion processes. The unknown drift $S(\cdot)$ is supposed to belong to a nonparametric class of smooth functions of order $k\geq1$, but the…
We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of $\mathbb{R}^d$ with a smooth boundary. The process is killed when it hits the boundary of the domain (hard…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
Shape estimation and object reconstruction are common problems in image analysis. Mathematically, viewing objects in the image plane as random sets reduces the problem of shape estimation to inference about sets. Currently existing…
A criterion for proving a strong form of propagation of chaos on the path space, known as entropy chaos, for a general interacting diffusion system is proposed. Our analysis focuses on the class of conservative diffusions introduced by…
Motivated by the result of invariance of regular-boundary open sets in \cite{CannarsaDaPratoFrankowska2009} and multi-stability issues in gene networks, our paper focuses on three closely related aims. First, we give a necessary local…
The paper studies a class of Ornstein-Uhlenbeck processes on the classical Wiener space. These processes are associated with a diffusion type Dirichlet form whose corresponding diffusion operator is unbounded in the Cameron-Martin space. It…
We give overcrowding estimates for the Sine_beta process, the bulk point process limit of the Gaussian beta-ensemble. We show that the probability of having at least n points in a fixed interval is given by $e^{-\frac{\beta}{2} n^2…
We study sparsity-regularized maximum likelihood estimation for the drift parameter of high-dimensional non-stationary Ornstein--Uhlenbeck processes given repeated measurements of i.i.d. paths. In particular, we show that Lasso and Slope…
We consider the problem of parameter estimation in the case of observation of the trajectory of diffusion process. We suppose that the drift coefficient has a singularity of cusp-type and the unknown parameter corresponds to the position of…
The probability density is a fundamental quantity for characterizing diffusion processes. However, it is seldom known except in a few renowned cases, including Brownian motion and the Ornstein-Uhlenbeck process and their bridges, geometric…
The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
A class of generalized exclusion processes parametrized by the maximal occupancy, $k\geq 1$, is investigated. For these processes with symmetric nearest-neighbor hopping, we compute the diffusion coefficient and show that it is independent…
We consider the Widom-Rowlinson model of two types of interacting particles on d-regular graphs. We prove a tight upper bound on the occupancy fraction, the expected fraction of vertices occupied by a particle under a random configuration…
This paper is concerned with eigenvalue problems for non-symmetric elliptic operators with large drifts in bounded domains under Dirichlet boundary conditions. We consider the minimal principal eigenvalue and the related principal…
We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
We assume that we observe $N$ independent copies of a diffusion process on a time-interval $[0,2T]$. For a given time $t$, we estimate the transition density $p_t(x,y)$, namely the conditional density of $X_{t + s}$ given $X_s = x$, under…