Related papers: A sharp upper bound for the expected occupation de…
We show that under local detailed balance the expected entropy production rate is always bounded in terms of the dynamical activity. The activity refers to the time-symmetric contribution in the action functional for path-space…
Recent results in quantization theory show that the mean-squared expected distortion can reach a rate of convergence of $\mathcal{O}(1/n)$, where $n$ is the sample size [see, e.g., IEEE Trans. Inform. Theory 60 (2014) 7279-7292 or Electron.…
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on…
We consider diffusion processes in Hilbert spaces with constant non-degenerate diffusion operators and show that, under broad assumptions on the drift, the transition probabilities of the process are positive on ellipsoids associated with…
We consider the Gittins index for a normal distribution with unknown mean $\theta$ and known variance where $\theta$ has a normal prior. In addition to presenting some monotonicity properties of the Gittins index, we derive an approximation…
The bifurcation theory of ordinary differential equations (ODEs), and its application to deterministic population models, are by now well established. In this article, we begin to develop a complementary theory for diffusion-like…
We consider the drift and diffusion properties of periodically driven renewal processes. These processes are defined by a periodically time dependent waiting time distribution, which governs the interval between subsequent events. We show…
We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
This paper uses Lie symmetry methods to calculate certain expectations for a large class of It\^{o} diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form $E_x(e^{-\lambda…
In branching diffusions with immigration (BDI), particles travel on independent diffusion paths in $\mathbb{R}^d$, branch at position-dependent rates and leave offspring -- randomly scattered around the parent's death position -- according…
A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a super-position of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
To simulate the transient enhanced diffusion near the surface or interface, a set of equations describing the impurity diffusion and quasichemical reactions of dopant atoms and point defects in ion-implanted layers is proposed and analyzed.…
We study the asymptotic diffusion processes with (generally nonlocal) open boundaries in one dimension which are exactly solvable by means of the recently developed recursion formula. We investigate the stationary states, which cannot be…
The existence of Feller semigroups arising in the theory of multidimensional diffusion processes is studied. Unbounded perturbations of elliptic operators (in particular, integro-differential operators) are considered in plane bounded…
Limit theorems are presented for the rescaled occupation time fluctuation process of a critical finite variance branching particle system in $\mathbb{R}^{d}$ with symmetric $\alpha$-stable motion starting off from either a standard Poisson…
The drawdown process of an one-dimensional regular diffusion process $X$ is given by $X$ reflected at its running maximum. The drawup process is given by $X$ reflected at its running minimum. We calculate the probability that a drawdown…
We study the higher regularity of free boundaries in obstacle problems for integro-differential operators. Our main result establishes that, once free boundaries are $C^{1,\alpha}$, then they are $C^\infty$. This completes the study of…
A stochastic process $X$ becomes occupied when it is enlarged with its occupation flow $\mathcal{O}$ that tracks the time spent by the path at each level. When $X$ is Markov, the occupied process $(\mathcal{O},X)$ enjoys a Markov structure…