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We derive a multidimensional Stein's method for asymptotic independence in the case of a general target $\mu$ with a density, being invariant measure of a diffusion process. It allows us to give a general bound in Wasserstein distance…

We introduce a new class of nonparametric prior distributions on the space of continuously varying densities, induced by Dirichlet process mixtures which diffuse in time. These select time-indexed random functions without jumps, whose…

The Gamma-Dirichlet structure corresponds to the decomposition of the gamma process into the independent product of a gamma random variable and a Dirichlet process. This structure allows us to study the properties of the Dirichlet process…

We consider the inverse problem of determining the permeability from the pressure in a Darcy model of flow in a porous medium. Mathematically the problem is to find the diffusion coefficient for a linear uniformly elliptic partial…

We introduce and analyze a broad class of continuous directed polymers in $\mathbb{R}^d$ driven by Gaussian environments that are white in time and spatially correlated, under Dalang's condition. Using an It\^o-renormalized…

We consider the growth of a polymer layer on a flat surface in a good solvent by in-situ polymerization. This is viewed as a modified form of diffusion-limited aggregation without branching. We predict theoretically the formation of a…

A complete recipe of measure-preserving diffusions in Euclidean space was recently derived unifying several MCMC algorithms into a single framework. In this paper, we develop a geometric theory that improves and generalises this…

We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noises. We consider the intermediate regime, where observations occur at…

In this paper, we are concerned with long-time behavior of Euler-Maruyama schemes associated with a range of regime-switching diffusion processes. The key contributions of this paper lie in that existence and uniqueness of numerical…

We establish a general analytic framework for determining the AF-martingale dimension of diffusion processes associated with strongly local regular Dirichlet forms on metric measure spaces. While previous approaches typically relied on…

We consider the filtering and smoothing problems for an infinite-dimensional diffusion process X, observed through a finite-dimensional representation at discrete points in time. At the heart of our proposed methodology lies the…

We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…

We identify the leading term in the asymptotics of the quadratic Wasserstein distance between the invariant measure and empirical measures for diffusion processes on closed weighted four-dimensional Riemannian manifolds. Unlike results in…

Let $\mathbb K(\mathbb R^d)$ denote the cone of discrete Radon measures on $\mathbb R^d$. There is a natural differentiation on $\mathbb K(\mathbb R^d)$: for a differentiable function $F:\mathbb K(\mathbb R^d)\to\mathbb R$, one defines its…

A general construction for $\sigma-$finite absolutely continuous invariant measure will be presented. It will be shown that the local bounded distortion of the Radon-Nykodym derivatives of $f^n_*(\lambda)$ will imply the existence of a…

Problems with localized nonhomogeneous material properties present well-known challenges for numerical simulations. In particular, such problems may feature large differences in length scales, causing difficulties with meshing and…

We study a symmetric diffusion $X$ on $\mathbb{R}^d$ in divergence form in a stationary and ergodic environment, with measurable unbounded and degenerate coefficients $a^\omega$. The diffusion is formally associated with $L^\omega u =…

We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we…

In this short article, we shall study one-dimensional local Dirichlet spaces. One result, which has its independent interest, is to prove that irreducibility implies the uniqueness of symmetrizing measure for right Markov processes. The…

To our knowledge, the existing measure approximation theory requires the diffusion term of the stochastic delay differential equations (SDDEs) to be globally Lipschitz continuous. Our work is to develop a new explicit numerical method for…