Related papers: Darboux Transformation of Diffusion Processes
Semi-Lagrangian methods have traditionally been developed in the framework of hyperbolic equations, but several extensions of the Semi-Lagrangian approach to diffusion and advection--diffusion problems have been proposed recently. These…
Transition path theory (TPT) for diffusion processes is a framework for analysing the transitions of multiscale ergodic diffusion processes between disjoint metastable subsets of state space. Most methods for applying TPT involve the…
The problem of finding weight matrices $W(x)$ of size $N \times N$ such that the associated sequence of matrix-valued orthogonal polynomials are eigenfunctions of a second-order matrix differential operator is known as the Matrix Bochner…
The F\"ollmer process is a Brownian motion conditioned to have a pre-specified distribution at time 1. This process can be interpreted as an "augmented" time-compressed version of the reverse stochastic differential equation (SDE) for the…
With the nonuniform media taken into account, the nonisospectral and variable-coefficient Korteweg-de Vries equation, which describes various physical situations such as fluid dynamics and plasma, is under investigation in this paper. With…
A generalization of the classical one-dimensional Darboux transformation to arbitrary n-dimensional oriented Riemannian manifolds is constructed using an intrinsic formulation based on the properties of twisted Hodge Laplacians. The…
The problem of computing quantum mechanical propagators can be recast as a computation of a Wilson line operator for parallel transport by a flat connection acting on a vector bundle of wavefunctions. In this picture the base manifold is an…
We prove a Darboux theorem for formal deformations of Hamiltonian operators of hydrodynamic type (Dubrovin-Novikov). Not all deformations are equivalent to the original operator: there is a moduli 2-stack of normal forms. The paper utilizes…
We consider diffusion processes x_{t} on the unit interval. Doob-transformation techniques consist of a selection of x_{t}-paths procedure. The law of the transformed process is the one of a branching diffusion system of particles, each…
We construct new quasi-exactly solvable one-dimensional potentials through Darboux transformations. Three directions are investigated: Reducible and two types of irreducible second-order transformations. The irreducible transformations of…
This article concerns second-order time discretization of subdiffusion equations with time-dependent diffusion coefficients. High-order differentiability and regularity estimates are established for subdiffusion equations with…
Demixing of binary fluids subjected to slow temperature ramps shows repeated waves of nucleation which arise as a consequence of the competition between generation of supersaturation by the temperature ramp and relaxation of supersaturation…
Darboux Wronskian formulas allow to construct Darboux transformations, but Laplace transformations, which are Darboux transformations of order one cannot be represented this way. It has been a long standing problem on what are other…
We define and study the properties of Darboux-type transformations between Sturm--Liouville problems with boundary conditions containing rational Herglotz--Nevanlinna functions of the eigenvalue parameter (including the Dirichlet boundary…
Diffusion models are an important tool for generative modelling, serving as effective priors in applications such as imaging and protein design. A key challenge in applying diffusion models for downstream tasks is efficiently sampling from…
We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the…
We consider the problem of learning two families of time-evolving random measures from indirect observations. In the first model, the signal is a Fleming--Viot diffusion, which is reversible with respect to the law of a Dirichlet process,…
We present algebraic construction of Darboux matrices for 1+1-dimensional integrable systems of nonlinear partial differential equations with a special stress on the nonisospectral case. We discuss different approaches to the…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
Supersymmetric or Darboux transformations are used to construct local phase equivalent deep and shallow potentials for $\ell \neq 0$ partial waves. We associate the value of the orbital angular momentum with the asymptotic form of the…