Related papers: Darboux Transformation of Diffusion Processes
We analyze circumstances under which the microscopic dynamics of particles which are driven by a forced, gradient-type flow can be consistently interpreted as a Markovian diffusion process. Special attention is paid to discriminating…
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…
Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for example in biology, where toroidal data arises naturally when…
We report new measurements of single particle dispersion in turbulent two-dimensional (2D) flows. Laboratory experiments in electromagnetically driven and Faraday wave driven turbulence reveal a transition from weakly dispersing…
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…
The Mellin transform is usually applied in probability theory to the product of independent random variables. In recent times the machinery of the Mellin transform has been adopted to describe the L\'evy stable distributions, and more…
Darboux transformations for polynomial perturbations of a real multivariate measure are found. The 1D Christoffel formula is extended to the multidimensional realm: multivariate orthogonal polynomials are expressed in terms of last…
Typical generative diffusion models rely on a Gaussian diffusion process for training the backward transformations, which can then be used to generate samples from Gaussian noise. However, real world data often takes place in discrete-state…
We study the statistics of last-passage time for linear diffusions. First we present an elementary derivation of the Laplace transform of the probability density of the last-passage time, thus recovering known results from the mathematical…
Dunkl processes are generalizations of Brownian motion obtained by using the differential-difference operators known as Dunkl operators as a replacement of spatial partial derivatives in the heat equation. Special cases of these processes…
Algebraic Bargmann and Darboux transformations for equations of a more general form than the Schr\"odinger ones with an additional functional dependence h(r) in the right-hand side of equations are constructed. The suggested generalized…
Von Renesse and the author (Ann. Prob. '09) developed a second order calculus on the Wasserstein space P([0,1]) of probability measures on the unit interval. The basic objects of interest had been Dirichlet form, semigroup and continuous…
In this paper, we derive Darboux transformation of the inhomogeneous Hirota and the Maxwell-Bloch(IH-MB) equations which is governed by femtosecond pulse propagation through inhomogeneous doped fibre. The determinant representation of…
In this paper, we construct a generalized Darboux transformation to the coupled Hirota equations with high-order nonlinear effects like the third dispersion, self-steepening and inelastic Raman scattering terms. As application, an Nth-order…
In this note, we present a version of Hoeffding's inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the well-studied case of Hoeffding's inequality for discrete-time…
We apply the Darboux transformation to construct new exactly-solvable cases of the two-dimensional massless Dirac equation for potential classes of Lambert-W and inverse exponential type. Both of these classes originate from the Heun…
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…
Systems switching between different dynamical phases is an ubiquitous phenomenon. The general understanding of such a process is limited. To this end, we present a general expression that captures fluctuations of a system exhibiting a…
Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…