Related papers: Drawdowns of diffusions
Among Markovian processes, the hallmark of L\'evy flights is superdiffusion, or faster-than-Brownian dynamics. Here we show that L\'evy laws, as well as Gaussians, can also be the limit distributions of processes with long range memory that…
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
In this paper we study the fluctuations from the limiting behavior of small noise random perturbations of diffusions with multiple scales. The result is then applied to the exit problem for multiscale diffusions, deriving the limiting law…
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…
General upper bounds on fluctuations of trajectory observables were recently obtained. It turned out that the size of fluctuations of dynamical observable is limited from below and from above. For the moment generating function of general…
Anomalous diffusion processes, in particular superdiffusive ones, are known to be efficient strategies for searching and navigation by animals and also in human mobility. One way to create such regimes are L\'evy flights, where the walkers…
We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…
This study investigates the first passage time (FPT) properties of particles with a broad class of positive stochastic diffusion coefficients (DCs), representing diffusion in heterogeneous environments or of particles with conformational…
This paper models the classical diffusion of a main particle through a heatbath by means of a pre-limit microscopic representation of its drifted momentum and energy transfers at collision times. The collision point linear interpolated path…
Stochastic homogenization is achieved for a class of elliptic and parabolic equations describing the lifetime, in large domains, of stationary diffusion processes in random environment which are small, statistically isotropic perturbations…
The blooming diffusion probabilistic models (DPMs) have garnered significant interest due to their impressive performance and the elegant inspiration they draw from physics. While earlier DPMs relied upon the Markovian assumption, recent…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov evolution…
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…
The emergence of diffusion is one of the deepest physical phenomena observed in many-body interacting, chaotic systems. But establishing rigorously that correlation functions, say of the spin, expand diffusively, remains one of the most…
Area fluctuations of a Brownian excursion are described by the Airy distribution, which found applications in different areas of physics, mathematics and computer science. Here we generalize this distribution to describe the area…
The recent success of diffusion-based generative models in image and natural language processing has ignited interest in diffusion-based trajectory optimization for nonlinear control systems. Existing methods cannot, however, handle the…
The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…