Related papers: On Malliavin differentiability and absolute contin…
We study a planar two-temperature diffusion of a Brownian particle in a parabolic potential. The diffusion process is defined in terms of two Langevin equations with two different effective temperatures in the X and the Y directions. In the…
We introduce and study interval partition diffusions with Poisson--Dirichlet$(\alpha,\theta)$ stationary distribution for parameters $\alpha\in(0,1)$ and $\theta\ge 0$. This extends previous work on the cases $(\alpha,0)$ and…
In this paper, we consider standard processes that admit dual processes and satisfy the absolute continuity condition, i.e., processes possess transition densities. For such processes, the Revuz correspondence relates positive continuous…
Consider a stable L\'evy process $X=(X_t,t\geq 0)$ and let $T_x$, for $x>0$, denote the first passage time of $X$ above the level $x$. In this work, we give an alternative proof of the absolute continuity of the law of $T_x$ and we obtain a…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
We discuss the effective diffusion constant $D_{{\it eff}}$ for stochastic processes with spatially-dependent noise. Starting from a stochastic process given by a Langevin equation, different drift-diffusion equations can be derived…
Almost sixty years ago Zolotarev proved a duality result which relates an $\alpha$-stable density for $\alpha\in(1,2)$ to the density of a $\frac1{\alpha}$-stable distribution on the positive real line. In recent years Zolotarev duality was…
The molecular motion in heterogeneous media displays anomalous diffusion by the mean-squared displacement $\langle X^2(t) \rangle = 2 D t^\alpha$. Motivated by experiments reporting populations of the anomalous diffusion parameters $\alpha$…
Diffusion models over discrete spaces have recently shown striking empirical success, yet their theoretical foundations remain incomplete. In this paper, we study the sampling efficiency of score-based discrete diffusion models under a…
We study the one-dimensional stochastic heat equation with unbounded, nonlinear,Lipschitz coefficients with Dirichlet boundary conditions. Using Malliavin calculus, we construct a piecewise approximation of the solution u and establish…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
A new diffuse interface model for a two-phase flow of two incompressible fluids with different densities is introduced using methods from rational continuum mechanics. The model fulfills local and global dissipation inequalities and is also…
We consider a shrinking flow of smooth, closed, uniformly convex hypersurfaces in (n+1)-dimensional Euclidean space with speed fu^{alpha}{sigma}_n^{beta}, where u is the support function of the hypersurface, alpha, beta are two constants,…
We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given smooth surface and having the properties of skewing and delaying. The theorem on the existence of…
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin and Parametric Differentiability of such SDEs. The former is…
This paper analyzes a time-stepping discontinuous Galerkin method for modified anomalous subdiffusion problems with two time fractional derivatives of orders $ \alpha $ and $ \beta $ ($ 0 < \alpha < \beta < 1 $). The stability of this…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
We show the relation between processes which are modeled by a Langevin equation with multiplicative noise and infinite ergodic theory. We concentrate on a spatially dependent diffusion coefficient that behaves as ${D(x)}\sim…
New results are obtained for global regularity and long-time behavior of the solutions to the 2D Boussinesq equations for the flow of an incompressible fluid with positive viscosity and zero diffusivity in a smooth bounded domain. Our first…
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on…