Related papers: Simulation of infinite-dimensional diffusion bridg…
The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…
The dynamic Schr\"odinger bridge problem provides an appealing setting for solving constrained time-series data generation tasks posed as optimal transport problems. It consists of learning non-linear diffusion processes using efficient…
In this paper, we simulate diffusion bridges by using an approximation of the Wiener-chaos expansion (WCE), or a Fourier-Hermite expansion, for a related diffusion process. Indeed, we consider the solution of stochastic differential…
Diffusion bridge models establish probabilistic paths between arbitrary paired distributions and exhibit great potential for universal image restoration. Most existing methods merely treat them as simple variants of stochastic interpolants,…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
Nonlinear time fractional partial differential equations are widely used in modeling and simulations. In many applications, there are high contrast changes in media properties. For solving these problems, one often uses coarse spatial grid…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We consider a reaction-diffusion equation on a network subjected to dynamic boundary conditions, with time delayed behaviour, also allowing for multiplicative Gaussian noise perturbations. Exploiting semigroup theory, we rewrite the…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random…
Abstract. The present work considers a change in the momentum under the transfer of a solution through the interface. It is shown that pressure related to the partial volumes of components arises in a solution under diffusion. As a result,…
When particles/molecules diffuse in systems that contain obstacles, the steady-state regime (during which the mean-square displacement scales linearly with time, $\left< r^2 \right> \sim t$) is preceded by a transient regime. It is common…
This paper aims to conduct a comprehensive theoretical analysis of current diffusion models. We introduce a novel generative learning methodology utilizing the Schr{\"o}dinger bridge diffusion model in latent space as the framework for…
We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…
We develop several statistical tests of the determinant of the diffusion coefficient of a stochastic differential equation, based on discrete observations on a time interval $[0,T]$ sampled with a time step $\Delta$. Our main contribution…
We consider the initial/boundary value problem for a diffusion equation involving multiple time-fractional derivatives on a bounded convex polyhedral domain. We analyze a space semidiscrete scheme based on the standard Galerkin finite…
In this paper, we consider the problem of jointly performing online parameter estimation and optimal sensor placement for a partially observed infinite dimensional linear diffusion process. We present a novel solution to this problem in the…
The goal of this work is to compute a boundary control of reaction-diffusion partial differential equation. The boundary control is subject to a constant delay, whereas the equation may be unstable without any control. For this system…
We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…