Related papers: Threshold Diffusions
We study mean field stochastic differential equations with a diffusion coefficient that depends on the distribution function of the unknown process in a discontinuous manner, which is a type of distribution dependent regime switching. To…
The Laplace transform approach with convolution theorem is used to find the scattering phase shifts of a Mie-type potential. The normalized scattering wave functions are also studied. The bound state spectrum and the corresponding…
We examine characteristic properties of deterministic and stochastic diffusion in low-dimensional chaotic dynamical systems. As an example, we consider a periodic array of scatterers defined by a simple chaotic map on the line. Adding…
We establish the fractional diffusion limit of the kinetic scattering equation with diffusive boundary condition in a strongly convex bounded domain $\mathcal{D}\subset\mathbb{R}^d$. According to the nature of the boundary condition, two…
When the unconditioned process is a diffusion submitted to a space-dependent killing rate $k(\vec x)$, various conditioning constraints can be imposed for a finite time horizon $T$. We first analyze the conditioned process when one imposes…
Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications the overshoot and the threshold-time are of special interest. When the upward innovations are in the class of…
In this paper, we investigate the solutions for a generalized fractional diffusion equation that extends some known diffusion equations by taking a spatial time-dependent diffusion coefficient and an external force into account, which…
Threshold effects in the estimation of parameters of non-linearly modulated, continuous-time, wide-band waveforms, are examined from a statistical physics perspective. These threshold effects are shown to be analogous to phase transitions…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
We introduce and study a notion of Asymptotic Preserving schemes, related to convergence in distribution, for a class of slow-fast Stochastic Differential Equations. In some examples, crude schemes fail to capture the correct limiting…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of…
In this paper, we aim to study a stochastic process from a macro point of view, and thus periodic solution of a stochastic process in distributional sense is introduced. We first give the definition and then establish the existence of…
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…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
In this paper, we analyze the asymptotic behavior of the point process of exceedances in a spatio-temporal setting whose points are given by the rescaled occurrence times, the sites and the rescaled values of exceedances. Here, the…
Sub-diffusion equations are used in a large range of applications including fluids, plasma physics and biology. Their mathematical analysis is advanced even if a much larger literature addresses super-diffusions. The goal of this paper is…
We study the metastable behavior of diffusion processes in narrow tube domains, where the metastability is induced by entropic barriers. We identify a sequence of characteristic time scales $\{T_\epsilon^i\}_{1 \leq i \leq \abs{V'}}$ and…
To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…
Motivated by various recent experimental findings, we propose a dynamical model of intermittently self-propelled particles: active particles that recurrently switch between two modes of motion, namely an active run-state and a turn state,…