Related papers: Threshold Diffusions
In this article we derive Talagrand's $T_2$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward…
We investigate the existence of invariant measures for self-stabilizing diffusions. These stochastic processes represent roughly the behavior of some Brownian particle moving in a double-well landscape and attracted by its own law. This…
We describe how to solve the problem of Taylor dispersion in the presence of absorbing boundaries using an exact stochastic formulation. In addition to providing a clear stochastic picture of Taylor dispersion, our method leads to…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only…
Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on…
This paper is concerned with the blow-up property of solutions to an initial boundary value problem for a reaction diffusion equation with special diffusion processes. It is shown, under certain conditions on the initial data, that the…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
We derive the hydrodynamic limit of a kinetic equation with a stochastic, short range perturbation of the velocity operator. Under some mixing hypotheses on the stochastic perturbation, we establish a diffusion-approximation result: the…
Chemical reactions inside cells are generally considered to happen within fixed-size compartments. Needless to say, cells and their compartments are highly dynamic. Thus, such stringent assumptions may not reflect biochemical reality, and…
We study the long-time behavior of solutions to a class of evolution equations arising from random-time changes driven by subordinators. Our focus is on fractional diffusion equations involving mixed local and nonlocal operators. By…
This paper is devoted to hydrodynamic limits of linear kinetic equations when the thermodynamical equilibrium is described by a heavy-tail distribution function rather than a Maxwellian distribution. We show that the long time/small mean…
A physical-mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. The fundamental solution (for the…
The equation which describes a particle diffusing in a logarithmic potential arises in diverse physical problems such as momentum diffusion of atoms in optical traps, condensation processes, and denaturation of DNA molecules. A detailed…