Related papers: Fractional Diffusion Bridges

In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…

In generative modelling and stochastic optimal control, a central computational task is to modify a reference diffusion process to maximise a given terminal-time reward. Most existing methods require this reward to be differentiable, using…

We introduce a fractional stochastic heat equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infinite-dimensional fractional Brownian motion. We characterize…

In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…

This paper is concerned with the fractionalized diffusion equations governing the law of the fractional Brownian motion $B_H(t)$. We obtain solutions of these equations which are probability laws extending that of $B_H(t)$. Our analysis is…

We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We…

We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H>1/2$. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved…

We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function of a discrete trajectory of fractional Brownian motion, we…

We study the stochastic fractional diffusive limit of a kinetic equation involving a small parameter and perturbed by a smooth random term. Generalizing the method of perturbed test functions, under an appropriate scaling for the small…

Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…

We examine two stochastic processes with random parameters, which in their basic versions (i.e., when the parameters are fixed) are Gaussian and display long range dependence and anomalous diffusion behavior, characterized by the Hurst…

Fractional Ornstein-Uhlenbeck process of the second kind $(\text{fOU}_{2})$ is solution of the Langevin equation $\mathrm{d}X_t = -\theta X_t\,\mathrm{d}t+\mathrm{d}Y_t^{(1)}, \ \theta >0$ with Gaussian driving noise $ Y_t^{(1)} := \int^t_0…

We investigate fractional Brownian motion with a microscopic random-matrix model and introduce a fractional Langevin equation. We use the latter to study both sub- and superdiffusion of a free particle coupled to a fractal heat bath. We…

We present a collection of explicit diffusion approximations to small temperature Schr\"{o}dinger bridges on manifolds. Our most precise results are when both marginals are the same and the Schr\"{o}dinger bridge is on a manifold with a…

A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…

This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…

This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…

The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…

Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…

The mathematical model of surfactant adsorption under mixed barrier-diffusion control is analyzed using techniques from fractional calculus. The kinetic models of Henry, Langmuir, Frumkin, Volmer and van der Waals are considered. First,…