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We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…
In the paper, we address parametric and non-parametric estimation for nonlinear stochastic differential equations with additive Hermite noise with possibly nonlinear scaling. We assume that a single trajectory of the solution is observed…
We analyze a modified version of the Coleman-Hepp model, that is able to take into account energy-exchange processes between the incoming particle and the linear array made up of $N$ spin-1/2 systems. We bring to light the presence of a…
We consider a diffusion process with coefficients that are periodic outside of an "interface region" of finite thickness. The question investigated in this article is the limiting long time/large scale behavior of such a process under…
Score-based diffusion models have emerged as powerful tools in generative modeling, yet their theoretical foundations remain underexplored. In this work, we focus on the Wasserstein convergence analysis of score-based diffusion models.…
We consider $M/Ph/n+M$ queueing systems in steady state. We prove that the Wasserstein distance between the stationary distribution of the normalized system size process and that of a piecewise Ornstein-Uhlenbeck (OU) process is bounded by…
We study the homogenization of a steady diffusion equation in a highly heterogeneous medium made of two subregions separated by a periodic barrier through which the flow is proportional to the jump of the temperature by a layer conductance…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…
We present a way to use Stein's method in order to bound the Wasserstein distance of order $2$ between two measures $\nu$ and $\mu$ supported on $\mathbb{R}^d$ such that $\mu$ is the reversible measure of a diffusion process. In order to…
The asymptotic behavior of the solution of an infinite set of Smoluchowski's discrete coagulation-fragmentation-diffusion equations with non-homogeneous Neumann boundary conditions, defined in a periodically perforated domain, is analyzed.…
In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling…
In this paper we study model reduction of linear and bilinear quadratic stochastic control problems with parameter uncertainties. Specifically, we consider slow-fast systems with unknown diffusion coefficient and study the convergence of…
We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a…
Many dynamic pipe flow simulator tools are capable of predicting the onset of hydrodynamic flow instability through detailed simulation. These instabilities provide a natural mechanism for flow regime transition. The quality and reliability…
This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein-Uhlenbeck process. For the estimation of the drift, the…
We consider a nonlinear drift-diffusion system for multiple charged species in a porous medium in 2D and 3D with periodic microstructure. The system consists of a transport equation for the concentration of the species and Poisson's…
We prove that the equilibrium fluctuations of the symmetric simple exclusion process in contact with slow boundaries is given by an Ornstein-Uhlenbeck process with Dirichlet, Robin or Neumann boundary conditions depending on the range of…
We study the strong consistency and asymptotic normality of a least squares estimator of the drift coefficient in complex-valued Ornstein-Uhlenbeck processes driven by fractional Brownian motion, extending the results of Chen, Hu, Wang…
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a non-uniform discrete time grid and introduce discretised maximum likelihood estimators with parameters specific to the whole graph or specific to each component, or node.…
Dynamic homogenization aims at describing the macroscopic characteristics of wave propagation in microstructured systems. Using a simple method, we derive frequency-dependent homogenized parameters that reproduce the exact dispersion…