Related papers: One dimensional drift-diffusion between two absorb…
We consider a spatially homogeneous advection-diffusion equation in which the diffusion tensor and drift velocity are time-independent, but otherwise general. We derive asymptotic expressions, valid at large distances from a steady point…
We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…
When applying the finite-differences method to numerically solve the one-dimensional diffusion equation, one must choose discretization steps $\Delta x$, $\Delta t$ in space and time, respectively. By applying large-deviation theory on the…
We consider a particle diffusing along the links of a general graph possessing some absorbing vertices. The particle, with a spatially-dependent diffusion constant D(x) is subjected to a drift U(x) that is defined in every point of each…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…
We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…
We study the influence of the boundary conditions at the solid liquid interface on diffusion in a confined fluid. Using an hydrodynamic approach, we compute numerical estimates for the diffusion of a particle confined between two planes.…
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…
For a model convection-diffusion problem, we address the presence of oscillatory discrete solutions, and study difficulties in recovering standard approximation results for its solution. We justify the presence of non-physical oscillations…
Granular materials segregate by size under shear, and the ability to quantitatively predict the time required to achieve complete segregation is a key test of our understanding of the segregation process. In this paper, we apply the…
This paper develops a general approach to the derivation of the boundary conditions for hydrodynamic equations for charged and neutral plasma components. It includes both a well-known classical case for pure diffusion, and considers the…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We study the extreme value statistics of a run and tumble particle (RTP) in one dimension till its first passage to the origin starting from the position $x_0~(>0)$. This model has recently drawn a lot of interest due to its biological…
The problem of detection time distribution concerns a quantum particle surrounded by detectors and consists of computing the probability distribution of where and when the particle will be detected. While the correct answer can be obtained…
The statistics of the first-encounter time of diffusing particles changes drastically when they are placed under confinement. In the present work, we make use of Monte Carlo simulations to study the behavior of a two-particle system in two-…
We study a model for microscopic segregation in a homogeneous system of particles moving on a one-dimensional lattice. Particles tend to separate from each other, and evolution ceases when at least one empty site is found between any two…
A simple phenomenological model of a binary granular mixture is developed and investigated numerically. We attempt to model the experimental system of [1,2] where a horizontally vibrated binary monolayer was found to exhibit a transition…
Due to their conjugate posteriors, Gaussian process priors are attractive for estimating the drift of stochastic differential equations with continuous time observations. However, their performance strongly depends on the choice of the…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…