Related papers: Formule d'Ito pour des diffusions uniformement ell…
We consider an evolution equation with the regularized fractional derivative of an order $\alpha \in (0,1)$ with respect to the time variable, and a uniformly elliptic operator with variable coefficients acting in the spatial variables.…
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…
We consider a drift-diffusion process of $N$ stochastic particles and show that its empirical measure converges, as $N\rightarrow \infty$, to the solution of the Landau equation. We work in the regime of very soft and Coulomb potentials…
We obtain a fast diffusion equation (FDE) as scaling limit of a sequence of zero-range process with symmetric unit rate. Fast diffusion effect comes from the fact that the diffusion coefficient goes to infinity as the density goes to zero.…
We investigate well-posedness for martingale solutions of stochastic differential equations, under low regularity assumptions on their coefficients, widely extending some results first obtained by A. Figalli. Our main results are a very…
The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…
We study a gas of hard rods on a ring, driven by an external thermostat, with either elastic or inelastic collisions, which exhibits sub-diffusive behavior $<x^2 > \sim t^{1/2}$. We show the validity of the usual Fluctuation-Dissipation…
For any $N\ge 2$ and $\alpha=(\alpha_1,\cdots, \alpha_{N+1})\in (0,\infty)^{N+1}$, let $\mu^{(N)}_{\alpha}$ be the Dirichlet distribution with parameter $\alpha$ on the set $\Delta^{ (N)}:= \{ x \in [0,1]^N:\ \sum_{1\le i\le N}x_i \le 1…
Fox's H-function provide a unified and elegant framework to tackle several physical phenomena. We solve the space fractional diffusion equation on the real line equipped with a delta distribution initial condition and identify the…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
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…
We use a diffuse interface method for solving Poisson's equation with a Dirichlet condition on an embedded curved interface. The resulting diffuse interface problem is identified as a standard Dirichlet problem on approximating regular…
The space-time dynamics of rigid inhomogeneities (inclusions) free to move in a randomly fluctuating fluid bio-membrane is derived and numerically simulated as a function of the membrane shape changes. Both vertically placed (embedded)…
Roughly speaking, the regular subspace of a Dirichlet form is also a regular Dirichlet form on the same state space. It inherits the same form of original Dirichlet form but possesses a smaller domain. What we are concerned in this paper…
For diffusion-reaction equations employing a splitting procedure is attractive as it reduces the computational demand and facilitates a parallel implementation. Moreover, it opens up the possibility to construct second-order integrators…
We study the homogeneous Cauchy-Dirichlet Problem (CDP) for a nonlinear and nonlocal diffusion equation of singular type of the form $\partial_t u =-\mathcal{L} u^m$ posed on a bounded Euclidean domain $\Omega\subset\mathbb{R}^N$ with…
In this paper we will make the computation of the Onsager-Machlup functional of an inhomogeneous uniformly elliptic diffusion process. This functional will have formally the same picture as in the homogeneous case, the only difference come…
We introduce a framework for designing efficient diffusion models for $d$-dimensional symmetric-space Riemannian manifolds, including the torus, sphere, special orthogonal group and unitary group. Existing manifold diffusion models often…
We model chaotic diffusion, in a symplectic 4D map by using the result of a theorem that was developed for stochastically perturbed integrable Hamiltonian systems. We explicitly consider a map defined by a free rotator (FR) coupled to a…
Given a smooth R^d-valued diffusion, we study how fast the Euler scheme with time step 1/n converges in law. To be precise, we look for which class of test functions f the approximate expectation E[f(X^{n,x}_1)] converges with speed 1/n to…