Related papers: Formule d'Ito pour des diffusions uniformement ell…
In this paper, we study the asymptotic estimate of solution for a mixed-order time-fractional diffusion equation in a bounded domain subject to the homogeneous Dirichlet boundary condition. Firstly, the unique existence and regularity…
We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of $\mathbb{R}^d$ with a smooth boundary. The process is killed when it hits the boundary of the domain (hard…
In this paper we present an integro-differential diffusion equation for continuous time random walk that is valid for a generic waiting time probability density function. Using this equation we also study diffusion behaviors for a couple of…
We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
This survey paper is a structured concise summary of four of our recent papers on the stochastic regularity of diffusions that are associated to regular strongly local (but not necessarily symmetric) Dirichlet forms. Here by stochastic…
For the concrete model of Brownian particles dynamics in non-uniform environment, the time interval estimation is constructed, on which phenomenological Fick laws for diffusion phenomenon description can be used. The knowledge of these…
We discuss an initial-boundary value problem for a fractional diffusion equation with Caputo time-fractional derivative where the coefficients are dependent on spatial and time variables and the zero Dirichlet boundary condition is…
We analyse diffusion at low temperature by bringing the fluctuation-dissipation theorem (FDT) to bear on a physically natural, viscous response-function R(t). The resulting diffusion-law exhibits several distinct regimes of time and…
This paper considers the Dirichlet problem $$ -\mathrm{div}(a\nabla u_a)=f \quad \hbox{on}\,\,\ D, \qquad u_a=0\quad \hbox{on}\,\,\partial D, $$ for a Lipschitz domain $D\subset \mathbb R^d$, where $a$ is a scalar diffusion function. For a…
In this paper we first establish an It\^o formula for a finite quadratic variation process $X$ expanding $f(t,X_t),$ when $f$ is of class $C^2$ in space and is absolutely continuous in time. Second, via a Fukushima-Dirichlet decomposition…
The Dirichlet forms methods, in order to represent errors and their propagation, are particularly powerful in infinite dimensional problems such as models involving stochastic analysis encountered in finance or physics, cf. [5]. Now, coming…
One-dimensional free boundary problem for a nonlinear diffusion - convection equation with a Dirichlet condition at fixed face $x=0$, variable in time, is considered. Throught several transformations the problem is reduced to a free…
We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we…
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence is established: 1) There exists such a representation from…
What is the fastest possible "diffusion"? A trivial answer would be "a process that converts a Dirac delta-function into a uniform distribution infinitely fast". Below, we consider a more reasonable formulation: a process that maximizes…
In this paper, some initial-boundary-value problems for the time-fractional diffusion equation are first considered in open bounded n-dimensional domains. In particular, the maximum principle well-known for the PDEs of elliptic and…
In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an…
Let $D\subset R^d$ be a bounded domain and denote by $\mathcal P(D)$ the space of probability measures on $D$. Let \begin{equation*} L=\frac12\nabla\cdot a\nabla +b\nabla \end{equation*} be a second order elliptic operator. Let…
We consider a diffusion process in $\mathbb{R}^d$ with a generator of the form $ L:=\frac 12 e^{V(x)}div(e^{-V(x)}\nabla ) $ where $V$ is measurable and periodic. We only assume that $e^V$ and $e^{-V}$ are locally integrable. We then show…