Related papers: Convergence of symmetric diffusions on Wiener spac…

The well-posedness and regularity properties of diffusion-aggregation equations, emerging from interacting particle systems, are established on the whole space for bounded interaction force kernels by utilizing a compactness convergence…

We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…

We study the particle method to approximate the gradient flow on the $L^p$-Wasserstein space. This method relies on the discretization of the energy introduced by [3] via nonoverlapping balls centered at the particles and preserves the…

We prove the consistency of an adaptive importance sampling strategy based on biasing the potential energy function $V$ of a diffusion process $dX_t^0=-\nabla V(X_t^0)dt+dW_t$; for the sake of simplicity, periodic boundary conditions are…

We consider self-similar approximations of nonlinear hyperbolic systems in one space dimension with Riemann initial data and general diffusion matrix. We assume that the matrix of the system is strictly hyperbolic and the diffusion matrix…

We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws…

Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The…

We consider a singularly perturbed convection-diffusion problem that has in addition a shift term. We show a solution decomposition using asymptotic expansions and a stability result. Based upon this we provide a numerical analysis of high…

We derive a singular diffusion limit for the position of a tagged particle in zero range interacting particle processes on a one dimensional torus with a Sinai-type random environment via two steps. In the first step, a regularization is…

We prove the uniqueness of self-similar $D_4$-symmetric resistance forms on unconstrained Sierpinski carpets ($\mathcal{USC}$'s). Moreover, on a sequence of $\mathcal{USC}$'s $K_n, n\geq 1$ converging in Hausdorff metric, we show that the…

Based on the well-posedness of the stationary Wigner equation with inflow boundary conditions given in (A. Arnold, H et al. J. Math. Phys., 41, 2000), we prove without any additional prerequisite conditions that the solution of the Wigner…

Let $x$ denote a diffusion process defined on a closed compact manifold. In an earlier article, the author introduced a new approach to constructing admissible vector fields on the associated space of paths, under the assumption of…

We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…

We reconsider the problem of diffusion of particles at constant speed and present a generalization of the Telegrapher process to higher dimensional stochastic media ($d>1$), where the particle can move along $2^d$ directions. We derive the…

We study diffusion in a network which is governed by non-autonomous Kirchhoff conditions at the vertices of the graph. Also the diffusion coefficients may depend on time. We prove at first a result on existence and uniqueness using form…

Wiener process with instantaneous reflection in narrow tubes of width {\epsilon}<<1 around axis x is considered in this paper. The tube is assumed to be (asymptotically) non-smooth in the following sense. Let $V^{\epsilon}(x)$ be the volume…

We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given smooth surface and having the properties of skewing and delaying. The theorem on the existence of…

This article is concerned with the mathematical analysis of a family of adaptive importance sampling algorithms applied to diffusion processes. These methods, referred to as Adaptive Biasing Potential methods, are designed to efficiently…

We define horizontal diffusion in $C^1$ path space over a Riemannian manifold and prove its existence. If the metric on the manifold is developing under the forward Ricci flow, horizontal diffusion along Brownian motion turns out to be…

We consider diffusion processes in Hilbert spaces with constant non-degenerate diffusion operators and show that, under broad assumptions on the drift, the transition probabilities of the process are positive on ellipsoids associated with…