Related papers: Limit theorems for rarefaction of set of diffusion…
We present the model of a diffusion-absorption process in a system which consists of two media separated by a thin partially permeable membrane. The kind of diffusion as well as the parameters of the process may be different in both media.…
We study the asymptotic diffusion processes with (generally nonlocal) open boundaries in one dimension which are exactly solvable by means of the recently developed recursion formula. We investigate the stationary states, which cannot be…
This paper studies one-dimensional Ornstein-Uhlenbeck processes, with the distinguishing feature that they are reflected on a single boundary (put at level 0) or two boundaries (put at levels 0 and d>0). In the literature they are referred…
To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We study functional limit theorems for linear type processes with short memory under the assumption that the innovations are dependent identically distributed random variables with infinite variance and in the domain of attraction of stable…
It has been recently discovered that some random processes may satisfy limit theorems even though they exhibit intermittency, namely an unusual growth of moments. In this paper we provide a deeper understanding of these intricate limiting…
The aim of this paper is to obtain estimates for the density of the law of a specific nonlinear diffusion process at any positive bounded time. This process is issued from kinetic theory and is called Landau process, by analogy with the…
A common approach for the numerical simulation of wave propagation on a spatially unbounded domain is to truncate the domain via an artificial boundary, thus forming a finite computational domain with an outer boundary. Absorbing boundary…
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…
In this article, we consider a sequence $(N_n)_{n \geq 1}$ of point processes, whose points lie in a subset $E$ of $\bR \verb2\2 \{0\}$, and satisfy an asymptotic independence condition. Our main result gives some necessary and sufficient…
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We consider a finite sequence of random points in a finite domain of a finite-dimensional Euclidean space. The points are sequentially allocated in the domain according to a model of cooperative sequential adsorption. The main peculiarity…
We consider the well-known problem of the computation of the (limiting) time-dependent performance characteristics of one-dimensional continuous-time birth and death processes on $\mathbb{Z}$ with time varying and possible state-dependent…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.
First exit times from regions and their dependence on variations of boundaries are discussed for diffusion processes. The paper presents an estimate of $L_1$-distance between exit times from two regions via expectations of exit times.
We consider initial boundary value problems of time-fractional advection-diffusion equations with the zero Dirichlet boundary value $\partial_t^{\alpha} u(x,t) = -Au(x,t)$, where $-A = \sum}{i,j=1}^d \partial_i(a_{ij}(x)\partial_j) +…
We introduce a method of intervals for the analysis of diffusion-limited annihilation, A+A -> 0, on the line. The method leads to manageable diffusion equations whose interpretation is intuitively clear. As an example, we treat the…
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…