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The adsorption phenomenon of neutral particles from the limiting surfaces of the sample in the Langmuir approximation is investigated. The diffusion equation regulating the redistribution of particles in the bulk is assumed to be of…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
We consider fractional diffusion equations and study the stability of the inverse problem of determining the time-dependent parameter in a source term or a coefficient of zero-th order term from observations of the solution at one point in…
This note details the development of a discrete-time diffusion process to approximate the midnight customer count process in a $M_\textrm{per}/\textrm{Geo}_\textrm{2timeScale}/N$ system. We prove a limit theorem that supports this diffusion…
We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly…
We define the local empirical process, based on $n$ i.i.d. random vectors in dimension $d$, in the neighborhood of the boundary of a fixed set. Under natural conditions on the shrinking neighborhood, we show that, for these local empirical…
We investigate the long-time behavior of the survival probability of a tagged particle in a single-file diffusion in a finite interval. The boundary conditions are of two types: 1) one boundary is absorbing the second is reflecting, 2) both…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
How many times a diffusing molecule can permeate across a membrane or be adsorbed on a substrate? We employ the encounter-based approach to find the statistics of adsorption or permeation events for molecular diffusion in a general…
We consider a point particle moving in a random distribution of obstacles described by a potential barrier. We show that, in a weak-coupling regime, under a diffusion limit suggested by the potential itself, the probability distribution of…
New theorems for the moments of the first passage time of one dimensional nonlinear stochastic processes with an entrance boundary are formulated. This important class of one dimensional stochastic processes results among others from…
In this work, we investigate the recovery of a parameter in a diffusion process given by the order of derivation in time for a class of diffusion type equations, including both classical and time-fractional diffusion equations, from the…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Local limit theorems for transition densities are proved. The observation time [0,T] may be fixed or lim n T = 0, where nh = T and h is a mesh…
We study the diffusive limit approximation for a nonlinear radiative heat transfer system that arises in the modeling of glass cooling, greenhouse effects and in astrophysics. The model is considered with the reflective radiative boundary…
We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…
Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of…
This paper aims to establish a central limit theorem for Markov processes conditioned not to be absorbed under a very general assumption on quasi-stationarity for the underlying process. To do so, a central limit theorem has been…
The analysis of diffusion processes in real-world propagation scenarios often involves estimating variables that are not directly observed. These hidden variables include parental relationships, the strengths of connections between nodes,…