Related papers: Moderate deviations for diffusions with Brownian p…
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 consider the random conductance model in a stationary and ergodic environment. Under suitable moment conditions on the conductances and their inverse, we prove a quenched invariance principle for the random walk among the random…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
Diffusion through semipermeable structures arises in a wide range of processes in the physical and life sciences. Examples at the microscopic level range from artificial membranes for reverse osmosis to lipid bilayers regulating molecular…
The goal of this paper is to study the Moderate Deviation Principle (MDP) for a system of stochastic reaction-diffusion equations with a time-scale separation in slow and fast components and small noise in the slow component. Based on weak…
We derive Cram\'{e}r type moderate deviations for stationary sequences of bounded random variables. Our results imply the moderate deviation principles and a Berry-Esseen bound. Applications to quantile coupling inequalities, functions of…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
We consider random walk with bounded jumps on a hypercubic lattice of arbitrary dimension in a dynamic random environment. The environment is temporally independent and spatially translation invariant. We study the rate functions of the…
In this work, we study the tradeoffs between the error probabilities of classical-quantum channels and the blocklength $n$ when the transmission rates approach the channel capacity at a rate slower than $1/\sqrt{n}$, a research topic known…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
The position $x(t)$ of a particle diffusing in a one-dimensional uncorrelated and time dependent random medium is simply Gaussian distributed in the typical direction, i.e. along the ray $x=v_0 t$, where $v_0$ is the average drift. However,…
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…
This article is concerned with moderate deviation principles of a general class of mean eld type interacting particle models. We discuss functional moderate deviations of the occupation measures for both the strong -topology on the space of…
The fundamental solutions of diffusion equation for the local-equilibrium and nonlocal models are considered as the limiting cases of the solution of a problem related to consideration of the Brownian particles random walks. The differences…
The celebrated Sutherland-Einstein relation for systems at thermal equilibrium states that spread of trajectories of Brownian particles is an increasing function of temperature. Here, we scrutinize diffusion of underdamped Brownian motion…
The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…
We analyze the dynamics of moderate fluctuations for macroscopic observables of the random field Curie Weiss model (i.e., standard Curie-Weiss model embedded in a site dependent, i.i.d. random environment). We obtain path space large…
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…
We prove a quenched central limit theorem for random walks with bounded increments in a randomly evolving environment on $\mathbb{Z}^d$. We assume that the transition probabilities of the walk depend not too strongly on the environment and…
We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally established for their marginal empirical…