Related papers: Perpetual integral functionals of diffusions and t…
We study the distribution of first-passage functionals ${\cal A}= \int_0^{t_f} x^n(t)\, dt$, where $x(t)$ is a Brownian motion (with or without drift) with diffusion constant $D$, starting at $x_0>0$, and $t_f$ is the first-passage time to…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…
Fractional differential equations (FDEs) are an extension of the theory of fractional calculus. However, due to the difficulty in finding analytical solutions, there have not been extensive applications of FDEs until recent decades. With…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
A probabilistic framework for studying single-particle diffusion in partially absorbing media has recently been developed in terms of an encounter-based approach. The latter computes the joint probability density (generalized propagator)…
We consider additive functionals as a time and space-dependent function of a diffusion corresponding to nonhomogeneous uniformly elliptic divergence form operator. We show that if the function belongs to natural domain of strong solutions…
This work addresses the regularity of solutions for a nonlocal diffusion equation over the space of periodic distributions. The spatial operator for the nonlocal diffusion equation is given by a nonlocal Laplace operator with a compactly…
In this paper we study the problem of computing the effective diffusivity for a particle moving in chaotic and stochastic flows. In addition we numerically investigate the residual diffusion phenomenon in chaotic advection. The residual…
The one-dimensional overdamped Brownian motion in a symmetric periodic potential modulated by external time-reversible noise is analyzed. The calculation of the effective diffusion coefficient is reduced to the mean first passage time…
In this paper, we investigate the computational complexity of solutions to the Laplace and the diffusion equation. We show that for a certain class of initial-boundary value problems of the Laplace and the diffusion equation, the solution…
We obtain an integral formula for the distribution of the first hitting time of the origin for one-dimensional $\alpha$-stable processes $X_t$, where $\alpha\in(1,2)$. We also find a spectral-type integral formula for the transition…
In this paper we study the moment generating function and the moments of occupation time functionals of one-dimensional diffusions. Assuming, specifically, that the process lives on $\mathbb{R}$ and starts at~0, we apply Kac's moment…
First passage distributions of semi-Markov processes are of interest in fields such as reliability, survival analysis, and many others. The problem of finding or computing first passage distributions is, in general, quite challenging. We…
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing…
While the theory of diffusion of a single Brownian particle in confined geometries is well-established by now, we discuss here the theoretical framework necessary to generalize the theory of diffusion to dense suspensions of strongly…
We study the diffusion equation with an appropriate change of variables. This equation is in general a partial differential equation (PDE). With the self-similar and related Ansat\"atze we transform the PDE of diffusion to an ordinary…
We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.
In this paper we derive the Laplace transforms of the integral functionals $$ \int_0^\infty (p(\exp(B^{(\mu)}_t)+1)^{-1}+ q(\exp(B^{(\mu)}_t)+1)^{-2}) dt, $$ $$ \int_0^\infty (p(\exp(R^{(3)}_t)-1)^{-1}+ q(\exp(R^{(3)}_t)-1)^{-2}) dt, $$…
In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…