Related papers: A Fleming--Viot process and Bayesian nonparametric…
A simple Markov process is considered involving a diffusion in one direction and a transport in a transverse direction. Quantitative mixing rate estimates are obtained with limited assumptions about the transport field, which might be…
The Davenport spectrum is a modification of the classical Kolmogorov spectrum for the inertial range of turbulence that accounts for non-scaling low frequency behavior. Like the classical fractional Brownian motion vis-\`a-vis the…
We present a classical, mesoscopic derivation of the Fokker-Planck equation for diffusion in an expanding medium. To this end, we take a conveniently generalized Chapman-Kolmogorov equation as the starting point. We obtain an analytical…
L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…
Recent theoretical modeling offers a unified picture for the description of stochastic processes characterized by a crossover from anomalous to normal behavior. This is particularly welcome, as a growing number of experiments suggest the…
Kingman's coalescent is one of the most popular models in population genetics. It describes the genealogy of a population whose genetic composition evolves in time according to the Wright-Fisher model, or suitable approximations of it…
This paper is concerned with ergodic properties of inhomogeneous Markov processes. Since the transition probabilities depend on initial times, the existing methods to obtain invariant measures for homogeneous Markov processes are not…
Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional…
Continuous measurements are central to quantum control and sensing, yet lack a model-independent operational description that can be applied to arbitrary non-Markovian processes without specifying a microscopic measurement model. Existing…
We study the small-time asymptotics for hypoelliptic diffusion processes conditioned by their initial and final positions, in a model class of diffusions satisfying a weak H\"ormander condition where the diffusivity is constant and the…
We analyze a possible extension of Gioia and Chakraborty's momentum transfer model of friction in steady turbulent pipe flows (Phys. Rev. Lett. 96, 044502 (2006)) to the case of time and/or space dependent turbulent flows. The end result is…
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
We consider nonparametric Bayesian inference in a reflected diffusion model $dX_t = b (X_t)dt + \sigma(X_t) dW_t,$ with discretely sampled observations $X_0, X_\Delta, \dots, X_{n\Delta}$. We analyse the nonlinear inverse problem…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
A Markov process fluctuating away from its typical behavior can be represented in the long-time limit by another Markov process, called the effective or driven process, having the same stationary states as the original process conditioned…
A conditional diffusion model has been developed to analyze intricate conductance fluctuations called universal conductance fluctuations or quantum fingerprints appearing in quantum transport phenomena. The model reconstructs impurity…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
The distribution of a Markov process with killing, conditioned to be still alive at a given time, can be approximated by a Fleming-Viot type particle system. In such a system, each particle is simulated independently according to the law of…
We provide a detailed description of the structure of the transition probabilities and of the hitting distributions of boundary components of a manifold with corners for a degenerate strong Markov process arising in population genetics. The…