相关论文: On diffusion approximation of a slow component for…

In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…

Diffusion of small particles is omnipresent in a plentiful number of processes occurring in Nature. As such, it is widely studied and exerted in almost all branches of sciences. It constitutes such a broad and often rather complex subject…

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…

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.…

Considering the example of interacting Brownian particles we present a linear response derivation of the boundary condition for the corresponding hydrodynamic description (the diffusion equation). This requires us to identify a non-analytic…

The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the…

We discuss the situations under which Brownian yet non-Gaussian (BnG) diffusion can be observed in the model of a particle's motion in a random landscape of diffusion coefficients slowly varying in space. Our conclusion is that such…

Using the scheme of mesoscopic nonequilibrium thermodynamics, we construct the one- and two- particle Fokker-Planck equations for a system of interacting Brownian particles. By means of these equations we derive the corresponding balance…

The main result of this article regards a small time approximation for the Girsanov's exponential. We prove that the latter is well described over short time intervals by the solution of a deterministic partial differential equation.The…

The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…

We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity. When these parameters change as function of…

Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time…

Fractional Fokker-Planck equation plays an important role in describing anomalous dynamics. To the best of our knowledge, the existing discussions mainly focus on this kind of equation involving one diffusion operator. In this paper, we…

We show that, simultaneous local scaling of coordinate and time keeping the velocity unaltered is a symmetry of an It\^o-process. Using this symmetry, any It\^o-process can be mapped to a universal additive Gaussian-noise form. We use this…

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…

For the particles undergoing the anomalous diffusion with different waiting time distributions for different internal states, we derive the Fokker-Planck and Feymann-Kac equations, respectively, describing positions of the particles and…

Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by…

We study the dynamics of Brownian particles in a heterogeneous one-dimensional medium with a spatially-dependent diffusion coefficient of the form $D(x)\sim |x|^c$, at constant temperature. The particle's probability distribution function…

We study efficiency of non-parametric estimation of diffusions (stochastic differential equations driven by Brownian motion) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is…

Let $\{b_H(t),t\in\mathbb{R}\}$ be the fractional Brownian motion with parameter $0<H<1$. When $1/2<H$, we consider diffusion equations of the type \[X(t)=c+\int_0^t\sigma\bigl(X(u)\bigr)\mathrm {d}b_H(u)+\int _0^t\mu\bigl(X(u)\bigr)\mathrm…