相关论文: Invariant distribution of duplicated diffusions an…
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
This work investigates both direct and inverse problems of the variable-exponent sub-diffusion model, which attracts increasing attentions in both practical applications and theoretical aspects. Based on the perturbation method, which…
We discuss the distribution of various estimators for extracting the diffusion constant of single Brownian trajectories obtained by fitting the squared displacement of the trajectory. The analysis of the problem can be framed in terms of…
Consider a chaotic dynamical system generating Brownian motion-like diffusion. Consider a second, non-chaotic system in which all particles localize. Let a particle experience a random combination of both systems by sampling between them in…
We consider the question of estimating the drift and the invariant density for a large class of scalar ergodic diffusion processes, based on continuous observations, in $\sup$-norm loss. The unknown drift $b$ is supposed to belong to a…
We show that the Turing patterns in reaction systems with subdiffusion can be replicated in an effective system with Markovian cross-diffusion. The effective system has the same Turing instability as the original system, and the same…
In numerical studies of diffusive dynamics, two different action functionals are often used to specify the probability distribution of trajectories, one of which requiring the evaluation of the second derivative of the potential in addition…
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…
The dynamics of Brownian motion has widespread applications extending from transport in designed micro-channels up to its prominent role for inducing transport in molecular motors and Brownian motors. Here, Brownian transport is studied in…
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…
Brownian diffusion subject to stochastic resetting to a fixed position has been widely studied for applications to random search processes. In an unbounded domain, the mean first-passage time at a target site can be minimized for a…
Diffusion and rectification of Brownian particles powered by a rotating wheel are numerically investigated in a two-dimensional channel. The nonequilibrium driving comes from the rotating wheel, which can break thermodynamical equilibrium…
We investigate the bounds between normal or anomalous effective diffusion for inertial particles transported by parallel flows. The infrared behavior of the fluid kinetic-energy spectrum, i.e. the possible presence of long-range…
Diffusion-a measure of dynamics, and entropy-a measure of disorder in the system, are found to be intimately correlated in many systems, and the correlation is often strongly non-linear. We explore the origin of this complex dependence by…
This article deals with transport properties of one dimensional Brownian diffusion under the influence of a correlated quenched random force, distributed as a two-level Poisson process. We find in particular that large time scaling laws of…
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 analyse diffusion dynamics on weakly-coupled networks (interconnected networks) by means of separation of time scales. Using an adiabatic approximation we reduced the system dynamics to a Markov chain with aggregated variables and…
In this work, we are concerned with existence and uniqueness of invariant measures for path-dependent random diffusions and their time discretizations. The random diffusion here means a diffusion process living in a random environment…
In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of…
We study the anomalous transport in systems of random walks (RW's) on comb-like lattices with fractal sidebranches, showing subdiffusion, and in a system of Brownian particles driven by a random shear along the x-direction, showing a…