相关论文: An It\^o calculus for a class of limit processes a…

In this paper, we demonstrate the simulation of fundamental solution for the parabolic equation by the relationship with Ito diffusion. The factorization and Monte Carlo methods of the fundamental solution are considered. With the fact that…

In this paper, we develop and analyze a stochastic algorithm for solving space-time fractional diffusion models, which are widely used to describe anomalous diffusion dynamics. These models pose substantial numerical challenges due to the…

We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…

A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative…

We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…

We generalize Einstein's master equation for random walk processes by considering that the probability for a particle at position $r$ to make a jump of length $j$ lattice sites, $P_j(r)$ is a functional of the particle distribution function…

These lecture notes present some new concentration inequalities for Feynman-Kac particle processes. We analyze different types of stochastic particle models, including particle profile occupation measures, genealogical tree based evolution…

Many mathematical models utilize limit processes. Continuous functions and the calculus, differential equations and topology, all are based on limits and continuity. However, when we perform measurements and computations, we can achieve…

This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math.…

The {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…

We investigate a branching random walk where the displacements are independent from the branching mechanism and have a stretched exponential distribution. We describe the positions of the particles in the vicinity of the rightmost particle…

Estimating parameters of a diffusion process given continuous-time observations of the process via maximum likelihood approaches or, online, via stochastic gradient descent or Kalman filter formulations constitutes a well-established…

The bifurcation theory of ordinary differential equations (ODEs), and its application to deterministic population models, are by now well established. In this article, we begin to develop a complementary theory for diffusion-like…

We define a new stochastic process on general simplicial complexes which allows to study their spectral and homological properties. Some results for random walks on graphs are shown to hold in this general setting. As an application, the…

We analyze a pair of diffusion equations which are derived in the infinite system--size limit from a microscopic, individual--based, stochastic model. Deviations from the conventional Fickian picture are found which ultimately relate to the…

We study a Dirichlet--Ferguson process $\zeta$ on a general phase space. First we reprove the chaos expansion from Peccati (2008), providing an explicit formula for the kernel functions. Then we proceed with developing a Malliavin calculus…

We analyze fluctuations of random walks with generally distributed increments. Integral representations for key performance measures are obtained by extending an inversion theorem of Hewitt [11] for Laplace-Stieltjes transforms. Another…

We solve a physically significant extension of a classic problem in the theory of diffusion, namely the Ornstein-Uhlenbeck process [G. E. Ornstein and L. S. Uhlenbeck, Phys. Rev. 36, 823, (1930)]. Our generalised Ornstein-Uhlenbeck systems…

The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian…

The fractional diffusion equation is derived from the master equation of continuous-time random walks (CTRWs) via a straightforward application of the Gnedenko-Kolmogorov limit theorem. The Cauchy problem for the fractional diffusion…