相关论文: Kolmogorov equations for evaluating the boundary h…

For the regime-switching diffusion process with and without advection term we propose an integro-differential equation describing the densities of states continuously distributed over a segment. We demonstrate that there exists a…

The propagation of fronts in the Fisher-Kolmogorov equation with spatially varying diffusion coefficients is studied. Using coordinate changes, WKB approximations, and multiple scales analysis, we provide an analytic framework that…

In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model…

Incorporating boundary conditions into stochastic models of passive or active particle motion is usually implemented at the level of the associated forward or backward Kolmogorov equation, whose solution determines the probability…

In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main novelty here is that we allow the drift to go to $- \infty$ at the origin, and the diffusion to have an entrance boundary at $+\infty$. These…

The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…

We obtain estimates for the weighted $L^1$-norm of the difference of two probability solutions to Kolmogorov equations in terms of the difference of the diffusion matrices and the drifts. Unlike the previously known results, our estimate…

We derive a diffusion approximation for the kinetic Vlasov-Fokker-Planck equation in bounded spatial domains with specular reflection type boundary conditions. The method of proof involves the construction of a particular class of test…

We develop an encounter-based approach for describing restricted diffusion with a gradient drift towards a partially reactive boundary. For this purpose, we introduce an extension of the Dirichlet-to-Neumann operator and use its eigenbasis…

This paper focuses on a drift-diffusion system subjected to boundedly non dissipative Robin boundary conditions. A general existence result with large initial conditions is established by using suitable L1, L2 and trace estimates. Finally,…

We study the inverse boundary crossing problem for diffusions. Given a diffusion process $X_t$, and a survival distribution $p$ on $[0,\infty)$, we demonstrate that there exists a boundary $b(t)$ such that $p(t)=\mathbb{P}[\tau >t]$, where…

We study nonlinear stationary Kolmogorov equations with degenerate diffusion matrices and discontinuous coefficients. The existence of a solution is proved. We propose a new approach based on an integral condition with Lyapunov functions…

We show that some boundary conditions assumed at a thin membrane may result in normal diffusion not being the stochastic Markov process. We consider boundary conditions defined in terms of the Laplace transform in which there is a linear…

A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…

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 study the convergence of the new family of mimetic finite difference schemes for linear diffusion problems recently proposed in [38]. In contrast to the conventional approach, the diffusion coefficient enters both the primary mimetic…

This paper is devoted to the study of some nonlinear parabolic equations with discontinuous diffusion intensities. Such problems appear naturally in physical and biological models. Our analysis is based on variational techniques and in…

In this article, we are interested in the Dirichlet problem for parabolic viscous Hamilton-Jacobi Equations. It is well-known that the gradient of the solution may blow up in finite time on the boundary of the domain, preventing a classical…

We study diffusion processes that are stopped or reflected on the boundary of a domain. The generator of the process is assumed to contain two parts: the main part that degenerates on the boundary in a direction orthogonal to the boundary…

We consider the diffusive Hamilton-Jacobi equation, with homogeneous Dirichlet conditions and regular initial data. It is known from [Barles-DaLio, 2004] that the problem admits a unique, continuous, global viscosity solution, which extends…