相关论文: Limit theorems for sticky SDEs with local times an…

We study homogenization for a class of generalized Langevin equations (GLEs) with state-dependent coefficients and exhibiting multiple time scales. In addition to the small mass limit, we focus on homogenization limits, which involve taking…

The paper presents a generalization of the local limit theorem on the convergence of inhomogeneous Markov chains to the diffusion limit for the case where the corresponding process coefficients satisfy weak regularity conditions and…

We study the homogenization of a steady diffusion equation in a highly heterogeneous medium made of two subregions separated by a periodic barrier through which the flow is proportional to the jump of the temperature by a layer conductance…

We present an explicit method for simulating stochastic differential equations (SDEs) that have variable diffusion coefficients and satisfy the detailed balance condition with respect to a known equilibrium density. In Tupper and Yang…

We consider a model for the evolution of an interface in a heterogeneous environment governed by a parabolic equation. The heterogeneity is introduced as obstacles exerting a localized dry friction. Our main result establishes the emergence…

Using techniques of the theory of semigroups of linear operators we study the question of approximating solutions to equations governing diffusion in thin layers separated by a semi-permeable membrane. We show that as thickness of the…

This paper proposes an adaptive time-stepping mothods for stochastic diffusion systems whose drift and diffusion coefficients are locally Lipschitz continuous and may exhibit polynomial growth. By controlling the growth of both the drift…

In this paper we study the convergence of solutions for (possibly degenerate) stochastic differential equations driven by L\'evy processes, when the coefficients converge in some appropriate sense. First, we prove, by means of a…

We study the long time behavior (homogenization) of a diffusion in random medium with time and space dependent coefficients. The diffusion coefficient may degenerate. In Stochastic Process. Appl. (2007) (to appear), an invariance principle…

In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…

In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first…

We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from…

The two dimensional Navier-Stokes equation in a perforated domain with a dynamical slip boundary condition is considered. We assume that the dynamic is driven by a stochastic perturbation on the interior of the domain and another stochastic…

In this paper we study coupled fast-slow ordinary differential equations (ODEs) with small time scale separation parameter $\epsilon$ such that, for every fixed value of the slow variable, the fast dynamics are sufficiently chaotic with…

Convergence of the solutions of nonhomogeneous linear singularly perturbed systems to that of the corresponding reduced singular system on the half-line [0, $\infty $) is considered. To include the situation on a neighborhood of initial…

We study the question of periodic homogenization of a variably scaled reaction-diffusion problem with non-linear drift posed for a domain crossed by a flat composite thin layer. The structure of the non-linearity in the drift was obtained…

Elasticity theory provides an accurate description of the long-wavelength vibrational dynamics of homogeneous crystalline solids, and with supplemental boundary conditions on the displacement field can also be applied to abrupt…

We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…

A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential…

In this paper, we propose a new interpretation of local limit theorems for univariate and multivariate distributions on lattices. We show that - given a local limit theorem in the standard sense - the distributions are approximated well by…