相关论文: On first exit times for homogeneous diffusion proc…
The long-time dynamics of reaction-diffusion processes in low dimensions is dominated by fluctuation effects. The one-dimensional coagulation-diffusion process describes the kinetics of particles which freely hop between the sites of a…
In this paper, we consider a homogeneous Markov process \xi(t;\omega) on an ultrametric space Q_p, with distribution density f(x,t), x in Q_p, t in R_+, satisfying the ultrametric diffusion equation df(x,t)/dt =-Df(x,t). We construct and…
We consider the Cauchy problem for two prototypes of flux-saturated diffusion equations. In arbitrary space dimension, we give an optimal condition on the growth of the initial datum which discriminates between occurrence or nonoccurrence…
The relative dispersion process in two-dimensional free convection turbulence is investigated by direct numerical simulation. In the inertial range, the growth of relative separation, $r$, is expected as $<r^2(t)>\propto t^5$ according to…
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…
We present two limit theorems, a mean ergodic and a central limit theorem, for a specific class of one-dimensional diffusion processes that depend on a small-scale parameter $\varepsilon$ and converge weakly to a homogenized diffusion…
Many events in biology are triggered when a diffusing searcher finds a target, which is called a first passage time (FPT). The overwhelming majority of FPT studies have analyzed the time it takes a single searcher to find a target. However,…
We study lower and upper bounds for the probability that a diffusion process in $\mathbb{R}^n$ remains in a tube around a skeleton path up to a fixed time. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate…
General upper bounds on fluctuations of trajectory observables were recently obtained. It turned out that the size of fluctuations of dynamical observable is limited from below and from above. For the moment generating function of general…
For a spectrally positive strictly stable process with index in (1,2), the paper obtains i) the density of the time when the process makes first exit from an interval by hitting the interval's lower end point before jumping over its upper…
A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in many applications, with finance as a prominent example. The…
We consider the initial boundary value problem for the time-fractional diffusion equation with a homogeneous Dirichlet boundary condition and an inhomogeneous initial data $a(x)\in L^{2}(D)$ in a bounded domain $D\subset \mathbb{R}^d$ with…
We find explicit and optimal upper bounds for the expected occupation density for an It\^o-process when its drift and diffusion coefficients are unknown under boundedness and ellipticity conditions on the coefficients. This is related to…
We revise the classical problem of characterizing first exit times of a harmonically trapped particle whose motion is described by one- or multi-dimensional Ornstein-Uhlenbeck process. We start by recalling the main derivation steps of a…
Calculating how long a coupled multi-species reactive-diffusive transport process in a heterogeneous medium takes to effectively reach steady state is important in many applications. In this paper, we show how the time required for such…
We report some additional examples of explicit solutions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If $X(t)$ is a one-dimensional diffusion with jumps, starting from…
We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…
We show that the distribution of times for a diffusing particle to first hit an absorber is \emph{independent} of the direction of an external flow field, when we condition on the event that the particle reaches the target for flow away…
We study measures of the amount of time required for transient flow in heterogeneous porous media to effectively reach steady state, also known as the response time. Here, we develop a new approach that extends the concept of mean action…
In this paper, we consider a diffusion process pertaining to a chain of distributed control systems with small random perturbation. The distributed control system is formed by n subsystems that satisfy an appropriate Hormander condition,…