相关论文: Formule d'Ito pour des diffusions uniformement ell…

Conventional approaches for simulating steady-state distributions of particles under diffusive and advective transport at high P\'eclet numbers involve solving the diffusion and advection equations in at least two dimensions. Here, we…

Nonequilibrium fluctuation-dissipation theorems (FDTs) are one of the most important advances in stochastic thermodynamics over the past two decades. Here we provide rigorous mathematical proofs of two types of nonequilibrium FDTs for…

We are interested in the uniqueness of solutions of a nonlinear, pseudomonotone, stochastic diffusion evolution problem with homogeneous Dirichlet boundary conditions with reflection, where the noise term is additive and given by a…

We consider a general one-dimensional overdamped diffusion model described by the It\^{o} stochastic differential equation (SDE) ${dX_t=\mu(X_t,t)dt+\sigma(X_t,t)dW_t}$, where $W_t$ is the standard Wiener process. We obtain a specific…

Resetting or restart, when applied to a stochastic process, usually brings its dynamics to a time-independent stationary state. In turn, the optimal resetting rate makes the mean time to reach a target to be the shortest one. These and…

We propose a generalized diffusion equation for a flat Euclidean space subjected to a continuous infinitesimal scale transform. For the special cases of an algebraic or exponential expansion/contraction, governed by time-dependent scale…

We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a…

We study the Dirichlet problem for the non-local diffusion equation $u_t=\int\{u(x+z,t)-u(x,t)\}\dmu(z)$, where $\mu$ is a $L^1$ function and $``u=\phi$ on $\partial\Omega\times(0,\infty)$'' has to be understood in a non-classical sense. We…

We discuss the effective diffusion constant $D_{{\it eff}}$ for stochastic processes with spatially-dependent noise. Starting from a stochastic process given by a Langevin equation, different drift-diffusion equations can be derived…

In this paper, a diffusion-aggregation equation with delta potential is introduced. Based on the global existence and uniform estimates of solutions to the diffusion-aggregation equation, we also provide the rigorous derivation from a…

Statistical properties of the front of a semi-infinite system of single-file diffusion (one dimensional system where particles cannot pass each other, but in-between collisions each one independently follow diffusive motion) are…

We establish general moment estimates for the discrete and continuous exit times of a general It\^o process in terms of the distance to the boundary. These estimates serve as intermediate steps to obtain strong convergence results for the…

In this work, we introduce a new difference equation which is discrete analogue of Diffusion differential equation and analyze some essential spectral properties, Diffusion difference operator is self-adjoint, eigenvalues of this problem…

A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…

The fractional diffusion equation is rigorously derived as a scaling limit from a deterministic Rayleigh gas, where particles interact via short range potentials with support of size $\varepsilon$ and the background is distributed in space…

We develop a fast divided-and-conquer indirect collocation method for the homogeneous Dirichlet boundary value problem of variable-order space-fractional diffusion equations. Due to the impact of the space-dependent variable order, the…

In the present article, the author uses Fourier theory of tempered distributions (generalized functions) in deriving a formula for Dirichlet-like integrals. The applied method is remarkably efficient and allows a solution in a few…

The time-fractional diffusion-wave equation is revisited, where the time derivative is of order $2 \nu$ and $0 < \nu \le 1$. The behaviour of the equation is "diffusion-like" (respectively, "wave-like") when $0 < \nu \le \frac{1}{2}$…

We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…

A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…