相关论文: On the reconstruction of the drift of a diffusion …

We investigate the fractional diffusion approximation of a kinetic equation in the upper-half plane with diffusive reflection conditions at the boundary. In an appropriate singular limit corresponding to small Knudsen number and long time…

We introduce a notion of viscosity solutions for a nonlinear degenerate diffusion equation with a drift potential. We show that our notion of solutions coincide with the weak solutions defined via integration by parts. As an application of…

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…

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 consider the inverse problem of identification of degenerate diffusion coefficient of the form $x^\alpha a(x)$ in a one dimensional parabolic equation by some extra data. We first prove by energy methods the uniqueness and Lipschitz…

We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek to determine parameters in the effective…

A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of…

Diffusion generative models unlock new possibilities for inverse problems as they allow for the incorporation of strong empirical priors in scientific inference. Recently, diffusion models are repurposed for solving inverse problems using…

A variety of boundary value problems in linear transport theory are expressed as a diffusion equation of the two-way, or forward-backward, type. In such problems boundary data are specified only on part of the boundary, which introduces…

A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…

The backwards diffusion equation is one of the classical ill-posed inverse problems, related to a wide range of applications, and has been extensively studied over the last 50 years. One of the first methods was that of {\it…

In this article, we consider inverse problems of determining a source term and a coefficient of a first-order partial differential equation and prove conditional stability estimates with minimum boundary observation data and relaxed…

In this work we investigate an inverse problem of recovering a time-dependent potential in a semilinear subdiffusion model from an integral measurement of the solution over the domain. The model involves the Djrbashian--Caputo fractional…

We study nonparametric density estimation in non-stationary drift settings. Given a sequence of independent samples taken from a distribution that gradually changes in time, the goal is to compute the best estimate for the current…

This article is devoted to Feller's diffusion equation which arises naturally in probabilities and physics (e.g. wave turbulence theory). If discretized naively, this equation may represent serious numerical difficulties since the diffusion…

We investigate the transience/recurrence of a non-Markovian, one-dimensional diffusion process which consists of a Brownian motion with a non-anticipating drift that has two phases---a transient to $+\infty$ mode which is activated when the…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

We study Bayes procedures for the problem of nonparametric drift estimation for one-dimensional, ergodic diffusion models from discrete-time, low-frequency data. We give conditions for posterior consistency and verify these conditions for…

The problem of a diffusing particle moving among diffusing traps is analyzed in general space dimension d. We consider the case where the traps are initially randomly distributed in space, with uniform density rho, and derive upper and…

Recovering continuous-time dynamics from discrete observations is difficult because local supervision (e.g., pointwise regression targets, derivative approximations, or equation residuals) loses fidelity as the observation interval grows.…