相关论文: Crossing Probabilities for Diffusion Processes wit…
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability $F(g)$ of a general time-inhomogeneous diffusion process to perturbations of the boundary $g$. We prove that, for boundaries $g\in C^2,$ this…
This paper uses Lie symmetry methods to analyze boundary crossing probabilities for a large class of diffusion processes. We show that if Fokker--Planck--Kolmogorov equation has non-trivial Lie symmetry, then boundary crossing identity…
We study a one-dimensional diffusion process in a drifted Brownian potential. We characterize the upper functions of its hitting times in the sense of Paul L\'evy, and determine the lower limits in terms of an iterated logarithm law.
In this paper, we present a theoretical and computational workflow for the non-parametric Bayesian inference of drift and diffusion functions of autonomous diffusion processes. We base the inference on the partial differential equations…
In this paper, a Bayesian method for piecewise regression is adapted to handle counting processes data distributed as Poisson. A numerical code in Mathematica is developed and tested analyzing simulated data. The resulting method is…
In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…
We consider the problem of leakage or effusion of an ensemble of independent stochastic processes from a region where they are initially randomly distributed. The case of Brownian motion, initially confined to the left half line with…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
We consider Monte Carlo methods for simulating solutions to the analogue of the Dirichlet boundary-value problem in which the Laplacian is replaced by the fractional Laplacian and boundary conditions are replaced by conditions on the…
We give new and explicitly computable examples of Gibbs-non-Gibbs transitions of mean-field type, using the large deviation approach introduced in [4]. These examples include Brownian motion with small variance and related diffusion…
In this paper is described the general aspect of a numerical method for piecewise determin-istic Markov processes with boundary. Under very natural hypotheses, a crucial result about uniqueness of solution of a generalized Kolmogorov…
We review and study a one-parameter family of functional transformations, denoted by $(S^{(\beta)})_{\beta\in \R}$, which, in the case $\beta<0$, provides a path realization of bridges associated to the family of diffusion processes…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…
The purpose of the paper is to provide a general method for computing hitting distributions of some regular subsets D for Ornstein-Uhlenbeck type operators of the form 1/2\Delta + F\cdot\nabla, with F bounded and orthogonal to the boundary…
We first study crossing statistics in random connection models (RCM) built on marked Poisson point processes on $\mathbb R^d$. Under general assumptions, we show exponential tail bounds for the number of crossings of a box contained in the…
We construct a generalization of the Ornstein-Uhlenbeck processes on the cone of covariance matrices endowed with the Log-Euclidean and the Affine-Invariant metrics. Our development exploits the Riemannian geometric structure of symmetric…
Three-dimensional Monte Carlo simulations provide a striking confirmation to a recent theoretical prediction: the Brownian non-Gaussian diffusion of critical self-avoiding walks. Although the mean square displacement of the polymer center…
We consider a processor sharing queue where the number of jobs served at any time is limited to $K$, with the excess jobs waiting in a buffer. We use random counting measures on the positive axis to model this system. The limit of this…
A non-linear differential equation arising from a stochastic process known as branching Brownian motion is considered. We find an explicit solution and show the uniqueness of the solution under some boundedness conditions using…
Classical diffusion in a random medium involves an exponential functional of Brownian motion. This functional also appears in the study of Brownian diffusion on a Riemann surface of constant negative curvature. We analyse in detail this…