相关论文: On the excursion theory for linear diffusions

We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the…

To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…

In this note, we connect two seemingly unrelated objects: On the one hand is a two-dimensional drift-diffusion process $X$ with divergence-free and time-independent drift $b$. The drift is given by a stationary Gaussian ensemble, and we…

We survey recent results of normal and anomalous diffusion of two types of random motions with long memory in ${\Bbb R}^d$ or ${\Bbb Z}^d$. The first class consists of random walks on ${\Bbb Z}^d$ in divergence-free random drift field,…

Prolongating our previous paper on the Einstein relation, we study the motion of a particle diffusing in a random reversible environment when subject to a small external forcing. In order to describe the long time behavior of the particle,…

Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…

We prove existence and uniqueness of travelling waves for a reaction-diffusion system coupling a classical reaction-diffusion equation in a strip with a diffusion equation on a line. To do this we use a continuation method which leads to…

In this work, we develop excursion theory for the Wright--Fisher diffusion with mutation. Our construction is intermediate between the classical excursion theory where all excursions begin and end at a single point and the more general…

In this paper, we study the law of the local time processes $(L_T^x(X),x\in \mathbb{R})$ associated to a spectrally negative L\'evy process $X$, in the cases $T=\tau_a^+$, the first passage time of $X$ above $a>0$ and $T=\tau(c)$, the first…

We study boundary traces of shift-invariant diffusions: two-dimensional diffusions in the upper half-plane $\mathbb{R} \times [0, \infty)$ (or in $\mathbb{R} \times [0, R)$) invariant under horizontal translations. We prove that the…

Even in a simple stochastic process, the study of the full distribution of time integrated observables can be a difficult task. This is the case of a much-studied process such as the Ornstein-Uhlenbeck process where, recently, anomalous…

We present and solve a continuum theory of vacancy-mediated diffusion (as evidenced, for example, in the vacancy driven motion of tracers in crystals). Results are obtained for all spatial dimensions, and reveal the strongly non-gaussian…

Motivated by various recent experimental findings, we propose a dynamical model of intermittently self-propelled particles: active particles that recurrently switch between two modes of motion, namely an active run-state and a turn state,…

We evaluate the limit distribution of the maximal excursion of a random walk in any dimension for homogeneous environments and for self-similar supports under the assumption of spherical symmetry. This distribution is obtained in closed…

Let $a\in (0,\infty)$. For a spectrally negative L\'evy process $X$ with infinite variation paths the resolvent of the process killed on hitting the two-point set $V=\{-a,a\}$ is identified. When further $X$ has no diffusion component the…

The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…

In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is…

We consider a diffusion model with limit cycle reaction functions, in the presence of convection. We select a set of functions derived from a realistic reaction model: the Schnakenberg equations. This resultant form is unsymmetrical. We…

We prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.

A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…