On Multidimensional Generalized Diffusion Processes

We construct a multidimensional generalized diffusion process with the drift coefficient that is the (generalized) derivative of a vector-valued measure satisfying an analog of the Hölder condition with respect to volume. We prove the existence and continuity of the density of transition probability of this process and obtain standard estimates for this density. We also prove that the trajectories of the process are solutions of a stochastic differential equation.     

An upwind finite volume scheme and its maximum‐principle‐preserving ADI splitting for unsteady‐state advection‐diffusion equations

We develop an upwind finite volume (UFV) scheme for unsteady‐state advection‐diffusion partial differential equations (PDEs) in multiple space dimensions. We apply an alternating direction implicit (ADI) splitting technique to accelerate the solution process of the numerical scheme. We investigate and analyze the reason why the conventional ADI splitting does not satisfy maximum principle in the context of advection‐diffusion PDEs. Based on the analysis, we propose a new ADI splitting of the upwind finite volume scheme, the alternating‐direction implicit, upwind finite volume (ADFV) scheme. We prove that both UFV and ADFV schemes satisfy maximum principle and are unconditionally stable. We also derive their error estimates. Numerical results are presented to observe the performance of these schemes. © 2003 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 211–226, 2003     

Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin

We consider the problem of minimizing the probability of ruin by purchasing reinsurance whose premium is computed according to the mean–variance premium principle, a combination of the expected-value and variance premium principles. We derive closed-form expressions of the optimal reinsurance strategy and the corresponding minimum probability of ruin under the diffusion approximation of the classical Cramér–Lundberg risk process perturbed by a diffusion. We find an explicit expression for the reinsurance strategy that maximizes the adjustment coefficient for the classical risk process perturbed by a diffusion. Also, for this risk process, we use stochastic Perron’s method to prove that the minimum probability of ruin is the unique viscosity solution of its Hamilton–Jacobi–Bellman equation with appropriate boundary conditions. Finally, we prove that, under an appropriate scaling of the classical risk process, the minimum probability of ruin converges to the minimum probability of ruin under the diffusion approximation.     

Strassen's local law of the iterated logarithm for Lévy's area

We prove a Strassen's law of the iterated logarithm at zero for Lévy's area process. Contrary to the Brownian case, the time inversion argument doesn't seem to work. Here, the main tool in the proof is large deviations estimates for diffusion processes with small diffusion coefficients.     

A finite volume scheme for convection–diffusion equations with nonlinear diffusion derived from the Scharfetter–Gummel scheme

We propose a finite volume scheme for convection–diffusion equations with nonlinear diffusion. Such equations arise in numerous physical contexts. We will particularly focus on the drift-diffusion system for semiconductors and the porous media equation. In these two cases, it is shown that the transient solution converges to a steady-state solution as t tends to infinity. The introduced scheme is an extension of the Scharfetter–Gummel scheme for nonlinear diffusion. It remains valid in the degenerate case and preserves steady-states. We prove the convergence of the scheme in the nondegenerate case. Finally, we present some numerical simulations applied to the two physical models introduced and we underline the efficiency of the scheme to preserve long-time behavior of the solutions.     

Monotone corrections for generic cell-centered finite volume approximations of anisotropic diffusion equations

We present a nonlinear technique to correct a general finite volume scheme for anisotropic diffusion problems, which provides a discrete maximum principle. We point out general properties satisfied by many finite volume schemes and prove the proposed corrections also preserve these properties. We then study two specific corrections proving, under numerical assumptions, that the corresponding approximate solutions converge to the continuous one as the size of the mesh tends to zero. Finally we present numerical results showing that these corrections suppress local minima produced by the original finite volume scheme.     

Stochastic Quantization of the Two-Dimensional Polymer Measure

We prove that there exists a diffusion process whose invariant measure is the two-dimensional polymer measure ν _g . The diffusion is constructed by means of the theory of Dirichlet forms on infinite-dimensional state spaces. We prove the closability of the appropriate pre-Dirichlet form which is of gradient type, using a general closability result by two of the authors. This result does not require an integration by parts formula (which does not hold for the two-dimensional polymer measure ν _g ) but requires the quasi-invariance of ν _g along a basis of vectors in the classical Cameron—Martin space such that the Radon—Nikodym derivatives (have versions which) form a continuous process. We also show the Dirichlet form to be irreducible or equivalently that the diffusion process is ergodic under time translations. Accepted 16 April 1998     

Hamiltonian systems with a stochastic force:nonlinear versus linear,and a girsanov formula

We discuss stochastic perturbations of classical Hamiltonian systems by a white noise force. We prove existence and uniqueness results for the solutions of the equation of motion under general conditions on the classical system, as well as their continuous dependence on the initial conditions. We also prove that the process in phase space is a diffusion with transition probability densities, and Lebesgue measure as c-finite invariant measure. We prove a Girsanov formula relating the solution for a nonlinear force with the one for a linear force, and give asymptotic estimates on functions of the phase space process     

Comparison theorems for diffusion processes

We prove comparison theorems for diffusion processes onR ^d. From these theorems we derive lower and upper bounds for the transition probabilities of a diffusion process. In contrast to the known estimates for fundamental solutions of parabolic equations our bounds do not depend on the moduli of continuity of the coefficients of the differential operator.     

扩散过程关于（r，p）－容度的大偏差

本文证明扩散过程关于（ｒ，ｐ）－容度服从大偏差原理，作为此结果的一个应用，我们证明扩散过程的拟泛函重对数律成立．     

Qualitative analysis of a delayed free boundary problem for tumor growth under the effect of inhibitors

In this paper we study a delayed free boundary problem for the growth of tumors under the effect of inhibitors. The establishing of the model is based on the diffusion of nutrient and inhibitors, and mass conservation for the two processes proliferation and apoptosis. It is assumed that the process of proliferation is delayed compared to apoptosis. We mainly study the asymptotic behavior of the solution, and prove that under some assumptions, in the case where c₁ and c₂ are sufficiently small, the volume of the tumor cannot expand without limit; it will either disappear or evolve to a dormant state as t→∞.     

Scaling limit theorem for transient random walk in random environment

We construct a sequence of transient random walks in random environments and prove that by proper scaling, it converges to a diffusion process with drifted Brownian potential. To this end, we prove a counterpart of convergence for transient random walk in non-random environment, which is interesting itself.     

Fractional diffusion-type equations with exponential and logarithmic differential operators

We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi et al. (2001)): the first equation considered here is obtained by adding an exponential differential (or shift) operator expressed in terms of the Riesz–Feller derivative. We prove that this produces a random component in the time-argument of the corresponding stable process, which is represented by the so-called Poisson process with drift. Analogously, if we add, to the space-fractional diffusion equation, a logarithmic differential operator involving the Riesz-derivative, we obtain, as a solution, the transition semigroup of a stable process subordinated by an independent gamma subordinator with drift. Finally, we show that an extension of the space-fractional diffusion equation, containing both the fractional shift operator and the Feller integral, is satisfied by the transition density of the process obtained by time-changing the stable process with an independent linear birth process with drift.     

三维多面体网格上扩散方程的保正格式

 针对三维任意(星形)多面体网格, 本文构造了扩散方程的一种单元中心型非线性有限体积格式, 证明了该格式具有保正性. 在该格式设计中, 除引入网格中心量外, 还引入网格节点量和网格面中心量作为中间未知量, 它们将用网格中心未知量线性组合表示, 使得格式仅有网格中心未知量作为基本未知量. 在节点量计算中, 利用网格面上的调和平均点, 设计了一种适用于三维多面体网格的局部显式加权方法. 该格式适用于求解非平面的网格表面和间断扩散系数的问题. 数值例子验证了它对光滑解具有二阶精度和保正性.     

A Geometric Characterization of Viable Sets for Controlled Degenerate Diffusions

For a general controlled diffusion process and an arbitrary closed set K we study the viability, or weak invariance, or controlled invariance, of K, that is, the existence of a control for each initial point in K keeping the trajectory forever in K. By viscosity solutions methods we prove a simple necessary and sufficient condition involving only a deterministic second-order normal cone to K and the data of the diffusion process. We also give an extension to stochastic differential games.     

On Randomly Perturbed Linear Oscillating Mechanical Systems

We prove that the amplitudes and the phases of eigenoscillations of a linear oscillating system perturbed by either a fast Markov process or a small Wiener process can be described asymptotically as a diffusion process whose generator is calculated.     

A reaction–diffusion system modeling predator–prey with prey-taxis

We are concerned with a system of nonlinear partial differential equations modeling the Lotka–Volterra interactions of predators and preys in the presence of prey-taxis and spatial diffusion. The spatial and temporal variations of the predator's velocity are determined by the prey gradient. We prove the existence of weak solutions by using Schauder fixed-point theorem and uniqueness via duality technique. The linearized stability around equilibrium is also studied. A finite volume scheme is build and numerical simulation show interesting phenomena of pattern formation.     

Asymptotic behaviour of fast diffusions on graphs

Semigroup Forum - We study a diffusion process on a finite graph with semipermeable membranes on vertices. We prove, in $$L^1$$ and $$L^2$$ -type spaces that for a large class of boundary...     

Uniform global bounds for solutions of an implicit Voronoi finite volume method for reaction–diffusion problems

We consider discretizations for reaction–diffusion systems with nonlinear diffusion in two space dimensions. The applied model allows to handle heterogeneous materials and uses the chemical potentials of the involved species as primary variables. We propose an implicit Voronoi finite volume discretization on arbitrary, even anisotropic, Voronoi meshes that allows to prove uniform, mesh-independent global upper and lower bounds for the chemical potentials. These bounds provide one of the main steps for a convergence analysis for the fully discretized nonlinear evolution problem. The fundamental ideas are energy estimates, a discrete Moser iteration and the use of discrete Gagliardo–Nirenberg inequalities.     

Optimal control problems in diffusion processes with a nonsmooth nonlinear boundary condition

We investigate a one-dimensional diffusion process controlled by a nonsmooth nonlinear boundary condition. Existence and estimates of positive solutions of the differential equation are derived. We prove necessary conditions for optimal controls and apply them to two examples.