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Heat diffusion on homogeneous trees (Note on a paper by G. Medolla and A. G. Setti)

Wolfgang Woess (2001)

Bollettino dell'Unione Matematica Italiana

Medolla e Setti [6] studiano l'andamento della diffusione del calore generata dal Laplaciano discreto su un albero omogeneo e dimostrano che il calore è asintoticamente concentrato in «anelli» che viaggiano verso l'infinito a velocità lineare e la cui larghezza divisa per t tende all'infinito, dove t è il tempo. Qui si spiega come un risultato più preciso si ottiene come corollario della legge dei grandi numeri e del teorema del limite centrale per la passeggiata aleatoria sull'albero. Inoltre,...

Heat kernel on manifolds with ends

Alexander Grigor’yan, Laurent Saloff-Coste (2009)

Annales de l’institut Fourier

We prove two-sided estimates of heat kernels on non-parabolic Riemannian manifolds with ends, assuming that the heat kernel on each end separately satisfies the Li-Yau estimate.

Hitting distributions of geometric Brownian motion

T. Byczkowski, M. Ryznar (2006)

Studia Mathematica

Let τ be the first hitting time of the point 1 by the geometric Brownian motion X(t) = x exp(B(t) - 2μt) with drift μ ≥ 0 starting from x > 1. Here B(t) is the Brownian motion starting from 0 with EB²(t) = 2t. We provide an integral formula for the density function of the stopped exponential functional A ( τ ) = ∫ 0 τ X ² ( t ) d t and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in [BGS], the present paper covers the case of arbitrary drifts μ ≥ 0 and provides a significant...

Homogenization of a semilinear parabolic PDE with locally periodic coefficients: a probabilistic approach

Abdellatif Benchérif-Madani, Étienne Pardoux (2007)

ESAIM: Probability and Statistics

In this paper, a singular semi-linear parabolic PDE with locally periodic coefficients is homogenized. We substantially weaken previous assumptions on the coefficients. In particular, we prove new ergodic theorems. We show that in such a weak setting on the coefficients, the proper statement of the homogenization property concerns viscosity solutions, though we need a bounded Lipschitz terminal condition.

Homogenization of locally stationary diffusions with possibly degenerate diffusion matrix

Rémi Rhodes (2009)

Annales de l'I.H.P. Probabilités et statistiques

This paper deals with homogenization of second order divergence form parabolic operators with locally stationary coefficients. Roughly speaking, locally stationary coefficients have two evolution scales: both an almost constant microscopic one and a smoothly varying macroscopic one. The homogenization procedure aims to give a macroscopic approximation that takes into account the microscopic heterogeneities. This paper follows [Probab. Theory Related Fields (2009)] and improves this latter work by...

Interacting brownian particles and Gibbs fields on pathspaces

David Dereudre (2003)

ESAIM: Probability and Statistics

In this paper, we prove that the laws of interacting brownian particles are characterized as Gibbs fields on pathspace associated to an explicit class of hamiltonian functionals. More generally, we show that a large class of Gibbs fields on pathspace corresponds to brownian diffusions. Some applications to time reversal in the stationary and non stationary case are presented.

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