Search results for "Diffusion process"

Exact simulation of diffusion first exit times: algorithm acceleration

2020

In order to describe or estimate different quantities related to a specific random variable, it is of prime interest to numerically generate such a variate. In specific situations, the exact generation of random variables might be either momentarily unavailable or too expensive in terms of computation time. It therefore needs to be replaced by an approximation procedure. As was previously the case, the ambitious exact simulation of exit times for diffusion processes was unreachable though it concerns many applications in different fields like mathematical finance, neuroscience or reliability. The usual way to describe exit times was to use discretization schemes, that are of course approxim…

Penetrant diffusion in frozen polymer matrices: A finite-size scaling study of free volume percolation

1996

The diffusion of penetrant particles in frozen polymer matrices is investigated by means of Monte Carlo simulations of the bond fluctuation model. By applying finite-size scaling to data obtained from very large systems it is demonstrated that the diffusion process takes place on a percolating free volume cluster describable by a correlated site percolation model which falls into the same universality class as random percolation. The diverging correlation length entails a pronounced dependence of the diffusion constant on the size of the simulated system. It is shown that this dependence is appreciable for a wide range of parameters around the transition. \textcopyright{} 1996 The American …

Intranuclear dynamics in parvovirus infection

2009

A Time-Non-Homogeneous Double-Ended Queue with Failures and Repairs and Its Continuous Approximation

2018

We consider a time-non-homogeneous double-ended queue subject to catastrophes and repairs. The catastrophes occur according to a non-homogeneous Poisson process and lead the system into a state of failure. Instantaneously, the system is put under repair, such that repair time is governed by a time-varying intensity function. We analyze the transient and the asymptotic behavior of the queueing system. Moreover, we derive a heavy-traffic approximation that allows approximating the state of the systems by a time-non-homogeneous Wiener process subject to jumps to a spurious state (due to catastrophes) and random returns to the zero state (due to repairs). Special attention is devoted to the cas…