We propose a method for reconstructing a probability density function (pdf) from a sample of an n -dimensional probability distribution. The method works by iteratively applying simple transformations ...

We consider several transforms related to first-passage times, e.g. for the M/M/1 queue, reflected Brownian motion and Lévy processes. Some of the associated probability density functions involve ...

We show the existence and uniqueness of a function-valued process solution to the stochastic Cahn-Hilliard equation driven by space-time white noise with a nonlinear diffusion coefficient. Then we ...