Related papers: Filtration shrinkage by level-crossings of a diffu…
A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
We investigate convergence of martingales adapted to a given filtration of finite $\sigma$-algebras. To any such filtration we associate a canonical metrizable compact space $K$ such that martingales adapted to the filtration can be…
This paper deals with the filtering problem for a class of discrete time stochastic volatility models in which the disturbances have rational probability density functions. This includes the Cauchy distributions and Student t-distributions…
Currently, there is no general theory for deriving diffusion approximations of queueing systems with high- or infinite-dimensional state descriptors. In this paper, we explore one path for deriving diffusion limit equations of queueing…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
A fractional diffusion equation with advection term is rigorously derived from a kinetic transport model with a linear turning operator, featuring a fat-tailed equilibrium distribution and a small directional bias due to a given vector…
Shrunk sample covariance matrix is a factor model of a special form combining some (typically, style) risk factor(s) and principal components with a (block-)diagonal factor covariance matrix. As such, shrinkage, which essentially inherits…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following classical approach we use Wonham filter to achieve multiple…
A constructive approach to theory of diffusion processes is proposed, which is based on application of both the symmetry analysis and method of modelling functions. An algorithm for construction of the modelling functions is suggested. This…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
We establish the existence of solutions to a class of non-linear stochastic differential equation of reaction-diffusion type in an infinite-dimensional space, with diffusion corresponding to a given transition kernel. The solution obtained…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
We revisit the classical problem of estimating an unknown distribution from its samples by fitting a mixture model that minimizes cross-entropy loss. Framing the task as a stochastic convex optimization problem over the space of $ M…
This paper concerns diffraction-tomographic reconstruction of an object characterized by its scattering potential. We establish a rigorous generalization of the Fourier diffraction theorem in arbitrary dimension, giving a precise relation…
We introduce and study a class of probabilistic generative models, where the latent object is a finite-dimensional diffusion process on a finite time interval and the observed variable is drawn conditionally on the terminal point of the…
We establish a general analytic framework for determining the AF-martingale dimension of diffusion processes associated with strongly local regular Dirichlet forms on metric measure spaces. While previous approaches typically relied on…
Let $R$ be a ring essentially of finite type over an $F$-finite field. Given an ideal $\mathfrak{a}$ and a principal Cartier module $M$ we introduce the notion of a $V$-filtration of $M$ along $\mathfrak{a}$. If $M$ is $F$-regular then this…