Related papers: Analysis of continuous strict local martingales vi…

In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…

We hypothesize that dynamical systems concepts used to study the transition to turbulence in shear flows are applicable to other transition phenomena in fluid mechanics. In this paper, we consider a finite air bubble that propagates within…

We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state…

In this paper, we present a nonlocal model for Poisson equation and corresponding eigenproblem with Dirichlet boundary condition. In the direct derivation of the nonlocal model, normal derivative is required which is not known for Dirichlet…

In wall-bounded parallel flows, sustained turbulence can occur even while laminar flow is still stable. Channel flow is one of such flows and displays spatio-temporal fluctuating patterns of localized turbulence along its way from/to…

The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…

We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…

First, we present some results about the H\"older continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a…

Theoretical considerations are made of superfluid turbulence in the Kelvin wave cascade regime at low temperatures (T < 1K) and length scales of the order or smaller than the intervortical distance. The energy spectrum is shown to be in…

Motivated by the task of computing normalizing constants and importance sampling in high dimensions, we study the dimension dependence of fluctuations for additive functionals of time-inhomogeneous Langevin-type diffusions on…

Local Tb theorems with Lp type testing conditions, which are not scale invariant, have been studied widely in the case of the Lebesgue measure. In the non-homogeneous world local Tb theorems have only been proved assuming scale invariant…

We obtain a Liouville property for stationary diffusions in random environment which are small, isotropic perturbations of Brownian motion in spacial dimension greater than two. Precisely, we prove that, on a subset of full probability, the…

In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility {\sigma} and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these…

Local $Tb$ theorems with $L^p$ type testing conditions, which are not scale invariant, have been studied widely in the case of the Lebesgue measure. Until very recently, local $Tb$ theorems in the non-homogeneous case had only been proved…

Large deviation for Markov processes can be studied by Hamilton--Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit 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…

We use a method of rotations to study the $L^p$ boundedness, $1<p<\infty$, of Fourier multipliers which arise as the projection of martingale transforms with respect to symmetric $\alpha$-stable processes, $0<\alpha<2$. Our proof does not…

We study a one-dimensional diffusion $X$ in a drifted Brownian potential $W\_\kappa$, with $ 0\textless{}\kappa\textless{}1$, and focus on the behavior of the local times $(\mathcal{L}(t,x),x)$ of $X$ before time $t\textgreater{}0$.In…

A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…

We develop a general approach, using local interpolation inequalities, to non-convex integral functionals depending on the gradient with a singular perturbation by derivatives of order $k\ge 2$. When applied to functionals giving rise to…