Related papers: Uniqueness for the martingale problem associated w…

We consider difference operators in $L^2$ on $\R$ of the form $$ L f(s)=p(s)f(s+i)+q(s) f(s)+r(s) f(s-i) ,$$ where $i$ is the imaginary unit. The domain of definiteness are functions holomorphic in a strip with some conditions of decreasing…

Dynamical systems involving non-local derivative operators are of great importance in Mathematical analysis and applications. This article deals with the dynamics of fractional order systems involving Caputo derivatives. We take a review of…

We propose moment-based variational inference as a flexible framework for approximate smoothing of latent Markov jump processes. The main ingredient of our approach is to partition the set of all transitions of the latent process into…

We consider parabolic operators of the form $$\partial_t+\mathcal{L},\ \mathcal{L}=-\mbox{div}\, A(X,t)\nabla,$$ in $\mathbb R_+^{n+2}:=\{(X,t)=(x,x_{n+1},t)\in \mathbb R^{n}\times \mathbb R\times \mathbb R:\ x_{n+1}>0\}$, $n\geq 1$. We…

A simple variational Lagrangian is proposed for the time development of an arbitrary density matrix, employing the "factorization" of the density. Only the "kinetic energy" appears in the Lagrangian. The formalism applies to pure and mixed…

For an SDE driven by a rotationally invariant $\alpha$-stable noise we prove weak uniqueness of the solution under the balance condition $\alpha+\gamma>1$, where $\gamma$ denotes the Holder index of the drift coefficient. We prove existence…

A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…

We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels and jumps. Such equations arise as scaling limits of branching processes in population genetics and self-exciting Hawkes…

We prove existence and uniqueness for a one-dimensional multivalued backward stochastic differential equation with jumps. The equation involves a time-indexed family of maximal monotone operators $k_t(\cdot)$ associated with increasing…

We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and…

In this paper we continue the study initiated in [FGN] concerning the obstacle problem for a class of parabolic non-divergence operators structured on a set of vector fields X = {X_1,...,X_q} in R^n with C^1-coefficients satisfying…

Derivatives and integration operators are well-studied examples of linear operators that commute with scaling up to a fixed multiplicative factor; i.e., they are scale-invariant. Fractional order derivatives (integration operators) also…

We demonstrate the existence in the sense of sequences of solutions for some integro-differential type problems involving the drift term and the square of the Laplace operator, on the whole real line or on a finite interval with periodic…

The structure of diagonal singularities of Green functions of partial differential operators of even order acting on smooth sections of a vector bundle over a Riemannian man ifold is studied. A special class of operators formed by the…

We investigate the problem of similarity to a self-adjoint operator for $J$-positive Sturm-Liouville operators $L=\frac{1}{\omega}(-\frac{d^2}{dx^2}+q)$ with $2\pi$-periodic coefficients $q$ and $\omega$. It is shown that if 0 is a critical…

We study a one-dimensional stochastic differential equation driven by a stable L\'evy process of order $\alpha$ with drift and diffusion coefficients $b,\sigma$. When $\alpha\in (1,2)$, we investigate pathwise uniqueness for this equation.…

The goal of this paper is to investigate the stability of the Helmholtz equation in the high- frequency regime with non-smooth and rapidly oscillating coefficients on bounded domains. Existence and uniqueness of the problem can be proved…

In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose L\'evy measure…

Let $\dlap$ be the discrete Laplace operator acting on functions (or rational matrices) $f:\mathbf{Q}_L\to\mathbb{Q}$, where $\mathbf{Q}_L$ is the two dimensional lattice of size $L$ embedded in $\mathbb{Z}_2$. Consider a rational $L\times…

This note illustrates how a simple random walk with possibly long jumps is related to fractional powers of the Laplace operator. The exposition is elementary and self-contained.