Related papers: Uniqueness for the martingale problem associated w…
A multi-type continuous state and continuous time branching process with immigration satisfying some moment conditions is identified as a pathwise unique strong solution of certain stochastic differential equation with jumps.
We establish weak well-posedness for critical symmetric stable driven SDEs in R d with additive noise Z, d $\ge$ 1. Namely, we study the case where the stable index of the driving process Z is $\alpha$ = 1 which exactly corresponds to the…
We establish a unique continuation property for solutions of the differential inequality $|\nabla u|\leq V|u|$, where $V$ is locally $L^n$ integrable on a domain in $\mathbb R^n$. A stronger uniqueness result is obtained if in addition the…
We study a family of differential operators $L_\alpha$ in two variables, depending on the coupling parameter $\alpha\ge0$ that appears only in the boundary conditions. Our main concern is the spectral properties of $L_\alpha$, which turn…
We analyse the obstacle problem for the nonlocal parabolic operator \[\partial_t u + (-\Delta)^{s} u - b \cdot \nabla u - \mathcal{I}u - ru,\] where $b\in\mathbb{R}^n$, $r\in\mathbb{R}$, and $\mathcal{I}$ is a nonlocal lower order diffusion…
The article deals with existence and uniqueness of the solution of the following differential equation (a c\`adl\`ag Skorokhod problem) driven by a maximal monotone operator and with singular input generated by the c\`{a}dl\`{a}g function…
Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…
We consider here the analytic classification of pairs $(\omega,f)$ where $\omega$ is a germ of a 2-form on the plane and $f$ is a quasihomogeneous function germ with isolated singularities. We consider only the case where $\omega$ is…
We study an inverse problem for variable coefficient fractional parabolic operators of the form $(\partial_t -\operatorname{div}(A(x) \nabla_x)^s + q(x,t)$ for $s\in(0,1)$ and show the unique recovery of $q$ from exterior measured data.…
In this paper, a new fractional operator of variable order with the use of the monotonic increasing function is proposed in sense of Caputo type. The properties in term of the Laplace and Fourier transforms are analyzed and the results for…
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition which is new also for semimartingales: in…
We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {\levy} process. It is shown that under fairly general conditions on the coefficients, pathwise…
A piecewise constant local martingale $M$ with boundedly many jumps is a uniformly integrable martingale if and only if $M_\infty^-$ is integrable.
Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…
We study nonlocal operators acting on functions in the Euclidean space. The operators under consideration generate anisotropic jump processes, e.g., a jump process that behaves like a stable process in each direction but with a different…
We consider the weighted eigenvalue problem for a general non-local pseudo-differential operator, depending on a bounded weight function. For such problem, we prove that strict (decreasing) monotonicity of the eigenvalues with respect to…
We consider a family {P} of determinantal point processes arising in representation theory and random matrix theory. The processes live on the one-dimensional lattice and their correlation kernels correspond to projection operators in the…
We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…
We construct $P(phi)_1$-processes indexed by the full time-line, separately derived from the functional integral representations of the relativistic and non-relativistic Nelson models in quantum field theory. These two cases differ…
We give a probabilistic introduction to determinantal and permanental point processes. Determinantal processes arise in physics (fermions, eigenvalues of random matrices) and in combinatorics (nonintersecting paths, random spanning trees).…