Related papers: Pathwise uniqueness of the squared Bessel and CIR …
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
We give here a covariant definition of the path integral formalism for the Lagrangian, which leaves a freedom to choose anyone of many possible quantum systems that correspond to the same classical limit without adding new potential terms…
Given $a,b\ge 0$ and $t>0$, let $\rho =\{ \rho _{s}\} _{0\le s\le t}$ be a three-dimensional Bessel bridge from $a$ to $b$ over $[0,t]$. In this paper, based on a conditional identity in law between Brownian bridges stemming from Pitman's…
As a simple model for single-file diffusion of hard core particles we investigate the one-dimensional symmetric exclusion process. We consider an open semi-infinite system where one end is coupled to an external reservoir of constant…
In this work, we investigate the shape identification and coefficient determination associated with two time-dependent partial differential equations in two dimensions. We consider the inverse problems of determining a convex polygonal…
Parity-time (PT) symmetry is of great interest. The reciprocal and unidirectional features are intriguing besides the PT symmetry phase transition. Recently, the reciprocal transmission, unidirectional reflectionless and invisibility are…
We study strong (pathwise) approximation of Cox-Ingersoll-Ross processes. We propose a Milstein-type scheme that is suitably truncated close to zero, where the diffusion coefficient fails to be locally Lipschitz continuous. For this scheme…
Two are the objectives of the present paper. First we study properties of a differentially simple commutative ring R with respect to a set D of derivations of R. Among the others we investigate the relation between the D-simplicity of R and…
We study the large deviations for Cox-Ingersoll-Ross (CIR) processes with small noise and state-dependent fast switching via associated Hamilton-Jacobi equations. As the separation of time scales, when the noise goes to $0$ and the rate of…
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 define refined invariants which "count" nodal curves in sufficiently ample linear systems on surfaces, conjecture that their generating function is multiplicative, and conjecture explicit formulas in the case of K3 and abelian surfaces.…
We consider random flights in $\mathbb{R}^d$ reflecting on the surface of a sphere $\mathbb{S}^{d-1}_R,$ with center at the origin and with radius $R,$ where reflection is performed by means of circular inversion. Random flights studied in…
The continuous-time random walk is defined as a Poissonization of discrete-time random walk. We study the noncolliding system of continuous-time simple and symmetric random walks on ${\mathbb{Z}}$. We show that the system is determinantal…
We begin with the study of some properties of the radial Dunkl process associated to a reduced root system $R$. It is shown that this diffusion is the unique strong solution for all $t \geq 0$ of a SDE with singular drift. Then, we study…
A phenomenological description of single transverse spin effects in hadron-hadron inclusive processes is proposed, assuming a generalized factorization scheme and pQCD hard interactions. The transverse momentum, k_T, of the quarks inside…
We make use of point transformations to introduce new canonical variables for systems defined on a finite interval and on the half-line so that new position variables should take all real values from $-\infty$ to $\infty$. The completeness…
In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…
Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As…
For each $\lambda>0$ and every square-integrable infinitely-divisible (ID) distribution there exists at least one stationary stochastic process $t\mapsto X_t$ with the specified distribution for $X_1$ and with first-order autoregressive…
We show that the past and future of half-plane Brownian motion at certain cutpoints are independent of each other after a conformal transformation. Like in Ito's excursion theory, the pieces between cutpoints form a Poisson process with…