Related papers: On affine interest rate models

We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the…

A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…

We investigate piecewise-linear stochastic models as with regards to the probability distribution of functionals of the stochastic processes, a question which occurs frequently in large deviation theory. The functionals that we are looking…

The main objective of this work is to study a natural class of catalytic Ornstein-Uhlenbeck (O-U) processes with a measure-valued random catalyst, for example, super-Brownian motion. We relate this to the class of affine processes that…

We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…

Bulk matter produced in heavy ion collisions has multiple conserved quantum numbers like baryon number, strangeness and electric charge. The diffusion process of these charges can be described by a diffusion matrix describing the…

Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…

We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…

We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…

The aim of this Short Note is to highlight that the {\it generalized grey Brownian motion} (ggBm) is an anomalous diffusion process driven by a fractional integral equation in the sense of Erd\'elyi-Kober, and for this reason here it is…

Brown-Resnick processes are max-stable processes that are associated to Gaussian processes. Their simulation is often based on the corresponding spectral representation which is not unique. We study to what extent simulation accuracy and…

In this paper we use the framework of algebraic effects from programming language theory to analyze the Beta-Bernoulli process, a standard building block in Bayesian models. Our analysis reveals the importance of abstract data types, and…

We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon…

We study the convergence to equilibrium of the Dyson-Jacobi process, a system of n interacting particles on the segment [0, 1] arising from Random Matrix Theory. We establish the occurence of a cutoff phenomenon for the intrinsic…

Based on Fick's 2nd law the development of moving particle semi-implicit method for predicting diffusion process is proposed in this study

We discuss interplays between log-concave functions and log-concave sequences. We prove a Bernstein-type theorem, which characterizes the Laplace transform of log-concave measures on the half-line in terms of log-concavity of the…

Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by…

We study the long time behavior of an Ornstein-Uhlenbeck process under the influence of a periodic drift. We prove that, under the standard diffusive rescaling, the law of the particle position converges weakly to the law of a Brownian…

We discuss the dynamics and thermodynamics of the Brownian Mean Field (BMF) model which is a system of N Brownian particles moving on a circle and interacting via a cosine potential. It can be viewed as the canonical version of the…

When the number of particles $N$ is finite, the noncolliding Brownian motion (BM) and the noncolliding squared Bessel process with index $\nu > -1$ (BESQ$^{(\nu)}$) are determinantal processes for arbitrary fixed initial configurations. In…