Related papers: On time-dependent functionals of diffusions corres…

We investigate the existence, uniqueness, and $L^1$-contractivity of weak solutions to a porous medium equation with fractional diffusion on an evolving hypersurface. To settle the existence, we reformulate the equation as a local problem…

In the paper, we derive a sensitivity result for a nonlinear fractional ordinary elliptic system on a bounded interval with Dirichlet boundary conditions. More precisely, using a global implicit function theorem, we show that, for any…

We extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions…

In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…

We provide explicit classical solutions and stochastic analogues for distributed-order space-time fractional diffusion equations on bounded domains with zero exterior boundary conditions. We also show that our results still hold when the…

In this paper we define a Donaldson type functional whose Euler-Lagrange equations are a system of differential equations which corresponds to Hitchin's self-duality equations for a suitable choice of Higgs bundle on closed Riemann…

We revisit functional central limit theorems for additive functionals of ergodic Markov diffusion processes. Translated in the language of partial differential equations of evolution, they appear as diffusion limits in the asymptotic…

In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…

We generalize the phenomenon of continuation from complex anal- ysis to locally operator monotone functions. Along the lines of the egde-of- the-wedge theorem, we prove continuations exist dependent only on geometric features of the domain…

A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…

A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…

We present a formalism for obtaining the statistical properties of functionals and inverse functionals of the paths of a particle diffusing in a one-dimensional quenched random potential. We demonstrate the implementation of the formalism…

In this paper, we consider functionals based on moments and non-linear entropies which have a linear growth in time in case of source-type so-lutions to the fast diffusion or porous medium equations, that are also known as Barenblatt…

Let the abstract fractional space-time operator $(\partial_t + A)^s$ be given, where $s \in (0,\infty)$ and $-A \colon \mathsf{D}(A) \subseteq X \to X$ is a linear operator generating a uniformly bounded strongly measurable semigroup…

We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…

For a class of particle systems in continuous space with local interactions, we show that the asymptotic diffusion matrix is an infinitely differentiable function of the density of particles. Our method allows us to identify relatively…

The paper deals with the fast-slow motions setups in the continuous time $\frac {dX^(t)}{dt}=\frac 1\varepsilon B(X^\varepsilon(t),\xi(t/\varepsilon^2))+b(X^\varepsilon(t),\,\xi(t/\varepsilon^2)),\, t\in [0,T]$ and the discrete time…

We discuss an initial-boundary value problem for a fractional diffusion equation with Caputo time-fractional derivative where the coefficients are dependent on spatial and time variables and the zero Dirichlet boundary condition is…

We study the distributional behavior of additive arithmetic functions evaluated at integers drawn from the harmonic distribution. Our main result shows that a broad family of such functions converges in law to conditioned Dickman-type…

The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C,…