Related papers: On time-dependent functionals of diffusions corres…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
Some fractional and anomalous diffusions are driven by equations involving fractional derivatives in both time and space. Such diffusions are processes with randomly varying times. In representing the solutions to those diffusions, the…
The existence of radial solutions of a nonlinear Dirichlet problem in a ball is translated to the language of Mechanics, i.e. to requirements on the time of motion of a particle in an external potential and under the action of a viscosity…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Dirichlet process" in this context. Such a process $\X$,…
We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and…
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…
We establish the short-time asymptotic behaviour of the Markovian semigroups associated with strongly local Dirichlet forms under very general hypotheses. Our results apply to a wide class of strongly elliptic, subelliptic and degenerate…
The time-evolution operator for an explicitly time-dependent Hamiltonian is expressed as the product of a sequence of unitary operators. These are obtained by successive time-dependent unitary transformations of the Hilbert space followed…
In this note, with the help of the boundary classification of diffusions, we derive a criterion of the convergence of perpetual integral functionals of transient real-valued diffusions. In the particular case of transient Bessel processes,…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time. Such processes are constructed as limits of a sequence of…
Using elliptic and parabolic regularity results in $L^p$-spaces and generalized Dirichlet form theory, we construct for every starting point weak solutions to SDEs in $\mathbb{R}^d$ up to their explosion times including the following…
We propose a nonlocal operator method for solving partial differential equations (PDEs). The nonlocal operator is derived from the Taylor series expansion of the unknown field, and can be regarded as the integral form "equivalent" to the…
We show existence of an infinitesimally invariant measure $m$ for a large class of divergence and non-divergence form elliptic second order partial differential operators with locally Sobolev regular diffusion coefficient and drift of some…
In this work, we study the existence and nonexistence of nonnegative solutions to a class of nonlocal elliptic systems set in a bounded open subset of $\mathbb{R}^N$. The diffusion operators are of type $u_i\mapsto d_i(-\Delta)^{s_i}u_i$…
This chapter starts with a summary of the atomistic processes that occur during epitaxy. We then introduce density functional theory (DFT) and describe its implementation into state-of-the-art computations of complex processes in condensed…
We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that type has a density which can be expressed as a generalized…
In this paper we study generalized time-fractional diffusion equations on the Poincar\`e half plane $\mathbb{H}_2^+$. The time-fractional operators here considered are fractional derivatives of a function with respect to another function,…
We consider divergence form operators with complex coefficients on an open subset of Euclidean space. Boundary conditions in the corresponding parabolic problem are dynamical, that is, the time derivative appears on the boundary. As a…
Several versions of It\^{o}'s formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of…