Related papers: Affine diffusions with non-canonical state space
The behavior of affine processes, which are ubiquitous in a wide range of applications, depends crucially on the choice of state space. We study the case where the state space is compact, and prove in particular that (i) no diffusion is…
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for…
We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes is given. In particular, we derive admissibility conditions…
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $\mathbb{R}_{\geqslant0}^{m}\times\mathbb{R}^{n}$, where $m,\thinspace…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…
Affine coherent states are generated by affine kinematical variables much like canonical coherent states are generated by canonical kinematical variables. Although all classical and quantum formalisms normally entail canonical variables, it…
We study diffusion processes in anomalous spacetimes regarded as models of quantum geometry. Several types of diffusion equation and their solutions are presented and the associated stochastic processes are identified. These results are…
We endow the set of complements of a fixed subspace of a projective space with the structure of an affine space, and show that certain lines of such an affine space are affine reguli or cones over affine reguli. Moreover, we apply our…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
In this paper we study the transition density and exponential ergodicity in total variation for an affine process on the canonical state space $\mathbb{R}_{\geq0}^{m}\times\mathbb{R}^{n}$. Under a H\"ormander-type condition for diffusion…
Affine variables, which have the virtue of preserving the positive-definite character of matrix-like objects, have been suggested as replacements for the canonical variables of standard quantization schemes, especially in the context of…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
The purpose of this publication is to derive and discuss equations of motion of affinely rigid (homogeneously deformable) body moving in Euclidean space of general dimension $n$. Our aim is to present some analytical methods and to discuss…
We present analytical results for the biased diffusion of particles moving under a constant force in a randomly layered medium. The influence of this medium on the particle dynamics is modeled by a piecewise constant random force. The…
Having in view some applications in nanophysics, in particular in nanophysics of materials, we develop new dynamical models of structured bodies with affine internal degrees of freedom. In particular, we construct some models where not only…
We study the phenomenon of real space condensation in the steady state of a class of mass transport models where the steady state factorises. The grand canonical ensemble may be used to derive the criterion for the occurrence of a…
We consider coupled diffusions in $n$-dimensional space and on a compact manifold and the resulting effective advective-diffusive motion on large scales in space. The effective drift (advection) and effective diffusion are determined as a…
A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…
Anomalous diffusion is discussed in the context of quantum Brownian motion with colored noise. It is shown that earlier results follow simply and directly from the fluctuation-dissipation theorem. The limits on the long-time dependence of…