Related papers: The viability property of jump diffusion processes…

Sufficient conditions for a symmetric jump-diffusion process to be conservative and recurrent are given in terms of the volume of the state space and the jump kernel of the process. A number of examples are presented to illustrate the…

In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…

Diffusion models are recent state-of-the-art methods for image generation and likelihood estimation. In this work, we generalize continuous-time diffusion models to arbitrary Riemannian manifolds and derive a variational framework for…

This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…

We prove under a weak smoothness condition that two Riemannian manifold are isomorphic if and only there exists an order isomorphism which intertwines with the Dirichlet type heat semigroups on the manifolds.

We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.

We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random…

The purpose of this paper is to provide equations to model the evolution of effective diffusion over a Riemannian fiber bundle (under the hypothesis of infinite diffusion rate along compact fibers). These equations are obtained by…

We prove convergence of symmetric diffusions on Wiener spaces by using stopping times arguments and capacity techniques. The drifts of the diffusions can be singular, we require the densities of the processes to be neither bounded from…

We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…

For incomplete sub-Riemannian manifolds, and for an associated second-order hypoelliptic operator, which need not be symmetric, we identify two alternative conditions for the validity of Gaussian-type upper bounds on heat kernels and…

The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…

We define horizontal diffusion in $C^1$ path space over a Riemannian manifold and prove its existence. If the metric on the manifold is developing under the forward Ricci flow, horizontal diffusion along Brownian motion turns out to be…

We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the…

This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…

Let $M$ be a $d$-dimensional connected compact Riemannian manifold with boundary $\partial M$, let $V\in C^2(M)$ such that $\mu({\rm d} x):={\rm e}^{V(x)}{\rm d} x$ is a probability measure, and let $X_t$ be the diffusion process generated…

The spectral gap is estimated for measure-valued diffusion processes induced by the intrinsic/extrinsic derivatives on the space of finite measures over a Riemannian manifold. This provides explicit exponential convergence rate for these…

Let $x$ denote a diffusion process defined on a closed compact manifold. In an earlier article, the author introduced a new approach to constructing admissible vector fields on the associated space of paths, under the assumption of…

We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition…

In this letter we study variational obstacle avoidance problems on complete Riemannian manifolds. The problem consists of minimizing an energy functional depending on the velocity, covariant acceleration and a repulsive potential function…