Related papers: Strong maximum principle for radiative tranfer typ…
We give the distribution of $M_n$, the maximum of a sequence of $n$ observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random…
We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to stay above a given c\`adl\`ag process. The MPP is only…
The aim of this paper is to improve the large deviation principle for the number of descents in a random permutation by establishing a sharp large deviation principle of any order. We shall also prove a sharp large deviation principle of…
The main objective of this paper is to investigate the spectral properties, maximum principles, and shape optimization problems for a broad class of nonlinear ``superposition operators" defined as continuous superpositions of operators of…
We give a direct derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift. The argument uses a relation between integrals of special functions,…
We study a 1D transport equation with nonlocal velocity. First, we prove eventual regularization of the viscous regularization when dissipation is in the supercritical range with non-negative initial data. Next, we will prove global…
The aim of this note is twofold. Firstly, we prove an abstract version of the Calder\'on transference principle for inequalities of admissible type in the general commutative multilinear and multiparameter setting. Such an operation does…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
In this paper, we establish a strong maximum principle for fractional diffusion equations with multiple Caputo derivatives in time, and investigate a related inverse problem of practical importance. Exploiting the solution properties and…
We consider Piecewise Deterministic Markov Processes (PDMPs) with a finite set of discrete states. In the regime of fast jumps between discrete states, we prove a law of large number and a large deviation principle. In the regime of fast…
A principle of maximum entropy is proposed in the context of viscous incompressible flow in Eulerian coordinates. The relative entropy functional, defined over the space of $L^2$ divergence-free velocity fields, is maximized relative to…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
In this paper we present the distribution of the maximum of the telegraph process in the cases where the initial velocity is positive or negative with an even and an odd number of velocity reversals. For the telegraph process with positive…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
We consider the utility maximization problem under convex constraints with regard to theoretical results which allow the formulation of algorithmic solvers which make use of deep learning techniques. In particular for the case of random…
We study the strong maximum principle for horizontal (p-) mean curvature operator and p-(sub)laplacian operator on subriemannian manifolds including, in particular, Heisenberg groups and Heisenberg cylinders. Under a certain Hormander type…
Existing diffusion-based methods for inverse problems sample from the posterior using score functions and accept the generated random samples as solutions. In applications that posterior mean is preferred, we have to generate multiple…
In this communication, we prove some important limits of the principal eigenvalue for nonlocal operator of Neumann type with respect to the parameters, which are significant in the understanding of dynamics of biological populations. We…
We give the distribution of $M_n$, the maximum of a sequence of $n$ observations from a moving average of order 1. Solutions are first given in terms of repeated integrals and then for the case where the underlying independent random…
We examine the \emph{submodular maximum coverage problem} (SMCP), which is related to a wide range of applications. We provide the first variational approximation for this problem based on the Nemhauser divergence, and show that it can be…