Related papers: Spectral Analysis of Diffusions with Jump Boundary
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…
This paper develops a general approach to the derivation of the boundary conditions for hydrodynamic equations for charged and neutral plasma components. It includes both a well-known classical case for pure diffusion, and considers the…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
The problem of reconstructing the drift of a diffusion in $\erre^d$, $d\geq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of…
Constrained diffusions in convex polyhedral domains with a general oblique reflection field, and with a diffusion coefficient scaled by a small parameter, are considered. Using an interior Dirichlet heat kernel lower bound estimate for…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
This paper focuses on a drift-diffusion system subjected to boundedly non dissipative Robin boundary conditions. A general existence result with large initial conditions is established by using suitable L1, L2 and trace estimates. Finally,…
The aim of this paper is to discuss the appropriate modelling of in- and outflow boundary conditions for nonlinear drift-diffusion models for the transport of particles including size exclusion and their effect on the behaviour of…
For positive recurrent jumping-in diffusions with large jumps, we study scaling limits of the fluctuations of inverse local times and occupation times. We generalize the eigenfunctions with modified Neumann boundary condition, which have…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
Boundary differentiability is shown for solutions of nondivergence elliptic equations with unbounded drift
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{n\Delta},n=0,1,...,N. The sampling frequency \Delta^{-1} is constant, and asymptotics are taken as the number N of…
Physical self-adjoint extensions and their spectra of the simplest one-dimensional Hamiltonian operator in which the mass is constant except for a finite jump at one point of the real axis are correctly found. Some self-adjoint extensions…
Jacobi diffusion is a representative diffusion process whose solution is bounded in a domain under certain drift and diffusion coefficient conditions. However, the process without such conditions has not been thoroughly investigated. We…
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a…
Diffusion on a quenched heterogeneous environment in the presence of bias is considered analytically. The first-passage-time statistics can be applied to obtain the drift and the diffusion coefficient in periodic quenched environments. We…
Mathematical modeling of many physical processes such as diffusion, viscosity of fluids and combustion involves differential equations with small coefficients of higher derivatives. These may be small diffusion coefficients for modeling the…