Related papers: Spectral Analysis of Diffusions with Jump Boundary
We propose a general framework for studying jump-diffusion systems driven by both Gaussian noise and a jump process with state-dependent intensity. Of particular natural interest are the jump locations: the system evaluated at the jump…
We consider a prototypical nonlinear parabolic equation whose flux has three distinguished features: it is nonlinear with respect to both the unknown and its gradient, it is homogeneous, and it depends only on the direction of the gradient.…
A novel, non-trivial, probabilistic upper bound on the entropy of an unknown one-dimensional distribution, given the support of the distribution and a sample from that distribution, is presented. No knowledge beyond the support of the…
We study the existence of large solutions for nonlocal Dirichlet problems posed on a bounded, smooth domain, associated to fully nonlinear elliptic equations of order $2s$, with $s\in (1/2,1)$, and a coercive gradient term with subcritical…
In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply…
We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek to determine parameters in the effective…
We consider the two-dimensional advection-diffusion equation on a bounded domain subject to either Dirichlet or von Neumann boundary conditions and study both time-independent and time-periodic cases involving Liouville integrable…
We investigate Bernoulli free boundary problems prescribing infinite jump conditions. The mathematical set-up leads to the analysis of non-differentiable minimization problems of the form $\int \left(\nabla u\cdot (A(x)\nabla u) +…
We investigate the fractional diffusion approximation of a kinetic equation set in a bounded interval with diffusive reflection conditions at the boundary. In an appropriate singular limit corresponding to small Knudsen number and long time…
We study the elephant random walk in arbitrary dimension $d\geq 1$. Our main focus is the limiting random variable appearing in the superdiffusive regime. Building on a link between the elephant random walk and P\'olya-type urn models, we…
We study the connection between transport phenomenon and escape rate statistics in two-dimensional standard map. For the purpose of having an open phase space, we let the momentum co-ordinate vary freely and restrict only angle with…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
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…
We consider linear reaction--diffusion problems with mixed Diriclet-Neumann-Robin conditions. The diffusion matrix, reaction coefficient, and the coefficient in the Robin boundary condition are defined with an uncertainty which allow…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
The goal of this paper is to investigate the stability of the Helmholtz equation in the high- frequency regime with non-smooth and rapidly oscillating coefficients on bounded domains. Existence and uniqueness of the problem can be proved…
The paper concerns the discreteness of the eigenvalues and the solvability of the interior transmission problem for anisotropic media. Conditions for the ellipticity of the problem are written explicitly, and it is shown that they do not…