Related papers: Spectral Analysis of Diffusions with Jump Boundary
This paper deals with a copies-based continuously differentiable and strictly decreasing estimator of the drift function for stochastic differential equations defining recurrent diffusion processes. The first part of our paper deals with…
The spectral gap of local random quantum circuits is a fundamental property that determines how close the moments of the circuit's unitaries match those of a Haar random distribution. When studying spectral gaps, it is common to bound these…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
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…
In this paper, we consider non-diffusive variational problems with mixed boundary conditions and (distributional and weak) gradient constraints. The upper bound in the constraint is either a function or a Borel measure, leading to the state…
We consider the diffusive Hamilton-Jacobi equation, with homogeneous Dirichlet conditions and regular initial data. It is known from [Barles-DaLio, 2004] that the problem admits a unique, continuous, global viscosity solution, which extends…
This paper studies multivariate nonparametric change point localization and inference problems. The data consists of a multivariate time series with potentially short range dependence. The distribution of this data is assumed to be…
We consider the hermitian random matrix model with external source and general polynomial potential, when the source has two distinct eigenvalues but is otherwise arbitrary. All such models studied so far have a common feature: an…
We consider a model of individual clustering with two specific reproduction rates and small diffusion parameter in one space dimension. It consists of a drift-diffusion equation for the population density coupled to an elliptic equation for…
Boundary value problems for integrable nonlinear evolution PDEs formulated on the finite interval can be analyzed by the unified method introduced by one of the authors and used extensively in the literature. The implementation of this…
Random metastability occurs when an externally forced or noisy system possesses more than one state of apparent equilibrium. This work investigates fluctuations in a class of random dynamical systems, arising from randomly perturbing a…
We introduce an efficient boundary-adapted spectral method for peridynamic diffusion problems with arbitrary boundary conditions. The spectral approach transforms the convolution integral in the peridynamic formulation into a multiplication…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…
This paper is concerned with eigenvalue problems for non-symmetric elliptic operators with large drifts in bounded domains under Dirichlet boundary conditions. We consider the minimal principal eigenvalue and the related principal…
This paper is devoted to the study of some nonlinear parabolic equations with discontinuous diffusion intensities. Such problems appear naturally in physical and biological models. Our analysis is based on variational techniques and in…
The time-fractional diffusion equation is considered, where the time derivative is either of Caputo or Riemann-Liouville type. The solution of a general initial-boundary value problem with time-dependent boundary conditions over bounded and…
We introduce three biharmonic Steklov problems on differential forms with Neumann boundary conditions and show that they are elliptic. We prove the existence of a discrete spectrum for each of those problems and give associated variational…
Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…
This paper deals with a non-self-adjoint differential operator which is associated with a diffusion process with random jumps from the boundary. Our main result is that the algebraic multiplicity of an eigenvalue is equal to its order as a…
In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose L\'evy measure…