Related papers: Can time-homogeneous diffusions produce any distri…
We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly…
We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.
We establish the global existence and uniqueness of $L^1$-solutions to the Cauchy problem for time-fractional porous medium type nonlinear diffusion equations. Furthermore, we give the mass conservation law for $L^1$-solutions to…
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms…
We introduce a homogenization approach to characterize the dynamical response of a generic dispersive spacetime crystal in the long-wavelength limit. The theory is applied to dispersive spacetime platforms with a travelling-wave modulation.…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
We give conditions under which the normalized marginal distribution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions of stochastic differential equations with…
We establish an equidistribution theorem for the zeros of random holomorphic sections of high powers of a positive holomorphic line bundle. The equidistribution is associated with a family of singular moderate measures. We also give a…
The diffusion equation and its time-fractional counterpart can be obtained via the diffusion limit of continuous-time random walks with exponential and heavy-tailed waiting time distributions. The space dependent variable-order…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
All covariant time operators with normalized probability distribution are derived. Symmetry criteria are invoked to arrive at a unique expression for a given Hamiltonian. As an application, a well known result for the arrival time…
In this paper, we will consider the problem that how far from Hunt's hypothesis (H) to symmetrization for a general 1-dimensional diffusion. A characterization of (H) involving the classification of points for this diffusion will be first…
Suppose $X$ is a multidimensional diffusion process. Assume that at time zero the state of $X$ is fully observed, but at time $T>0$ only linear combinations of its components are observed. That is, one only observes the vector $L X_T$ for a…
We derive a necessary and sufficient condition for the sum of M independent continuous random variables modulo 1 to converge to the uniform distribution in L^1([0,1]), and discuss generalizations to discrete random variables. A consequence…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
Given a stochastic structure with a filtration $\mathbb{F}$, the class of all random times whose conditional distribution functions are differentiable with respect to some $\mathbb{F}$ adapted non decreasing processes is considered. The…
We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…
This paper develops a theory of distribution- and time-uniform asymptotics, culminating in the first large-sample anytime-valid inference procedures that are shown to be uniformly valid in a rich class of distributions. Historically,…
We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM,…
We establish general conditions under which there exists uniform in time convergence between a stochastic process and its approximated system. These standardised conditions consist of a local in time estimate between the original and the…