Related papers: Density Approximations for Multivariate Affine Jum…
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the literature, lower order discrete time…
We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property concerns the extended generator, which is required to map a…
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…
We consider diffusion processes in Hilbert spaces with constant non-degenerate diffusion operators and show that, under broad assumptions on the drift, the transition probabilities of the process are positive on ellipsoids associated with…
We derive an exact contrast-expansion formalism for the effective conductivity of heterogeneous materials (media) with local properties described by arbitrary continuous random fields, significantly generalizing the widely used binary-field…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Edgeworth type expansions of third order for transition densities are proved. This is done for time horizons that converge to 0. For this purpose we…
We theoretically and computationally investigate long-memory processes based on the Markovian lifts of affine jump-diffusion processes. A nominal superposition process consisting of an infinite number of interacting affine processes is…
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…
Diffusion processes are widely used for modelling real-world phenomena. Except for select cases however, analytical expressions do not exist for a diffusion process' transitional probabilities. It is proposed that the cumulant truncation…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
The Wright-Fisher (W-F) diffusion model serves as a foundational framework for interpreting population evolution through allele frequency dynamics over time. Despite the known transition probability between consecutive generations, an exact…
We present a perturbation theory by extending a prescription due to Feynman for computing the probability density function for the random flight motion. The method can be applied to a wide variety of otherwise difficult circumstances. The…
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for…
We study sufficient conditions for local asymptotic mixed normality. We weaken the sufficient conditions in Theorem 1 of Jeganathan (Sankhya Ser. A 1982) so that they can be applied to a wider class of statistical models including a…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
Neutral particles in the plasma edge of fusion devices based on magnetic confinement are described by a transient kinetic equation incorporating ionization, recombination, and charge-exchange collisions. In charge-exchange dominated…
We obtain general lower estimates of transition densities of jump L\'evy processes. We use them for processes with L\'evy measures having bounded support, processes with exponentially decaying L\'evy measures for large times and for…
We consider sequences of additive functionals of difference approximations for uniformly non-degenerate multidimensional diffusions. The conditions are given, sufficient for such a sequence to converge weakly to a W-functional of the…
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…