Related papers: Convergence of Integral Functionals of One-Dimensi…
In this paper I give an evaluation of a functional integral by means of a series in functional derivatives, first of all we propose a differential equation of first order and solve it by iterative methods, to obtain a series for the…
Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=\rho\,{\rm sgn}(x)|x|^\alpha/t^\beta$. This process can be viewed as a distorted Brownian…
Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion, to which we associate the exponential additive functional $A_{t}=\int _{0}^{t}e^{2B_{s}}ds,\,t\ge 0$. Starting from a simple observation of generalized inverse…
The incorporation of two- and three-dimensional $\delta$-function perturbations into the path-integral formalism is discussed. In contrast to the one-dimensional case, a regularization procedure is needed due to the divergence of the…
We analyze a reaction coefficient identification problem for the spectral fractional powers of a symmetric, coercive, linear, elliptic, second-order operator in a bounded domain $\Omega$. We realize fractional diffusion as the…
The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
This work develops an analytic framework for the study of the $\zeta$-function associated with general sequences of complex numbers. We show that a contour integral representation, commonly used when studying spectral $\zeta$-functions…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
We discuss a family of time-inhomogeneous two-dimensional diffusions, defined over a finite time interval $[0,T]$, having transition density functions that are expressible in terms of the integral kernels for negative exponentials of the…
In this paper we extend the Zeta function regularization technique, which gives a meaningful solution to divergent power series, in order to assign finite values to divergent integral of certain transcendental functions $f(x)$. The…
While the theory of diffusion of a single Brownian particle in confined geometries is well-established by now, we discuss here the theoretical framework necessary to generalize the theory of diffusion to dense suspensions of strongly…
In this article, we consider additive functionals $\zeta_t = \int_0^t f(X_s)\mathrm{d} s$ of a c\`adl\`ag Markov process $(X_t)_{t\geq 0}$ on $\mathbb{R}$. Under some general conditions on the process $(X_t)_{t\geq 0}$ and on the function…
Motivated by entropic optimal transport, time reversal of diffusion processes is revisited. An integration by parts formula is derived for the carr\'e du champ of a Markov process in an abstract space. It leads to a time reversal formula…
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of It\^{o}'s formula for $F(X_t,t)$, where $F(x,t)$ has a locally square-integrable derivative in $x$ that satisfies a mild continuity condition in $t$ and…
In this paper, we investigate a nonlinear inverse problem aimed at recovering a coefficient $a(t, x)$, dependent on both time and a subset of spatial variables, in a diffusion equation \( u_t - \Delta_x u - u_{yy} +a(t, x) u = f(t,x,y) \),…
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to L\'evy-type processes…
Determining functionals are tools to describe the finite dimensional long-term dynamics of infinite dimensional dynamical systems. There also exist several applications to infinite dimensional {\em random} dynamical systems. In these…
Determining functionals are tools to describe the finite dimensional long-term dynamics of infinite dimensional dynamical systems. There also exist several applications to infinite dimensional {\em random} dynamical systems. In these…
We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose nonlinear drift parts are sums of the sub-differential of a convex function and a bounded part. This…
Discontinuous initial wave functions or wave functions with discontintuous derivative and with bounded support arise in a natural way in various situations in physics, in particular in measurement theory. The propagation of such initial…