Related papers: Exponential moments of affine processes

A reaction-diffusion problem with an obstacle potential is considered in a bounded domain of $\R^N$. Under the assumption that the obstacle $\K$ is a closed convex and bounded subset of $\mathbb{R}^n$ with smooth boundary or it is a closed…

We determine the order of magnitude of $\mathbb{E}|\sum_{n \leq x} f(n)|^{2q}$ up to factors of size $e^{O(q^2)}$, where $f(n)$ is a Steinhaus or Rademacher random multiplicative function, for all real $1 \leq q \leq \frac{c\log x}{\log\log…

We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…

We introduce extremal affine surface areas in a functional setting. We show their main properties. Among them are linear invariance, isoperimetric inequalities and monotonicity properties. We establish a new duality formula, which shows…

We consider a nonlocal nonlinear model with fractional diffusion motivated by studies of electroconvection phenomena in incompressible viscous fluids. We address the global well-posedness, global regularity and long time dynamics of the…

We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…

We establish sharp upper bounds for the $2k$th moment of the Riemann zeta function on the critical line, for all real $0 \leqslant k \leqslant 2$. This improves on earlier work of Ramachandra, Heath-Brown and Bettin-Chandee-Radziwi\l\l

We show that the augmented primal-dual gradient algorithms can achieve global exponential convergence with partially strongly convex functions. In particular, the objective function only needs to be strongly convex in the subspace…

We establish upper bounds for the joint moments of the $2k^{\text{th}}$ power of the Riemann zeta function with the $2h^{\text{th}}$ power of its derivative for $0 \leq h \leq 1$ and $1 \leq k \leq 2$. These bounds are expected to be sharp…

For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…

Algebraic Riccati equations (AREs) have been extensively applicable in linear optimal control problems and many efficient numerical methods were developed. The most attention of numerical solutions is the (almost) stabilizing solution in…

In this paper we study the transition density and exponential ergodicity in total variation for an affine process on the canonical state space $\mathbb{R}_{\geq0}^{m}\times\mathbb{R}^{n}$. Under a H\"ormander-type condition for diffusion…

In this paper, we establish a strong maximum principle for fractional diffusion equations with multiple Caputo derivatives in time, and investigate a related inverse problem of practical importance. Exploiting the solution properties and…

We establish upper bounds for shifted moments of cubic and quartic Dirichlet $L$-functions under the generalized Riemann hypothesis. As an application, we prove bounds for moments of cubic and quartic Dirichlet character sums.

A new fundamental solution semigroup for operator differential Riccati equations is developed. This fundamental solution semigroup is constructed via an auxiliary finite horizon optimal control problem whose value functional growth with…

We establish sharp global rigidity upper bounds for universal determinantal point processes describing edge eigenvalues of random matrices. For this, we first obtain a general result which can be applied to general (not necessarily…

Assuming the Riemann Hypothesis we obtain an upper bound for the moments of the Riemann zeta-function on the critical line. Our bound is nearly as sharp as the conjectured asymptotic formulae for these moments. The method extends to moments…

There are numerous applications of the classical (deterministic) Gronwall inequality. Recently, Michael Scheutzow discovered a stochastic Gronwall inequality which provides upper bounds for $p$-th moments, $p\in(0,1)$, of the supremum of…

In previous work, the first author obtained conjecturally sharp upper bounds for the joint moments of the $(2k-2h)^{\text{th}}$ power of the Riemann zeta function with the $2h^{\text{th}}$ power of its derivative on the critical line in the…

For the 2D matrix Langevin dynamics that corresponds to the continuous-time limit of the product of some $2 \times 2$ random matrices, the finite-time Lyapunov exponent can be written as an additive functional of the associated Riccati…