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We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
Determinantal process is a dynamical extension of a determinantal point process such that any spatio-temporal correlation function is given by a determinant specified by a single continuous function called the correlation kernel.…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic…
We study reaction-diffusion equations in cylinders with possibly nonlinear diffusion and possibly nonlinear Neumann boundary conditions. We provide a geometric Poincar\'e-type inequality and classification results for stable solutions, and…
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large…
Simultaneous diffusive and inertial motion of Brownian particles in laminar Couette flow is investigated via Lagrangian and Eulerian descriptions to determine the effect of particle inertia on diffusive transport in the long-time. The…
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we consider the optimal transport plan constructed in…
A nonlinear inequality is formulated in the paper. An estimate of the rate of growth/decay of solutions to this inequality is obtained. This inequality is of interest in a study of dynamical systems and nonlinear evolution equations. It can…
A standard inverse problem is to determine a source which is supported in an unknown domain $D$ from external boundary measurements. Here we consider the case of a time-dependent situation where the source is equal to unity in an unknown…
Let $(Z_t)_{t\geq 0}$ denote the derivative martingale of branching Brownian motion, i.e.\@ the derivative with respect to the inverse temperature of the normalized partition function at critical temperature. A well-known result by Lalley…
Fractional Brownian motion (fBm) is a ubiquitous diffusion process in which the memory effects of the stochastic transport result in the mean squared particle displacement following a power law, $\langle {\Delta r}^2 \rangle \sim…
In Brans-Dicke theory the Universe becomes divided after inflation into many exponentially large domains with different values of the effective gravitational constant. Such a process can be described by diffusion equations for the…
By means of variational methods we investigate existence, non-existence as well as regularity of weak solutions for a system of nonlocal equations involving the fractional laplacian operator and with nonlinearity reaching the critical…
We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.
The problem of nonlinear filtering of a random field observed in the presence of a noise, modeled by a persistent fractional Brownian sheet of Hurst index $(H_1,H_2)$ with $0.5<H_1,H_2<1$, is studied and a suitable version of the Bayes'…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We consider a diffusion process with coefficients that are periodic outside of an "interface region" of finite thickness. The question investigated in this article is the limiting long time/large scale behavior of such a process under…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
We investigate open quantum Brownian motions as quantum analogues of classical diffusion processes under interaction with an external enviroment. Building upon the microscopic derivation by Sinayskiy and Petruccione [20], we revisit the…