Related papers: A new probabilistic approach to non local and full…
Truncated Levy flights are stochastic processes which display a crossover from a heavy-tailed Levy behavior to a faster decaying probability distribution function (pdf). Putting less weight on long flights overcomes the divergence of the…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
We establish the existence of weak martingale solutions to a class of second order parabolic stochastic partial differential equations. The equations are driven by multiplicative jump type noise, with a non-Lipschitz multiplicative…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
In this paper diffusion processes with changing modes are studied involving the variable order partial differential equations. We prove the existence and uniqueness theorem of a solution of the Cauchy problem for fractional variable order…
We establish a comparison principle for viscosity solutions of a class of nonlinear partial differential equations posed on the space of nonnegative finite measures, thereby extending recent results for PDEs defined on the Wasserstein space…
This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) associated with nonlinear Levy processes under Peng's G-expectation framework.…
In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the generator or the Fokker-Planck operator of a Pearson diffusion.…
The solution of time fractional partial differential equations in general exhibit a weak singularity near the initial time. In this article we propose a method for solving time fractional diffusion equation with nonlocal diffusion term. The…
In a preliminary attempt to address the problem of data scarcity in physics-based machine learning, we introduce a novel methodology for data generation in physics-based simulations. Our motivation is to overcome the limitations posed by…
The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the…
Turbulence is a non-local phenomenon and has multiple-scales. Non-locality can be addressed either implicitly or explicitly. Implicitly, by subsequent resolution of all spatio-temporal scales. However, if directly solved for the temporal or…
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the…
We analyze a (possibly degenerate) second order mean field games system of partial differential equations. The distinguishing features of the model considered are (1) that it is not uniformly parabolic, including the first order case as a…
We introduce a notion of viscosity solutions for a nonlinear degenerate diffusion equation with a drift potential. We show that our notion of solutions coincide with the weak solutions defined via integration by parts. As an application of…
This paper is an attempt to extend the notion of viscosity solution to nonlinear stochastic partial differential integral equations with nonlinear Neumann boundary condition. Using the recently developed theory on generalized backward…
We are interested in the numerical solution of nonsymmetric linear systems arising from the discretization of convection-diffusion partial differential equations with separable coefficients and dominant convection. Preconditioners based on…
We study a voting model on a branching Brownian motion process on $\mathbb{R}$ in which the diffusivity of each child particle is increased from that of the parent by a factor of $\gamma>1$. The probability distribution of the overall vote…