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Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…
Turbulent relative dispersion is studied theoretically with a focus on the evolution of probability distribution of the relative separation of two passive particles. A finite separation speed and a finite correlation of relative velocity,…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We propose a method for approximating the large deviation rate function of time-integrated observables of diffusion processes, used in statistical physics to characterize the fluctuations of nonequilibrium systems. The method is based on…
We address the problem of prediction for extreme observations by proposing an extremal linear prediction method. We construct an inner product space of nonnegative random variables derived from transformed-linear combinations of independent…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
For a fixed $T$ and $k \geq 2$, a $k$-dimensional vector stochastic differential equation $dX_t=\mu(X_t, \theta)dt+\nu(X_t)dW_t,$ is studied over a time interval $[0,T]$. Vector of drift parameters $\theta$ is unknown. The dependence in…
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according to rank; one of the variances is allowed to vanish, but not…
We derive continuous dependence estimates for weak entropy solutions of degenerate parabolic equations with nonlinear fractional diffusion. The diffusion term involves the fractional Laplace operator, $\Delta^{\alpha/2}$ for $\alpha \in…
We present regularity results for nonlinear drift-diffusion equations of porous medium type (together with their incompressible limit). We relax the assumptions imposed on the drift term with respect to previous results and additionally…
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the…
The aim of this paper is to develop a numerical scheme to approximate evolving interface problems for parabolic equations based on the abstract evolving finite element framework proposed in (C M Elliott, T Ranner, IMA J Num Anal, 41:3,…
This paper provides a new tauberian approach to the study of quantitative time asymptotics of collisionless transport semigroups with general diffuse boundary operators. We obtain an (almost) optimal algebraic rate of convergence to…
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…
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of…
This work investigates the optimal error estimate of the fully discrete scheme for the variable-exponent subdiffusion model under the nonuniform temporal mesh. We apply the perturbation method to reformulate the original model into its…
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
We show that there exist solutions of drift-diffusion equations in two dimensions with divergence-free super-critical drifts, that become discontinuous in finite time. We consider classical as well as fractional diffusion. However, in the…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
This work develops a distributed optimization strategy with guaranteed exact convergence for a broad class of left-stochastic combination policies. The resulting exact diffusion strategy is shown in Part II to have a wider stability range…