Related papers: Reflected Spectrally Negative Stable Processes and…

We consider spectral approximations to the conservative form of the two-sided Riemann-Liouville (R-L) and Caputo fractional differential equations (FDEs) with nonhomogeneous Dirichlet (fractional and classical, respectively) and Neumann…

We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…

Over the last two decades, anomalous diffusion processes in which the mean squares variance grows slower or faster than that in a Gaussian process have found many applications. At a macroscopic level, these processes are adequately…

This paper concerns the derivation of radiative transfer equations for acoustic waves propagating in a randomly fluctuating half-space in the weak-scattering regime, and the study of boundary effects through an asymptotic analysis of the…

If $X$ is a spectrally positive stable process of index $\alpha\in(1,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty),$ and $S_1=\sup_{0<t\leq1}X_t,$ it is known that $P(S_1>x)\backsim c\alpha^{-1}x^{-\alpha}$ as…

A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…

We develop a theory of the Cauchy problem for linear evolution systems of partial differential equations with the Caputo-Dzrbashyan fractional derivative in the time variable $t$. The class of systems considered in the paper is a fractional…

We consider a time-independent variable coefficients fractional porous medium equation and formulate an associated inverse problem. We determine both the conductivity and the absorption coefficient from exterior partial measurements of the…

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We…

For the regime-switching diffusion process with and without advection term we propose an integro-differential equation describing the densities of states continuously distributed over a segment. We demonstrate that there exists a…

This paper is devoted to the investigation of the backward problem for a multi-term time-fractional diffusion equation. Backward problems for fractional diffusion equations are typically studied using regularization methods due to their…

A particle subject to a white noise external forcing moves like a Langevin process. Consider now that the particle is reflected at a boundary which restores a portion c of the incoming speed at each bounce. For c strictly smaller than the…

We provide a new analytical and computational study of the transmission eigenvalues with a conductive boundary condition. These eigenvalues are derived from the scalar inverse scattering problem for an inhomogeneous material with a…

In this paper, we study the problem of adaptive estimation of the spectral density of a stationary Gaussian process. For this purpose, we consider a wavelet-based method which combines the ideas of wavelet approximation and estimation by…

We review some fractional free boundary problems that were recently considered for modeling anomalous phase-transitions. All problems are of Stefan type and involve fractional derivatives in time according to Caputo's definition. We survey…

In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…

This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a…

It is well known that certain fractional diffusion equations can be solved by the densities of stable L\'evy motions. In this paper we use the classical semigroup approach for L\'evy processes to define semi-fractional derivatives, which…

We study two new classes of inverse problems for a time-switched system in which a fractional wave equation (with Caputo derivative of order $\alpha \in (1,2)$) governs the dynamics on the interval $[0,a)$, and a fractional diffusion…

We study a new approach to the problem of transparent boundary conditions for the Helmholtz equation in unbounded domains. Our approach is based on the minimization of an integral functional arising from a volume integral formulation of the…