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The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral methods. Moreover, we give a stochastic representation of…
The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…
While it is known that one can consider the Cauchy problem for evolution equations with Caputo derivatives, the situation for the initial value problems for the Riemann-Liouville derivatives is less understood. In this paper we propose new…
We study the spectral expansion of the semigroup of a general stable process killed on the first exit from the positive half-line. Starting with the Wiener-Hopf factorization we obtain the q-resolvent density for the killed process, from…
Of primary interest in this paper is the numerical approximation of a time dependent fractional, in space, diffusion equation where the domain is assumed to be nonhomogeneous, having different axial diffusion coefficients. This work is…
We study a space-fractional Stefan problem with the Dirichlet boundary conditions. It is a model that describes superdiffusive phenomena. Our main result is the existence of the unique classical solution to this problem. In the proof we…
The peculiarities of electric current in semiconductors with nonuniform distribution of charge carriers are studied. The semiclassical drift-diffusion equations consisting of the continuity equations and the Poisson equation are solved…
Reliable control of the deposition process of optical films and coatings frequently requires monitoring of the refractive index profile throughout the layer. In the present work a simple in situ approach is proposed which uses a WKBJ matrix…
We provide sharp error bounds for the difference between the transition densities of some multidimensional Continuous Time Markov Chains (CTMC) and the fundamental solutions of some fractional in time Partial (Integro) Differential…
This paper is concerned with the inverse problem to recover the scalar, complex-valued refractive index of a medium from measurements of scattered time-harmonic electromagnetic waves at a fixed frequency. The main results are two…
Here, we provide a unified framework for numerical analysis of stochastic nonlinear fractional diffusion equation driven by fractional Gaussian noise with Hurst index $H\in(0,1)$. A novel estimate of the second moment of the stochastic…
Asymptotic properties of Markov Processes, such as steady state probabilities or hazard rate for absorbing states can be efficiently calculated by means of linear algebra even for large-scale problems. This paper discusses the methods for…
We consider the limit of a linear kinetic equation, with reflection-transmission-absorption at an interface, with a degenerate scattering kernel. The equation arise from a microscopic chain of oscillators in contact with a heat bath. In the…
Model reduction of Markov processes is a basic problem in modeling state-transition systems. Motivated by the state aggregation approach rooted in control theory, we study the statistical state compression of a discrete-state Markov chain…
A one dimensional fractional diffusion model with the Riemann-Liouville fractional derivative is studied. First, a second order discretization for this derivative is presented and then an unconditionally stable weighted average finite…
Let R be a symmetric a-stable Riemann-Liouville process with Hurst parameter H > 0. Consider ||.|| a translation invariant, b-self-similar, and p-pseudo-additive functional semi-norm. We show that if H > (b + 1/p) and c = (H - b - 1/p),…
In this paper, the fractional differential matrices based on the Jacobi-Gauss points are derived with respect to the Caputo and Riemann-Liouville fractional derivative operators. The spectral radii of the fractional differential matrices…
This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…
The reflection of a normally incident wideband pulse by a half-space whose permittivity and permeability obey the one-resonance Lorentz model is calculated. The results are compared with those from frequency-domain reflection analysis. In…