Related papers: Jump-diffusion processes in random environments
A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…
The properties of a particle diffusing on a one-dimensional lattice where at each site a random barrier and a random trap act simultaneously on the particle are investigated by numerical and analytical techniques. The combined effect of…
We study sums of independent and identically distributed random velocities in special relativity. We show that the resulting one-dimensional velocity distributions are not only stable under relativistic velocity addition but define a…
Score-based modeling through stochastic differential equations (SDEs) has provided a new perspective on diffusion models, and demonstrated superior performance on continuous data. However, the gradient of the log-likelihood function, i.e.,…
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of extended local integrability plays a key role. We then apply these…
Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The…
In this paper, we consider a modified version of a well-known submartingale condition fortheweak convergence of probabilitymeasures, adapted to the semi-Markov case. In this setting, it is convenient to work with an embedded Markov chain…
In this paper, we study the diffusion approximation for slow-fast stochastic differential equations with state-dependent switching, where the slow component $X^{\varepsilon}$ is the solution of a stochastic differential equation with…
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…
We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under…
We propose a novel problem formulation of continuous-time information propagation on heterogenous networks based on jump stochastic differential equations (SDE). The structure of the network and activation rates between nodes are naturally…
We introduce a branching process in a sparse random environment as an intermediate model between a Galton--Watson process and a branching process in a random environment. In the critical case we investigate the survival probability and…
In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…
This paper is devoted to the study of propagation phenomena for a Lotka-Volterra reaction-advection-diffusion competition model in a periodic habitat. We first investigate the global attractivity of a semi-trival steady state for the…
Driven by diverse applications, several recent models impose randomly switching boundary conditions on either a PDE or SDE. The purpose of this paper is to provide tools for calculating statistics of these models and to establish a…
It is known since Kellerer (1972) that for any process that is increasing for the convex order, or "peacock" as in Hirsch et al. 2011, there exist martingales with the same marginals laws. Nevertheless, there is no general constructive…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
In the present work we study self-interacting diffusions following an infinite dimensional approach. First we prove existence and uniqueness of a solution with Markov property. Then we study the corresponding transition semigroup and, more…
The paper deals with the asymptotic properties of a random jump process in a high contrast periodic medium in $\mathbb R^d$, $d\geq 1$. We show that if the coordinates of the random jump process in $\mathbb R^d$ are equipped with an extra…
For reaction-diffusion processes without exclusion, in which the particles can exist in the same site of a one-dimensional lattice, we study all the integrable models which can be obtained by imposing a boundary condition on the master…