Related papers: Two-sided boundary functionals for Kou process
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
We develop the theory of strong stationary duality for diffusion processes on compact intervals. We analytically derive the generator and boundary behavior of the dual process and recover a central tenet of the classical Markov chain theory…
This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…
We revisit functional central limit theorems for additive functionals of ergodic Markov diffusion processes. Translated in the language of partial differential equations of evolution, they appear as diffusion limits in the asymptotic…
A new approach to describing aerosol behavior is proposed. Boundary functionals of random process theory are applied to describe the behavior of aerosol concentrations during coagulation. It is shown that considering the first-passage time…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
We show for Markov diffusion processes that the quadratic entropic bound, recently derived for the rate functions of nonequilibrium currents, can be seen as being produced by an effective process that creates current fluctuations in a…
In this article we obtain two-sided estimates for the Greens function of fractional boundary value problems on $\mathbb R_+ \times \mathbb R_+ \times \mathbb R^d$ of the form \[(-{}_{t_1}D^\beta_{0+*} - {}_{t_2}D^\gamma_{0+*})u(t_1, t_2, x)…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
In this paper we study the Cauchy problem for doubly dissipative elastic waves in two space dimensions, where the damping terms consist of two different friction or structural damping. We derive energy estimates and diffusion phenomena with…
The intermediate scattering function is interpreted as a correlation function of thermal wave packets of the scattering centers perturbed by the scattering particles at different times. A proof of concept is given at the example of…
We reconsider the option of extracting the transversity distribution by using interference fragmentation functions into two leading hadrons inside the same current jet. To this end, we perform a new study of two-hadron fragmentation…
This paper develops strong solutions and stochastic solutions for the tempered fractional diffusion equation on bounded domains. First the eigenvalue problem for tempered fractional derivatives is solved. Then a separation of variables, and…
The bifurcation theory of ordinary differential equations (ODEs), and its application to deterministic population models, are by now well established. In this article, we begin to develop a complementary theory for diffusion-like…
The purpose of this paper is to investigate the long time behaviour for a self-interacting diffusion and a self-interacting velocity jump process. While the diffusion case has already been studied for some particular potential function, the…
Using techniques of conformal bootstrap, we propose analytical expressions for a large class of two-point functions of bulk fields in critical loop models defined on the upper-half plane. Our results include the two-point connectivities in…
Diffusion processes with boundaries are models of transport phenomena with wide applicability across many fields. These processes are described by their probability density functions (PDFs), which often obey Fokker-Planck equations (FPEs).…
In this article we derive moment estimates, exponential integrability, concentration inequalities and exit times estimates for canonical diffusions in two settings each beyond the scope of Riemannian geometry. Firstly, we consider…