Related papers: Two-sided boundary functionals for Kou process
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
In this paper we consider the numerical solution of the two-dimensional time-dependent partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Kou jump-diffusion…
We find all factorized duality functions for a class of interacting particle systems. The functions we recover are self-duality functions for interacting particle systems such as zero-range processes, symmetric inclusion and exclusion…
Recently, an exact Green's function of the diffusion equation for a pair of spherical interacting particles in two dimensions subject to a backreaction boundary condition was derived. Here, we use the obtained Green's function to calculate…
We apply the strategy proposed in the companion paper [1] for dealing with multiple dispersive bounds, to the case of sub-threshold branch-cuts, which is a topic addressed extensively in the literature (see, e.g., Refs. [2-8]). We consider…
We discuss the boundary critical behaviors of two dimensional quantum phase transitions with fractionalized degrees of freedom in the bulk, motivated by the fact that usually it is the $1d$ boundary that is exposed and can be conveniently…
The generating functional is derived for the fluctuation-dissipation relations which result from the unitarity and reversibility of microscopic dynamics and connect various statistical characteristics of many consecutive (continuous)…
We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
The generalized master equation with two times, introduced in earlier, applies to the problem of diffusion in an time-dependent (in general inhomogeneous) external field. We consider the case of the quasi Fokker-Planck approximation, when…
In this paper, we proceed to study the nonlocal diffusion problem proposed by Li and Wang [8], where the left boundary is fixed, while the right boundary is a nonlocal free boundary. We first give some accurate estimates on the longtime…
We study the inclusive production of two hadrons in deep inelastic processes, l N ---> l h_1 h_2 X, with h_1 in the current fragmentation region (CFR) and h_2 in the target fragmentation region (TFR). Assuming a factorized scheme, the…
In this paper we focus the attention on free boundary problems ruled by partial differential equations with nonstandard growth, presenting in particular some recent results. The interest in these problems stems from the diverse applications…
We present some results on Bernstein processes which are Brownian diffusions that appear in Euclidean Quantum Mechanics: We express the distributions of these processes with the help of those of Bessel processes. We then determine two…
Consider a two-type reducible branching Brownian motion in which particles' diffusion coefficients and branching rates are influenced by their types. Here reducible means that type 1 particles can produce particles of type 1 and type 2, but…
In this article, we describe a simple class of models of absorbed diffusion processes with parameter, whose conditional law exhibits a transcritical bifurcation. Our proofs are based on the description of the set of quasi-stationary…
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…
For $d\geq 2$, we establish the existence and uniqueness of heat kernels for a large class of time-dependent second order diffusion operator with jumps, which is the sum of time-dependent of a second order elliptic differential operators…
This paper is concerned with the existence and the regularity of global solutions to the linear wave equation associated with two-point type boundary conditions. We also investigate the decay properties of the global solutions to this…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…