Related papers: Time-changed CIR default intensities with two-side…
Recently one has stated that temporal disorder constitutes a relevant perturbation in absorbing phase transitions for all dimensions. However, its effect for systems other than the standard contact process (CP), its competition with other…
We investigate an intermittent stochastic process in which the diffusive motion with time-dependent diffusion coefficient $D(t) \sim t^{\alpha -1}$ with $\alpha > 0$ (scaled Brownian motion) is stochastically reset to its initial position,…
We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…
Diffusion models have achieved huge empirical success in data generation tasks. Recently, some efforts have been made to adapt the framework of diffusion models to discrete state space, providing a more natural approach for modeling…
We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…
We present an analytical study of the time dependent diffusion coefficient in a dilute suspension of spheres with partially absorbing boundary condition. Following Kirkpatrick (J. Chem. Phys. 76, 4255) we obtain a perturbative expansion for…
We extend the information-based asset-pricing framework by Brody, Hughston \& Macrina to incorporate a stochastic bankruptcy time for the writer of the asset. Our model introduces a non-defaultable cash flow $Z_T$ to be made at time $T$,…
An ordinary differential equation perturbed by a null-recurrent diffusion will be considered in the case where the averaging type perturbation is strong only when a fast motion is close to the origin. The normal deviations of these…
We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by strictly stable Levy-processes with stability index bigger than one. The limit process turns out to be a strictly stable Levy process…
We establish global-in-time existence results for thermodynamically consistent reaction-(cross-)diffusion systems coupled to an equation describing heat transfer. Our main interest is to model species-dependent diffusivities, while at the…
We develop an encounter-based approach for describing restricted diffusion with a gradient drift towards a partially reactive boundary. For this purpose, we introduce an extension of the Dirichlet-to-Neumann operator and use its eigenbasis…
We derive, through subordination techniques, a generalized Feynman-Kac equation in the form of a time fractional Schrodinger equation. We relate such equation to a functional which we name the subordinated local time. We demonstrate through…
We investigate single-particle diffusion in a two-state Langevin model where the friction coefficient randomly switches between low-friction (liquid-like) and high-friction (glassy-like) states. The dynamics are governed by the ratio…
In this work, we study Source-Free Unsupervised Domain Adaptation under corruption-induced domain shifts, where performance degradation is caused by natural image corruptions that go beyond additive noise, including blur, weather effects,…
Starting from the Gisin-Percival state diffusion equation for the pure state trajectory of a composite bipartite quantum system and exploiting the purification of a mixed state via its Schmidt decomposition, we write the diffusion equation…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Brownian motion in a granular gas in a homogeneous cooling state is studied theoretically and by means of molecular dynamics. We use the simplest first-principle model for the impact-velocity dependent restitution coefficient, as it follows…
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 investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
Contemporary epidemiological models often involve spatial variation, providing an avenue to investigate the averaged dynamics of individual movements. In this work, we extend a recent model by Vaziry, Kolokolnikov, and Kevrekidis [Royal…