Related papers: Polynomial Diffusions and Applications in Finance
In this paper we prove the well-posedness of non-autonomous deterministic and stochastic reaction-diffusion equations with a polynomial reaction term. Concerning the stochastic problem, we also prove a new result on the space-time…
Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…
We consider a porous media type equation over all of $\R^d$ with $d = 1$, with monotone discontinuous coefficients with linear growth and prove a probabilistic representation of its solution in terms of an associated microscopic diffusion.…
This note gives an elementary exposition of a variant of the spread polynomials in terms of Fibonacci and Lucas polynomials.
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…
We show global uniqueness of the solution to a class of constrained variational problems, using scaling properties. This is used to establish the essential uniqueness of solutions of a large deviations problem in multiple dimensions. The…
A refinement of the multinomial distribution is presented where the number of inversions in the sequence of outcomes is tallied. This refinement of the multinomial distribution is its joint distribution with the number of inversions in the…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
This note is an introduction to the properties of stable polynomials in several variables with real or complex coefficients. These polynomials are defined in terms of where the polynomial is non-vanishing. We do not cover well-known topics…
The sharing of microdata, such as fund holdings and derivative instruments, by regulatory institutions presents a unique challenge due to strict data confidentiality and privacy regulations. These challenges often hinder the ability of both…
In this paper diffusion processes with changing modes are studied involving the variable order partial differential equations. We prove the existence and uniqueness theorem of a solution of the Cauchy problem for fractional variable order…
Polynomial factorization in conventional sense is an ill-posed problem due to its discontinuity with respect to coefficient perturbations, making it a challenge for numerical computation using empirical data. As a regularization, this paper…
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of `change of numeraire', but in recent work…
We investigate statistical properties of several classes of periodic billiard models which are diffusive. An introductory chapter gives motivation, and then a review of statistical properties of dynamical systems is given in chapter 2. In…
The formulation of combinatorial differential forms, proposed by Forman for analysis of topological properties of discrete complexes, is extended by defining the operators required for analysis of physical processes dependent on scalar…
Reaction-diffusion equations are widely used as the governing evolution equations for modeling many physical, chemical, and biological processes. Here we derive reaction-diffusion equations to model transport with reactions on a…
We derive a uniqueness and stability principle for surface diffusion before the onset of singularities. The perturbations, however, are allowed to undergo topological changes. The main ingredient is a relative energy inequality, which in…
The diffusion of monovacancies in gold has been studied by computer simulation. Multiple jumps have been found to play a central role in the atomic dynamics at high temperature, and have been shown to be responsible for an upward curvature…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
The phenomena that cause a value of a polynomial function to be a bifurcation one are yet to be described when the fibers have dimension higher than $1$. In this note, the main result is the construction of a polynomial submersion function…