Related papers: Robust Superhedging with Jumps and Diffusion
This paper is concerned with the existence and the stability of travelling wave solutions to a bistable reaction-diffusion equation with a jump discontinuious point on nonlinear term. Sub-super solution method is used throughout this paper.…
We study a reaction-diffusion-convection problem with nonlinear drift posed in a domain with periodically arranged obstacles. The non-linearity in the drift is linked to the hydrodynamic limit of a totally asymmetric simple exclusion…
We develop general heterogeneous nonlocal diffusion models and investigate their connection to local diffusion models by taking a singular limit of focusing kernels. We reveal the link between the two groups of diffusion equations which…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
We solve two long standing problems for stochastic descriptions of open quantum system dynamics. First, we find the classical stochastic processes corresponding to non-Markovian quantum state diffusion and non-Markovian quantum jumps in…
We introduce verifiable criteria for weak posterior consistency of identifiable Bayesian nonparametric inference for jump diffusions with unit diffusion coefficient and uniformly Lipschitz drift and jump coefficients in arbitrary dimension.…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
We consider nonparametric statistical inference for L\'evy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk…
We consider the question of estimating the drift and the invariant density for a large class of scalar ergodic diffusion processes, based on continuous observations, in $\sup$-norm loss. The unknown drift $b$ is supposed to belong to a…
We give a comprehensive study of the analytic properties and long-time behavior of solutions of a reaction-diffusion system in a bounded domain in the case where the nonlinearity satisfies the standard monotonicity assumption. We pay the…
In this paper we consider a 2D nonlinear and nonlocal model describing the dynamics of the dislocation densities. We prove the local well-posedness of strong solution to this system in the suitable functional framework, and we show the…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
We demonstrate the existence of a "L\'evy system" for the excursions of a one-dimensional diffusion process above its past-minimum process. As applications we provide a direct proof of D. Williams' decomposition (in both a global and a…
We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale…
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
In this paper we establish a comparison theorem for stochastic differential delay equations with jumps. An example is constructed to demonstrate that the comparison theorem need not hold whenever the diffusion term contains a delay function…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
We are interested in some properties related to the solutions of non-local diffusion equations with divergence free drift. Existence, maximum principle and a positivity principle are proved. In order to study Holder regularity, we apply a…
We develop adaptive time-stepping strategies for It\^o-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear…