Related papers: Robust Superhedging with Jumps and Diffusion

We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…

Semi-Lagrangian methods have traditionally been developed in the framework of hyperbolic equations, but several extensions of the Semi-Lagrangian approach to diffusion and advection--diffusion problems have been proposed recently. These…

We introduce non-trivial contributions to diffusion constant in generic many-body systems arising from quadratic fluctuations of ballistically propagating, i.e. convective, modes. Our result is obtained by expanding the current operator in…

This article develops a duality principle for non-linear elasticity. The results are obtained through standard tools of convex analysis and the Legendre transform concept. We emphasize the dual variational formulation is concave. Moreover,…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

Sufficient conditions for a symmetric jump-diffusion process to be conservative and recurrent are given in terms of the volume of the state space and the jump kernel of the process. A number of examples are presented to illustrate the…

Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…

We propose thermodynamically consistent models for viscoelastic fluids with a stress diffusion term. In particular, we derive variants of compressible/incompressible Maxwell/Oldroyd-B models with a stress diffusion term in the evolution…

Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend on contemporaneous diffusion movements. Unlike previous…

In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…

Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…

We provide a framework for high-order discretizations of nonlinear scalar convection-diffusion equations that satisfy a discrete maximum principle. The resulting schemes can have arbitrarily high order accuracy in time and space, and can be…

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess…

We consider a type of nonnormal approximation of infinitely divisible distributions that incorporates compound Poisson, Gamma, and normal distributions. The approximation relies on achieving higher orders of cumulant matching, to obtain…

We consider a solution to a generic Markovian jump diffusion and show that for positive times the law of the solution process has a smooth density with respect to Lebesgue measure under a uniform version of Hoermander's conditions. Unlike…

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…

We study a class of degenerate convection diffusion equations with a fractional nonlinear diffusion term. These equations are natural generalizations of anomalous diffusion equations, fractional conservations laws, local convection…

The problem of eliminating fast-relaxing variables to obtain an effective drift-diffusion process in position is solved in a uniform and straightforward way for models with velocity a function jointly of position and fast variables. A more…

We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…