Related papers: Absolute Continuity under Time Shift for Ornstein-…
We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the…
The Nernst-Planck-Stokes (NPS) system models electroconvection of ions in a fluid. We consider the system, for two oppositely charged ionic species, on three dimensional bounded domains with Dirichlet boundary conditions for the ionic…
We deal with a continuous-time Ehrenfest model defined over an extended star graph, defined as a lattice formed by the integers of $d$ semiaxis joined at the origin. The dynamics on each ray are regulated by linear transition rates, whereas…
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribution tails. We begin with presenting the…
We investigate the influence of an external magnetic field (torque) on the motion of Brownian particles confined in a channel geometry with varying width. Furthermore, the particles are driven by random fluctuations modeled by the…
We determine the exact time-dependent non-idempotent one-particle reduced density matrix and its spectral decomposition for a harmonically confined two-particle correlated one-dimensional system when the interaction terms in the…
We study the convergence properties of the conditional (Kullback-Leibler) entropy in stochastic systems. We have proved very general results showing that asymptotic stability is a necessary and sufficient condition for the monotone…
The expected signature uniquely determines the law of a random rough path under a moment-growth condition, yet finite-sample bounds for estimating it from a single long dependent trajectory have been lacking. We study a stationary…
We consider one-dimensional random walks in random environment which are transient to the right. Our main interest is in the study of the sub-ballistic regime, where at time $n$ the particle is typically at a distance of order $O(n^\kappa)$…
Exact analytical solutions of the time-dependent Schr\"odinger equation with the initial condition of an incident cutoff wave are used to investigate the traversal time for tunneling. The probability density starts from a vanishing value…
Strong approximation errors of both finite element semi-discretization and spatio-temporal full discretization are analyzed for the stochastic Allen-Cahn equation driven by additive noise in space dimension $d \leq 3$. The full…
We study translation invariant stochastic processes on $\mathbb{R}^d$ or $\mathbb{Z}^d$ whose diffraction spectrum or structure function $S(k)$, i.e. the Fourier transform of the truncated total pair correlation function, vanishes on an…
Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible dependence structure. The asymptotic behavior of the integrated and partial sum supOU processes can be, however, unusual.…
Let (S(t)) be a one-parameter family S = (S(t)) of positive integral operators on a locally compact space L. For a possibly non-uniform partition of [0,1] define a measure on the path space C([0,1],L) by using a) S(dt) for the transition…
In this paper we obtain rigidity results for a bounded non-constant entire solution $u$ of the Allen-Cahn equation in $\mathbb{R}^n$, whose level set $\{u=0\}$ is contained in a half-space. If $n\leq 3$ we prove that the solution must be…
This paper explicitly computes the transition densities of a spectrally negative stable process with index greater than one, reflected at its infimum. First we derive the forward equation using the theory of sun-dual semigroups. The…
We study the tunneling zone solutions of a one-dimensional electrostatic potential for the relativistic (Dirac to Klein-Gordon) wave equation when the incoming wave packet exhibits the possibility of being almost totally transmitted through…
This paper consider the LAN property for the mixed O-U process under high-frequency observation when H>3/4. As considered in mixed fractional Brownian motion, we will also use the projection step to get the non-diagonal rate matrix.
This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein-Uhlenbeck process. For the estimation of the drift, the…
We consider a stochastic process driven by a linear ordinary differential equation whose right-hand side switches at exponential times between a collection of different matrices. We construct planar examples that switch between two matrices…