Related papers: Picard iterations for diffusions on symmetric matr…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
We consider random matrices that have invariance properties under the action of unitary groups (either a left-right invariance, or a conjugacy invariance), and we give formulas for moments in terms of functions of eigenvalues. Our main tool…
We define the notion of "diffusion algebras". They are quadratic Poincare-Birkhoff-Witt (PBW) algebras which are useful in order to find exact expressions for the probability distributions of stationary states appearing in one-dimensional…
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N coupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded…
Understanding the limiting behavior of eigenvalues of random matrices is the central problem of random matrix theory. Classical limit results are known for many models, and there has been significant recent progress in obtaining more…
In this paper we consider two classes of backward stochastic differential equations. Firstly, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of…
Hermitian symplectic spaces provide a natural framework for the extension theory of symmetric operators. Here we show that hermitian symplectic spaces may also be used to describe the solution to the factorisation problem for the scattering…
The Wishart distribution and its generalizations are among the most prominent probability distributions in multivariate statistical analysis, arising naturally in applied research and as a basis for theoretical models. In this paper, we…
An iterative algorithm is adopted to construct approximate representations of matrices describing the scattering properties of arbitrary objects. The method is based on the implicit evaluation of scattering responses from iteratively…
We provide examples of initial data which saturate the enhanced diffusion rates proved for general shear flows which are H\"{o}lder regular or Lipschitz continuous with critical points, and for regular circular flows, establishing the…
The aim of this paper is to study differential and spectral properties of the infinitesimal operator of two dimensional Markov processes with diffusion and discrete components. The infinitesimal operator is now a second-order differential…
In this paper we extend analysis of the WaveHoltz iteration -- a time-domain iterative method for the solution of the Helmholtz equation. We expand the previous analysis of energy conserving problems and prove convergence of the WaveHoltz…
We analyze the emergence of diffractive focusing in the transition from discrete to continuous space-time variables. Three types of dynamical equations are studied in a top-to-bottom approach, starting with the most general system. First we…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
For continuous \gamma, g:[0,1]\to(0,\infty), consider the degenerate stochastic differential equation dX_t=[1-|X_t|^2]^{1/2}\gamma(|X_t|) dB_t-g(|X_t|)X_t dt in the closed unit ball of R^n. We introduce a new idea to show pathwise…
Recently, the authors have proposed a new approach to the theory of random metrics, making an explicit link between probability measures on the space of metrics on a Kahler manifold and random matrix models. We consider simple examples of…
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive…
The study of multidimensional stochastic processes involves complex computations in intricate functional spaces. In particular, the diffusion processes, which include the practically important Gauss-Markov processes, are ordinarily defined…
We define a class of "algebraic" random matrices. These are random matrices for which the Stieltjes transform of the limiting eigenvalue distribution function is algebraic, i.e., it satisfies a (bivariate) polynomial equation. The Wigner…
The objective of this paper is to investigate a new numerical method for the approximation of the self-diffusion matrix of a tagged particle process defined on a grid. While standard numerical methods make use of long-time averages of…