Related papers: Second order Riesz transforms on multiply-connecte…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold. Given a Lie group action that generates transport along the…
We establish an integration by parts formula based on jumps times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps.
The discrete gradient structure and the positive definiteness of discrete fractional integrals or derivatives are fundamental to the numerical stability in long-time simulation of nonlinear integro-differential models. We build up a…
Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results in several ways. First, we provide the analytical solution…
We consider a pure jump process $\{X_t\}_{t\ge 0}$ with values in a finite state space $S= \{1, \ldots, d\}$ for which the jump rates at time instant $t$ depend on the occupation measure $L_t \doteq t^{-1} \int_0^t \delta_{X_s}\,ds$. Such…
In this paper we investigate Lp-boundedness properties for the higher order Riesz transforms associated with Laguerre operators. Also we prove that the k-th Riesz transform is a principal value singular integral operator (modulus a constant…
We develop and describe continuous and discrete transforms of class functions on compact simple Lie group $G$ as their expansions into series of uncommon special functions, called here $\E$-functions in recognition of the fact that the…
This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational…
We investigate certain singular integral operators with Riesz-type kernels on s-dimensional Ahlfors-David regular subsets of Heisenberg groups. We show that $L^2$-boundedness, and even a little less, implies that $s$ must be an integer and…
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…
Solutions of the discrete Painlev\'e II hierarchy are shown to be in relation with a family of Toeplitz determinants describing certain quantities in multicritical random partitions models, for which the limiting behavior has been recently…
Transformations of differential equations to other equivalent equations play a central role in many routines for solving intricate equations. A class of differential equations that are particularly amenable to solution techniques based on…
Self-interacting jump processes (SIJPs) describe systems with non-Markovian stochastic dynamics in which transition rates depend on empirical observables of the process, which gives rise to long-range memory and feedback. We derive the…
We present the first higher-order approximation scheme for solutions of jump-diffusion stochastic differential equations with discontinuous drift. For this transformation-based jump-adapted quasi-Milstein scheme we prove $L^p$-convergence…
In this paper, we establish even order compact numerical schemes (4th-order, 6th-order, 8th-order, 10th-order) for Riesz derivatives by using the symmetrical fractional centred difference operator. Then we apply the derived 4th-order…
Following the previous authors works (joint with I.A.Dynnikov) we develop a theory of the discrete analogs of the differential-geometrical (DG) connections in the triangulated manifolds. We study a nonstandard discretization based on the…
We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-state dependent unbounded intensity, not of L\'evy-driven type…
We prove functional inequalities in any dimension controlling the iterated derivatives along a transport of the Coulomb or super-Coulomb Riesz modulated energy in terms of the modulated energy itself. This modulated energy was introduced by…
The aim of this paper is to develop fast second-order accurate difference schemes for solving one- and two-dimensional time distributed-order and Riesz space fractional diffusion equations. We adopt the same measures for one- and…