Related papers: Convergence of hitting times for jump-diffusion pr…
Path-wise observables--functionals of stochastic trajectories--are at the heart of time-average statistical mechanics and are central to thermodynamic inequalities such as uncertainty relations, speed limits, and correlation-bounds. They…
In computational system biology, the mesoscopic model of reaction-diffusion kinetics is described by a continuous time, discrete space Markov process. To simulate diffusion stochastically, the jump coefficients are obtained by a…
The first hitting times of a stochastic process, i.e., the first time a process reaches a particular level, are of significant interest across various scientific disciplines, including biology, chemistry, and economics. We modify the…
We analyze the strong noise limit of one-dimensional stochastic differential equations (SDEs). Our initial motivation comes from continuous measurements of open quantum systems. In this context, Bauer, Bernard and Tilloy pointed out an…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
If we know that some kind of sequence always converges, we can ask how quickly and how uniformly it converges. Many convergent sequences converge non-uniformly and, relatedly, have no computable rate of convergence. However proof-theoretic…
Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction-diffusion processes are widely used to model such behaviour in disciplines ranging from biology to…
We consider the long time behavior of Wong-Zakai approximations of stochastic differential equations. These piecewise smooth diffusion approximations are of great importance in many areas, such as those with ordinary differential equations…
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…
We investigate the large-time dynamics of solutions of multi-dimensional reaction-diffusion equations with ignition type nonlinearities. We consider solutions which are in some sense locally persistent at large time and initial data which…
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models…
In this paper, we consider an age-structured jump model that arises as a description of continuous time random walks with infinite mean waiting time between jumps. We prove that under a suitable rescaling, this equation converges in the…
The paper deals with reaction-diffusion equations involving a hysteretic discontinuity in the source term, which is defined at each spatial point. In particular, such problems describe chemical reactions and biological processes in which…
This paper develops stability and stabilization results for systems of fully coupled jump diffusions. Such systems frequently arise in numerous applications where each subsystem (component) is operated under the influence of other…
This paper studies a novel approach for approximating the behavior of compartmental spreading processes. In contrast to prior work, the methods developed describe a dynamics which bound the exact moment dynamics, without explicitly…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We allow the drift coefficient $b$ and the diffusion coefficient…
Many problems in finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density of the time for such a process to cross a…
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…
We study the limit of a kinetic evolution equation involving a small parameter and perturbed by a smooth random term which also involves the small parameter. Generalizing the classical method of perturbed test functions, we show the…