Related papers: Superprocesses over a stochastic flow with spatial…
Atypical, rare trajectories of dynamical systems are important: they are often the paths for chemical reactions, the haven of (relative) stability of planetary systems, the rogue waves that are detected in oil platforms, the structures that…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
This article deals with time-fractional diffusion equations with time-dependent singular source term. Whenever the order of the time-fractional derivative is either multi-term, distributed or space-dependent, we prove that the system admits…
Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local times, and various integral functionals of sticky processes…
We propose a method for quantization of Lagrangians for which the Hamiltonian, as a function of momentum, is a branched function with cusps. Appropriate boundary conditions, which we identify, insure unitary time evolution. In special cases…
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the…
We propose a constructive approach to building temporal point processes that incorporate dependence on their history. The dependence is modeled through the conditional density of the duration, i.e., the interval between successive event…
Understanding the spatial extent of extreme precipitation is necessary for determining flood risk and adequately designing infrastructure (e.g., stormwater pipes) to withstand such hazards. While environmental phenomena typically exhibit…
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
In this paper, we present a general framework for solving stochastic functional differential equations in infinite dimensions in the sense of martingale solutions, which can be applied to a large class of SPDE with finite delays, e.g.…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
We prove uniqueness of a martingale problem with boundary conditions on a simplex associated to a differential operator with an unbounded drift. We show that the solution of the martingale problem remains absorbed at the boundary once it…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
While classical concentration inequalities are typically restricted to two special cases -- independence and martingale difference sequences -- we extend concentration inequalities to a much broader class of stochastic processes by relaxing…
In this paper we consider two related stochastic models. The first one is a branching system consisting of particles moving according to a Markov family in R^d and undergoing subcritical branching with a constant rate of V>0. New particles…
In this note we connect the notion of solutions of a martingale problem to the notion of a strongly continuous and locally equi-continuous semigroup on the space of bounded continuous functions equipped with the strict topology. This…
We construct a measure-valued branching Markov process associated with a nonlinear boundary value problem, where the boundary condition has a nonlinear pseudo monotone branching mechanism term $-\beta$, which includes as a limit case…
Infinite sums of i.i.d. random variables discounted by a multiplicative random walk are called perpetuities and have been studied by many authors. The present paper provides a log-type moment result for such random variables under minimal…
We further develop an extended dynamical mean field approach introduced earlier. It goes beyond the standard $D=\infty$ dynamical mean field theory by incorporating quantum fluctuations associated with intersite (RKKY-like) interactions.…
Extreme environmental phenomena such as major precipitation events manifestly exhibit spatial dependence. Max-stable processes are a class of asymptotically-justified models that are capable of representing spatial dependence among extreme…