Related papers: Exact simulation of Brownian diffusions with drift…
Since its introduction, some sixty years ago, the Montroll-Weiss continuous time random walk has found numerous applications due its ease of use and ability to describe both regular and anomalous diffusion. Yet, despite its broad…
This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is…
We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
The aim of this paper is to introduce a new Monte Carlo method based on importance sampling techniques for the simulation of stochastic differential equations. The main idea is to combine random walk on squares or rectangles methods with…
We consider n-point sticky Brownian motions: a family of n diffusions that evolve as independent Brownian motions when they are apart, and interact locally so that the set of coincidence times has positive Lebesgue measure with positive…
We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian motion and an independent compensated Poisson process.…
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin.…
We present a study on the dynamics of a system consisting of a pair of hardcore particles diffusing with different rates. We solved the drift-diffusion equation for this model in the case when one particle, labeled F, drifts and diffuses…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…
The accurate and robust simulation of transcritical real-fluid flows is crucial for many engineering applications. Diffused interface methods are frequently employed and several numerical schemes have been developed for simulating…
In this paper, we present a second-order accurate finite-difference method for solving convectiondiffusion equations with interfacial jumps on a moving interface. The proposed method is constructed under a semi-Lagrangian framework for…
Encounter-based models of diffusion provide a probabilistic framework for analyzing the effects of a partially absorbing reactive surface, in which the probability of absorption depends upon the amount of surface-particle contact time.…
We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Milstein scheme is the first scheme that has strong…
In this paper we consider the Brownian motion with jump boundary and present a new proof of a recent result of Li, Leung and Rakesh concerning the exact convergence rate in the one-dimensional case. Our methods are different and mainly…
Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…