Related papers: Maximum principles for nonlocal parabolic Waldenfe…
This note investigates the explicit convergence rates of nonlocal peridynamic operators to their classical (local) counterparts in $L^q$-norm. Previous results used Fourier series and hence were restricted to showing convergence in $L^2$.…
We define various higher-order Markov properties for stochastic processes $(X(t))_{t\in \mathbb{T}}$, indexed by an interval $\mathbb{T} \subseteq \mathbb{R}$ and taking values in a real and separable Hilbert space $U$. We furthermore…
In this paper we study a system of variational inequalities where the operator is non-local, possibly degenerate and of second order. A special case of this type of problem occurs in the context of optimal switching problems when the…
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of the solution. A maximum principle is proved and used to…
In this article, we introduce a new class of parabolic-type pseudo differential equations with variable coefficients over the p-adics. We establish the existence and uniqueness of solutions for the Cauchy problem associated with these…
In this paper we investigate maximum principles for functionals defined on solutions to special partial differential equations of elliptic type, extending results by Payne and Philippin. We apply such maximum principles to investigate one…
We study the large deviations principle for one dimensional, continuous, homogeneous, strong Markov processes that do not necessarily behave locally as a Wiener process. Any strong Markov process $X_{t}$ in $\mathbb{R}$ that is continuous…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
We consider fractional parabolic equations with variable coefficients and establish maximal $L_{q}$-regularity in Bessel potential spaces of arbitrary nonnegative order. As an application, we show higher order regularity and instantaneous…
We study nonlocal operators acting on functions in the Euclidean space. The operators under consideration generate anisotropic jump processes, e.g., a jump process that behaves like a stable process in each direction but with a different…
We introduce here new generalized principal eigenvalues for linear parabolic operators with heterogeneous coefficients in space and time. We consider a bounded spatial domain and an unbounded time interval $I$ : $I=\mathbb{R},\…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
L\'evy stable (jump-type) processes are examples of intrinsically nonlocal random motions. This property becomes a serious obstacle if one attempts to model conditions under which a particular L\'evy process may be subject to physically…
We study a real-valued L\'evy-type process $X$, which is locally $\alpha$-stable in the sense that its jump kernel is a combination of a `principal' (state dependent) $\alpha$-stable part with a `residual' lower order part. We show that…
We study a class of R^d-valued continuous strong Markov processes that are generated, only locally, by an ultra-parabolic operator with coefficients that are regular w.r.t. the intrinsic geometry induced by the operator itself and not…
We consider eigenvalue problems for general elliptic operators of arbitrary order subject to homogeneous boundary conditions on open subsets of the euclidean N-dimensional space. We prove stability results for the dependence of the…
In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We…
We introduce a notion of quasilinear parabolic equations over metric measure spaces. Under sharp structural conditions, we prove that local weak solutions are locally bounded and satisfy the parabolic Harnack inequality. Applications…
This paper presents a maximum principle-based approach in the establishment of input-to-state stability (ISS) for a class of nonlinear parabolic partial differential equations (PDEs) over higher dimensional domains with variable…
In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the marginal distribution of the process itself. This technique is an…