Related papers: Diffusion transformations, Black-Scholes equation …
We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…
We present a finite element approach for diffusion problems with thermal fluctuations based on a fluctuating hydrodynamics model. The governing transport equations are stochastic partial differential equations with a fluctuating forcing…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
In this paper, we establish a link between quantum stochastic processes, and nonlocal diffusions. We demonstrate how the non-commutative Black-Scholes equation of Accardi & Boukas (Luigi Accardi, Andreas Boukas, 'The Quantum Black-Scholes…
We study a space-fractional Stefan problem with the Dirichlet boundary conditions. It is a model that describes superdiffusive phenomena. Our main result is the existence of the unique classical solution to this problem. In the proof we…
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a…
This paper is concerned with the large-time behavior of solutions to the Cauchy problem on the two-fluid Euler-Maxwell system with collisions when initial data are around a constant equilibrium state. The main goal is the rigorous…
We investigate the qualitative behavior of the initial traces of nonnegative solutions to the fast diffusion equation with power-type nonlinearity. Necessary conditions for the existence of solutions to the corresponding Cauchy problem are…
A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The…
This is the second part of study on the optimal convergence rate of the explicit Euler discretization in time for the convection-diffusion equations [Appl. Math. Lett. \textbf{131} (2022) 108048] which focuses on high-dimensional…
We will extend a recent result of B.Choi, P.Daskalopoulos and J.King. For any $n\ge 3$, $0<m<\frac{n-2}{n+2}$ and $\gamma>0$, we will construct subsolutions and supersolutions of the fast diffusion equation $u_t=\frac{n-1}{m}\Delta u^m$ in…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
Fractional Cauchy problems replace the usual first-order time derivative by a fractional derivative. This paper develops classical solutions and stochastic analogues for fractional Cauchy problems in a bounded domain $D\subset\mathbb{R}^d$…
We study regularity and decay properties for the solutions of the Cauchy problem for time-fractional partial differential equations, with tempered initial data, belonging to suitable (weighted) Sobolev spaces, associated with a differential…
This is a study of a class of nonlocal nonlinear diffusion equations. We present a strong maximum principle for nonlocal time-dependent Dirichlet problems. Results are for bounded functions of space, rather than (semi)-continuous functions.…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
We define a novel class of time changed Pearson diffusions, termed stretched non local Pearson diffusions, where the stochastic time change model has the Kilbas Saigo function as its Laplace transform. Moreover, we introduce a stretched…
This paper is concerned with the blow-up property of solutions to an initial boundary value problem for a reaction diffusion equation with special diffusion processes. It is shown, under certain conditions on the initial data, that the…
A class of diffusion driven Free Boundary Problems is considered which is characterized by the initial onset of a phase and by an explicit kinematic condition for the evolution of the free boundary. By a domain fixing change of variables it…