Related papers: A note on symmetries of diffusions within a martin…
We formulate a martingale problem that describes a diffusion process in a multidimensional Euclidean space with a membrane located on a given smooth surface and having the properties of skewing and delaying. The theorem on the existence of…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.
In this paper, we propose a new adaptation of the D-iteration algorithm to numerically solve the differential equations. This problem can be reinterpreted in 2D or 3D (or higher dimensions) as a limit of a diffusion process where the…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
We study a nonlinear system of partial differential equations which describe rotating shallow water with an arbitrary constant polytropic index $\gamma $ for the fluid. In our analysis we apply the theory of symmetries for differential…
In this paper, we propose a new adaptation of the D-iteration algorithm to numerically solve the differential equations. This problem can be reinterpreted in 2D or 3D (or higher dimensions) as a limit of a diffusion process where the…
Calculus and geometry are ubiquitous in the theoretical modelling of scientific phenomena, but have historically been very challenging to apply directly to real data as statistics. Diffusion geometry is a new theory that reformulates…
Using diffusion priors to solve inverse problems in imaging have significantly matured over the years. In this chapter, we review the various different approaches that were proposed over the years. We categorize the approaches into the more…
A symmetry group classification for fourth-order reaction-diffusion equations, allowing for both second-order and fourth-order diffusion terms, is carried out. The fourth order equations are treated, firstly, as systems of second-order…
This letter investigates the Lie point symmetries and conserved quantities of the Lagrangian systems on time scales, which unify the Lie symmetries of the two cases for the continuous and the discrete Lagrangian systems. By defining the…
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…
Lie symmetries of systems of second-order linear ordinary differential equations with constant coefficients are exhaustively described over both the complex and real fields. The exact lower and upper bounds for the dimensions of the maximal…
In this article, we discuss the numerical solution of diffusion equations on random surfaces within the isogeometric framework. We describe in detail, how diffusion problems on random surfaces can be modelled and how quantities of interest…
This primer explains how continuous-time stochastic processes (precisely, Brownian motion and other Ito diffusions) can be defined and studied on manifolds. No knowledge is assumed of either differential geometry or continuous-time…
We study invariant solutions of a certain class of time-fractional diffusion-wave equations with variable coefficients via Lie symmetry analysis. In physics, the fractional diffusion equation describes transport dynamics that are governed…
Lie symmetry analysis is applied to study the nonlinear rotating shallow water equations. The 9-dimensional Lie algebra of point symmetries admitted by the model is found. It is shown that the rotating shallow water equations are related…
Generalized diffusion type equations are considered and point symmetry analysis is applied to them. The equations with extremal order point symmetry algebras are described. Some old geometrical results are rederived in connection with…
It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes. We are interested in the…
A method is presented for calculating the Lie point symmetries of a scalar difference equation on a two-dimensional lattice. The symmetry transformations act on the equations and on the lattice. They take solutions into solutions and can be…