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A $g$--subdiffusion equation with fractional Caputo time derivative with respect to another function $g$ is used to describe a process of a continuous transition from subdiffusion with parameters $\alpha$ and $D_\alpha$ to subdiffusion with…

We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…

We study the use of the hybridizable discontinuous Galerkin (HDG) method for numerically solving fractional diffusion equations of order $-\alpha$ with $-1<\alpha<0$. For exact time-marching, we derive optimal algebraic error estimates…

In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…

Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and \sigma(.), let L be the usual second-order elliptic operator associated with b(.) and \sigma(.). Under suitable…

Matrix differential Riccati equations are central in filtering and optimal control theory. The purpose of this article is to develop a perturbation theory for a class of stochastic matrix Riccati diffusions. Diffusions of this type arise,…

For the Riesz kernel $\kappa_\alpha(x,y):=|x-y|^{\alpha-n}$ on $\mathbb R^n$, where $n\geqslant2$, $\alpha\in(0,2]$, and $\alpha<n$, we consider the problem of minimizing the Gauss functional…

In this paper we introduce the class of infinite infimal convolution functionals and apply these functionals to the regularization of ill-posed inverse problems. The proposed regularization involves an infimal convolution of a continuously…

Let $H\subset \R^{d+1}$ be a compact, convex, analytic hypersurface of finite type with a smooth measure $\sigma $ on $H$. Let $\kappa$ denote the Gaussian curvature on $H$. We consider the oscillatory integral $(\kappa^{1/2}…

We propose a direct numerical method for the solution of an optimal control problem governed by a two-side space-fractional diffusion equation. The presented method contains two main steps. In the first step, the space variable is…

We consider a generic diffusion on the 1D torus and give a simple representation formula for the large deviation rate functional of its invariant probability measure, in the limit of vanishing noise. Previously, this rate functional had…

A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in many applications, with finance as a prominent example. The…

We develop a new approach to recurrence and the existence of non-constant harmonic functions on infinite weighted graphs. The approach is based on the capacity of subsets of metric boundaries with respect to intrinsic metrics. The main tool…

Let $M(\mathbb{T}^d)$ be the space of complex bounded Radon measures defined on the $d$-dimensional torus group $(\mathbb{R}/\mathbb{Z})^d=\mathbb{T}^d$, equipped with the total variation norm $\|\cdot\|$; and let $\hat\mu$ denote the…

The Wright function, which arises in the theory of the space-time fractional diffusion equation, is an interesting mathematical object which has diverse connections with other special and elementary functions. The Wright function provides a…

Let S be the group of finite permutations of the naturals 1,2,... The subject of the paper is harmonic analysis for the Gelfand pair (G,K), where G stands for the product of two copies of S while K is the diagonal subgroup in G. The…

We propose a new approach to linear ill-posed inverse problems. Our algorithm alternates between enforcing two constraints: the measurements and the statistical correlation structure in some transformed space. We use a non-linear multiscale…

We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…

A generalized divergence theorem is established allowing for domains with inner boundaries. The normal trace of a rough integrand is not a Radon measure; rather, the boundary integral is expressed via a surface functional continuous with…

Let $I=[0,1]$ and consider disjoint closed regions $G_{1},....,G_{n}$ in $% I\times I$ and subintervals $I_{1},......,I_{n},$ such that $G_{i}$ projects onto $I_{i.}$ We define the lower and upper maps $\tau_{1},$ $\tau_{2}$ by the lower…