Related papers: Properties of Switching Jump Diffusions: Maximum P…
We establish certain maximum principles for a class of strongly coupled elliptic (or cross diffusion) systems of $m\ge2$ equations. The reaction parts can be non cooperative. These new results will be crucial in obtaining coexistence and…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
In this paper we consider three classes of interacting particle systems on $\mathbb Z$: independent random walks, the exclusion process, and the inclusion process. We allow particles to switch their jump rate (the rate identifies the type…
We study the validity of the comparison and maximum principles, and their relation with principal eigenvalues, for a class of degenerate nonlinear operators that are extremal among operators with one dimensional fractional diffusion.
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing…
This is an attempt to address diffusion phenomena from the point of view of information theory. We imagine a regular hamiltonian system under the random perturbation of thermal (molecular) noise and chaotic instability. The irregularity of…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
The purpose of this paper is to investigate the long time behaviour for a self-interacting diffusion and a self-interacting velocity jump process. While the diffusion case has already been studied for some particular potential function, the…