Related papers: Krylov-Safonov estimates for a degenerate diffusio…
We provide pointwise upper bounds for the transition kernels of semigroups associated with a class of systems of nondegenerate elliptic partial differential equations with unbounded coefficients with possibly unbounded diffusion…
For a class of degenerate diffusion processes of rank 2, i.e. when only Poisson brackets of order one are needed to span the whole space, we obtain a parametrix representation of the density from which we derive some explicit Gaussian…
This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the…
In this article we consider a family of real-valued diffusion processes on the time interval $[0,1]$ indexed by their prescribed initial value $x \in \mathbb{R}$ and another point in space, $y \in \mathbb{R}$. We first present an…
We consider an inverse problem of reconstructing a degeneracy point in the diffusion coefficient in a one-dimensional parabolic equation by measuring the normal derivative on one side of the domain boundary. We analyze the sensitivity of…
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates…
The purpose of this article is to give another proof on the existence of a diffusion on a junction, which has been already done by M.Freidlin and S-J.Sheu, in Diffusion processes on graphs, (2000). We generalize the result to time dependent…
We are concerned in this paper with the degenerate fractional diffusion advection equations posed in bounded domains. Due to a suitable formulation, we show the existence of weak entropy solutions for measurable and bounded initial and…
We consider a time-space fractional diffusion equation with a variable coefficient and investigate the inverse problem of reconstructing the source term, after regularizing the problem with the quasiboundary value method to mitigate the…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
In this paper, we mainly introduce a general method to study the existence and uniqueness of solution of free boundary problems with partially degenerate diffusion.
We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on…
In the present paper, we prove that with probability one, the Stratonovich signatures of a multidimensional diffusion process (possibly degenerate) over [0,1], which is the collection of all iterated Stratonovich's integrals of the…
In this paper we investigate deterministic diffusion in systems which are spatially extended in certain directions but are restricted in size and open in other directions, consequently particles can escape. We introduce besides the…
We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter…
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a…
The large-time asymptotics of the solutions to a class of degenerate parabolic cross-diffusion systems is analyzed. The equations model the interaction of an arbitrary number of population species in a bounded domain with no-flux boundary…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We investigate properties of Markov quasi-diffusion processes corresponding to elliptic operators $L=a^{ij}D_{ij}+b^{i}D_{i}$, acting on functions on $\mathbb{R}^{d}$, with measurable coefficients, bounded and uniformly elliptic $a$ and…
This paper is devoted to the inverse problem of recovering the unknown distributed flux on an inaccessible part of boundary using measurement data on the accessible part. We establish and verify a variational source condition for this…