Related papers: Infinite dimensional affine processes
It is well-known that the excursions of a one-dimensional diffusion process can be studied by considering a certain Riccati equation associated with the process. We show that, in many cases of interest, the Riccati equation can be solved in…
In this paper we define a class of coverage processes with infinitely divisible finite dimensional distributions and a particular type of correlation structure that can be thought of as generalizations of the classical Ornstein--Uhlenbeck…
Diffusion models have had a profound impact on many application areas, including those where data are intrinsically infinite-dimensional, such as images or time series. The standard approach is first to discretize and then to apply…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…
The global existence of bounded solutions to reaction-diffusion systems with fractional diffusion in the whole space $\mathbb R^N$ is investigated. The systems are assumed to preserve the non-negativity of initial data and to dissipate…
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 show the existence of a broad class of affine Markov processes in the cone of positive self-adjoint Hilbert-Schmidt operators. Such processes are well-suited as infinite dimensional stochastic volatility models. The class of processes we…
We present a proof for the existence and uniqueness of weak solutions for a cut-off and non cut-off model of non-linear diffusion equation in finite-dimensional space RD useful for modelling flows on porous medium with saturation, turbulent…
The Airy process is characterized by its finite-dimensional distribution functions. We show that each finite-dimensional distribution function is expressible in terms of a solution to a system of differential equations.
Anomalous diffusion is a phenomenon that cannot be modeled accurately by second-order diffusion equations, but is better described by fractional diffusion models. The nonlocal nature of the fractional diffusion operators makes substantially…
There have recently been many predictions of "superdiffusion" in two-dimensional strongly coupled Yukawa systems, both by computer simulations and in dusty plasma experiments, with substantially varying diffusion exponents. Here we show…
This paper improves a previously established test involving only coefficients to decide a priori whether or not non-trivial symmetries of a large class of space-time dependent diffusion processes on the real line exist. When the existence…
Time fractional advection-dispersion equations arise as generalizations of classical integer order advection-dispersion equations and are increasingly used to model fluid flow problems through porous media. In this paper we develop an…
A multidimensional version of the Yamada-Watanabe theorem is proved. It implies a spectral matrix Yamada-Watanabe theorem. It is also applied to particle systems of squared Bessel processes, corresponding to matrix analogues of squared…
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…
This paper intends on obtaining the explicit solution of $n$-dimensional anomalous diffusion equation in the infinite domain with non-zero initial condition and vanishing condition at infinity. It is shown that this equation can be derived…
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and…
This expository essay discusses a finite dimensional approach to dilation theory. How much of dilation theory can be worked out within the realm of linear algebra? It turns out that some interesting and simple results can be obtained. These…
Generative diffusion models and many stochastic models in science and engineering naturally live in infinite dimensions before discretisation. To incorporate observed data for statistical and learning tasks, one needs to condition on…
In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of linear parabolic initial-and final boundary value problems defined in bounded convex subsets of Euclidean space of arbitrary…