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In this paper, we study branching Brownian motion with absorption, in which particles undergo Brownian motions and are killed upon hitting the absorption barrier. We prove that the empirical distribution function of the maximum of this…
Given two probability measures $\mu, \nu$ on $\mathbb{R}^d$, in subharmonic order, we describe optimal stopping times $\tau$ that maximize/minimize the cost functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$, where $(B_t)_t$ is…
In this paper, we study ergodic backward stochastic differential equations (EBSDEs for short), for which the underlying diffusion is assumed to be multiplicative and of at most linear growth. The fact that the forward process has an…
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 introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
This paper deals with a lower bound for the blow-up time for solutions of the fully parabolic chemotaxis system \begin{equation*} \begin{cases} u_t=\nabla \cdot [(u+\alpha)^{m_1-1} \nabla u-\chi u(u+\alpha)^{m_2-2} \nabla v] & {\rm in} \;…
In the present paper, we consider that $N$ diffusion processes $X^1,\dots,X^N$ are observed on $[0,T]$, where $T$ is fixed and $N$ grows to infinity. Contrary to most of the recent works, we no longer assume that the processes are…
With the aim of providing a first step in the quest for a reduction of the aerodynamic drag on the rear-end of a car, we study the phenomena of separation and reattachment of an incompressible flow focusing on a specific aerodynamic…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
An approximate maximum likelihood method of estimation of diffusion parameters $(\vartheta,\sigma)$ based on discrete observations of a diffusion $X$ along fixed time-interval $[0,T]$ and Euler approximation of integrals is analyzed. We…
We study an aggregation PDE with competing attractive and repulsive forces on a sphere of arbitrary dimension. In particular, we consider the limit of strongly localized repulsion with a constant attraction term. We prove convergence of…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
If $\Omega$ is a bounded domain in $\mathbb R^N$ and $f$ a continuous increasing function satisfying a super linear growth condition at infinity, we study the existence and uniqueness of solutions for the problem (P): $\partial_tu-\Delta…
We calculate analytically the probability density $P(t_m)$ of the time $t_m$ at which a continuous-time Brownian motion (with and without drift) attains its maximum before passing through the origin for the first time. We also compute the…
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
We prove maximal $L^p$-regularity for the stochastic evolution equation \[\{{aligned} dU(t) + A U(t)\, dt& = F(t,U(t))\,dt + B(t,U(t))\,dW_H(t), \qquad t\in [0,T], U(0) & = u_0, {aligned}.\] under the assumption that $A$ is a sectorial…
The Cheeger problem for a bounded domain $\Omega\subset\mathbb{R}^{N}$, $N>1$ consists in minimizing the quotients $|\partial E|/|E|$ among all smooth subdomains $E\subset\Omega$ and the Cheeger constant $h(\Omega)$ is the minimum of these…
Given an initial (resp., terminal) probability measure $\mu$ (resp., $\nu$) on $\mathbb{R}^d$, we characterize those optimal stopping times $\tau$ that maximize or minimize the functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$,…
We derive explicit pointwise bounds for the spatial derivative $\left| \frac{\partial V}{\partial x} \right|$ of solutions to linear parabolic PDEs with Neumann boundary conditions. The bound is fully explicit in the sense that it depends…