Related papers: Periodic solutions of hybrid jump diffusion proces…
We give a substitute to Feller property for semigroups of time-changed processes; under some conditions this leads to establish sufficient (new) conditions for the semigroups to be Feller. Moreover, given a standard process and a sequence…
Many astrophysical systems can only be accurately modelled when the behaviour of their baryonic gas components is well understood. The residual distribution (RD) family of partial differential equation (PDE) solvers produce approximate…
We consider a one-dimensional diffusion process with coefficients that are periodic outside of a finite 'interface region'. The question investigated in this article is the limiting long time / large scale behaviour of such a process under…
Simple form scalar differential equation with delay and nonlinear negative periodic feedback is considered. The existence of several types of slowly oscillating periodic solutions is shown with the same and double periods of the feedback…
We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…
A previously-developed hybrid particle-continuum method [J. B. Bell, A. Garcia and S. A. Williams, SIAM Multiscale Modeling and Simulation, 6:1256-1280, 2008] is generalized to dense fluids and two and three dimensional flows. The scheme…
We consider a continuum model of electrical signals in the human cortex, which takes the form of a system of semilinear, hyperbolic partial differential equations for the inhibitory and excitatory membrane potentials and the synaptic…
We consider optimal control of fractional in time (subdiffusive, i.e., for $% 0<\gamma <1$) semilinear parabolic PDEs associated with various notions of diffusion operators in an unifying fashion. Under general assumptions on the…
Sufficient conditions for a symmetric jump-diffusion process to be conservative and recurrent are given in terms of the volume of the state space and the jump kernel of the process. A number of examples are presented to illustrate the…
This paper studies three ways to construct a nonhomogeneous jump Markov process: (i) via a compensator of the random measure of a multivariate point process, (ii) as a minimal solution of the backward Kolmogorov equation, and (iii) as a…
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…
By establishing a characterization for Sobolev differentiability of random fields, we prove the weak differentiability of solutions to stochastic differential equations with local Sobolev and super-linear growth coefficients with respect to…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
We discuss the derivation and the solutions of integro-differential equations (variable-order time-fractional diffusion equations) following as continuous limits for lattice continuous time random walk schemes with power-law waiting-time…
This paper presents a space-time interface-fitted finite element method for solving a parabolic advection-diffusion problem with a nonstationary interface. The jumping diffusion coefficient gives rise to the discontinuity of the solution…
We present the validity of stochastic averaging principle for non-autonomous slow-fast stochastic differential equations (SDEs) whose fast motions admit random periodic solutions. Our investigation is motivated by some problems arising from…
We study the existence of monotone traveling wave solutions in a class of nonclassical diffusion equations that include both standard diffusion and a higher-order mixed space-time dispersive term. The reaction term is nonlinear and subject…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…