Related papers: Integro-differential equations linked to compound …
A free boundary diffusive logistic model finds application in many different fields from biological invasion to wildfire propagation. However, many of these processes show a random nature and contain uncertainties in the parameters. In this…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
Less than 10 meters deep, shallow landslides are rapidly moving and strongly dangerous slides. In the present work, the probabilistic distribution of the landslide detachment points within a valley is modelled as a spatial Poisson point…
We study a non standard mixed formulation of the Poisson problem, sometimes known as dual mixed formulation. For reasons related to the equilibration of the flux, we use finite elements that are conforming in H(div) for the approximation of…
We consider Poisson's equation for quasi-birth-and-death processes (QBDs) and we exploit the special transition structure of QBDs to obtain its solutions in two different forms. One is based on a decomposition through first passage times to…
We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
In this article, we discuss the continuous version of the generalized exchange-driven growth model which is a variant of the coagulation model in which a smaller size particle is detached from a bigger one and merges with another particle.…
We revisit the discrete additive and multiplicative coalescents, starting with $n$ particles with unit mass. These cases are known to be related to some "combinatorial coalescent processes": a time reversal of a fragmentation of Cayley…
Elasto-plastic models are among the most successful ways to study the critical properties of the plastic yielding transition of amorphous solids. Typically these models are studied under a condition of constant transition rates from one…
In this work, we consider pressurized phase-field fracture problems in nearly and fully incompressible materials. To this end, a mixed form for the solid equations is proposed. To enhance the accuracy of the spatial discretization, a…
Stochastic birth-death processes are described as continuous-time Markov processes in models of population dynamics. A system of infinite, coupled ordinary differential equations (the so-called master equation) describes the time-dependence…
In this paper, we propose a fractional differential equation of order one-half, to model the evolution through time of the dynamics of accumulation and elimination of the contaminant in human organism with a deficient immune system, during…
In this paper we consider the problem of viscosity solution of integro-partial differential equation(IPDE in short) via the solution of backward stochastic differential equations(BSDE in short) with jumps where L\'evy's measure is not…
The compound Poisson process and the Dirichlet process are the pillar structures of Renewal theory and Bayesian nonparametric theory, respectively. Both processes have many useful extensions to fulfill the practitioners needs to model the…
We deal with some extensions of the space-fractional diffusion equation, which is satisfied by the density of a stable process (see Mainardi, Luchko, Pagnini (2001)): the first equation considered here is obtained by adding an exponential…
We propose a deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and high-dimensional forward-backward stochastic differential equations with jumps (FBSDEJs), where the jump-diffusion…
We consider a fractional version of the classical nonlinear birth process of which the Yule--Furry model is a particular case. Fractionality is obtained by replacing the first order time derivative in the difference-differential equations…
This work introduces hybrid stochastic differential equations with memory (mH-SDEs), a new class of stochastic systems where transition rates depend on the joint history of both Euclidean and discrete components. This extends existing…
This paper describes a compound Poisson-based random effects structure for modeling zero-inflated data. Data with large proportion of zeros are found in many fields of applied statistics, for example in ecology when trying to model and…