Related papers: On diffusion processes with drift in $L_{d}$

We prove that the realization $A_p$ in $L^p(\mathbb{R}^N),\,1<p<\infty$, of the elliptic operator $A=(1+|x|^{\alpha})\Delta+b|x|^{\alpha-1}\frac{x}{|x|}\cdot \nabla-c|x|^{\beta}$ with domain $D(A_p) =\{ u \in W^{2,p}(\mathbb{R}^N)\, |\, Au…

We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time additive functionals for possibly unbounded functions of multivariate, nonreversible diffusion processes. Our analysis relies on an approach via…

Consider a one-sided Markov additive process with an upper and a lower barrier, where each can be either reflecting or terminating. For both defective and non-defective processes and all possible scenarios we identify the corresponding…

In this paper, we study darning of general symmetric Markov processes by shorting some parts of the state space into singletons. A natural way to construct such processes is via Dirichlet forms restricted to the function space whose members…

This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms…

We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state…

For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…

We report on recent progress in the study of nonlinear diffusion equations involving nonlocal, long-range diffusion effects. Our main concern is the so-called fractional porous medium equation, $\partial_t u +(-\Delta)^{s}(u^m)=0$, and some…

This paper develops a novel operator theoretic framework to study the contraction properties of Markov semigroups with respect to a general class of Kantorovich semi-distances, which notably includes Wasserstein distances. The rather simple…

This paper demonstrates a lower and upper solution method to investigate the asymptotic behaviour of the conservative reaction-diffusion systems associated with Markovian process algebra models. In particular, we have proved the uniform…

We consider diffusion operator $-\Delta + b \cdot \nabla$ in $\mathbb R^d$, $d \geq 3$, with drift $b$ in a large class of locally unbounded vector fields that can have critical-order singularities. Covering the entire range of admissible…

We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of…

We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…

We study the long-time behavior of an additive functional that takes into account the jumps of a symmetric Markov process. This process is assumed to be observed through a biased observation scheme that includes the survival to events of…

In this article a class of additive invariant positive selfadjoint pseudodifferential unbounded operators on $L^{2}(\mathbb{A}_{f})$, where $\mathbb{A}_{f}$ is the ring of finite ad\'eles of the rational numbers, is considered to state a…

K. It\^{o} characterised in \cite{ito} zero-mean stationary Gauss Markov-processes evolving on a class of infinite-dimensional spaces. In this work we extend the work of It\^{o} in the case of Hilbert spaces: Gauss-Markov families that are…

We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…

In this paper, we are concerned with centered Markov Additive Processes $\{(X_t,Y_t)\}_{t\in\T}$ where the driving Markov process $\{X_t\}_{t\in\T}$ has a finite state space. Under suitable conditions, we provide a local limit theorem for…

We present two variational formulae for the capacity in the context of non-selfadjoint elliptic operators. The minimizers of these variational problems are expressed as solutions of boundary-value elliptic equations. We use these principles…

We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the…