Related papers: A variational characterization of the optimal exit…

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…

In this note, we discuss the uniform ergodicity of a diffusion process given by an It\^o stochastic differential equation. We present an integral condition in terms of the drift and diffusion coefficients that ensures the uniform ergodicity…

The chaotic diffusion for particles moving in a time dependent potential well is described by using two different procedures: (i) via direct evolution of the mapping describing the dynamics and ; (ii) by the solution of the diffusion…

In this research note we provide a variational basis for the optimal artificial diffusion method, which has been a cornerstone in developing many stabilized methods. The optimal artificial diffusion method produces exact nodal solutions…

This paper is concerned with the optimal control of hysteresis-reaction-diffusion systems. We study a control problem with two sorts of controls, namely distributed control functions, or controls which act on a part of the boundary of the…

In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.

We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…

The escape probability $\xi_{x}$ from a site $x$ of a one-dimensional disordered lattice with trapping is treated as a discrete dynamical evolution by random iterations over nonlinear maps parametrized by the right and left jump…

We consider a controlled reaction-diffusion equation, motivated by a pest eradication problem. Our goal is to derive a simpler model, describing the controlled evolution of a contaminated set. In this direction, the first part of the paper…

In this paper we study $g$-fractional diffusion on bounded domains in $\mathbb{R}^d$ with absorbing boundary conditions. We show the explicit representation of the solution and then we study the first passage time distribution, showing the…

This paper studies the limit of a kinetic evolution equation involving a small parameter and driven by a random process which also scales with the small parameter. In order to prove the convergence in distribution to the solution of a…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…

A solution is developed for a convection-diffusion equation describing chemical transport with sorption, decay, and production. The problem is formulated in a finite domain where the appropriate conservation law yields Robin conditions at…

In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a…

For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We…

We derive the hydrodynamic limit of a kinetic equation with a stochastic, short range perturbation of the velocity operator. Under some mixing hypotheses on the stochastic perturbation, we establish a diffusion-approximation result: the…

The rates of activated processes, such as escape from a metastable state and nucleation, are exponentially sensitive to an externally applied field. We describe how this applies to modulation by high-frequency fields and illustrate it with…

Diffusion-coagulation can be simply described by a dynamic where particles perform a random walk on a lattice and coalesce with probability unity when meeting on the same site. Such processes display non-equilibrium properties with strong…

Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…

We study the heat equation on a half-space or on an exterior domain with a linear dynamical boundary condition. Our main aim is to establish the rate of convergence to solutions of the Laplace equation with the same dynamical boundary…