Related papers: Stochastic processes associated to multidimensiona…
Seifert derived an exact fluctuation relation for diffusion processes using the concept of "stochastic system entropy". In this note we extend his formalism to entropic transport. We introduce the notion of relative stochastic entropy, or…
We study a free transmission problem driven by degenerate fully nonlinear operators. Our first result concerns the existence of solutions to the associated Dirichlet problem. By framing the equation in the context of viscosity inequalities,…
Using the theory of Dirichlet forms we construct a large class of continuous semimartingales on an open domain $E \subset \mathbb{R}^d$, which are governed by rank-based, in addition to name-based, characteristics. Using the results of Baur…
In this paper, we introduce a definition of BV functions in a Gelfand triple which is an extension of the definition of BV functions in [2] by using Dirichlet form theory. By this definition, we can consider the stochastic reflection…
A review of solutions of solid-state diffusion problems in infinite and semi-infinite bodies is presented. Based on the identified solutions for the semi-infinite body a two-step diffusion problem is discussed in detail with the first step…
We show that the centered discrete Hilbert transform on integers applied to a function can be written as the conditional expectation of a transform of stochastic integrals, where the stochastic processes considered have jump components. The…
We investigate aspects of semimartingale decompositions, approximation and the martingale representation for multidimensional correlated Markov processes. A new interpretation of the dependence among processes is given using the martingale…
We consider a diffusion process with coefficients that are periodic outside of an "interface region" of finite thickness. The question investigated in this article is the limiting long time/large scale behavior of such a process under…
We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality with a nonlinear multivalued Neumann-Dirichlet boundary condition:% {equation*} \{{array}{r} \dfrac{\partial u(t,x)}{\partial…
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with L\'{e}vy…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
We exhibit a singularly perturbed parabolic problems for which the asymptotic behavior can be described by an one-dimensional ordinary differential equation. We estimate the continuity of attractors in the Hausdorff metric by rate of…
A nonlinear Poisson--Boltzmann equation with transmission boundary conditions at the interface between two materials is investigated. The model describes the electrostatic potential generated by a vector of ion concentrations in a periodic…
In this article, we develop a new approach to functional quantization, which consists in discretizing only a finite subset of the Karhunen-Lo\`eve coordinates of a continuous Gaussian semimartingale $X$. Using filtration enlargement…
Many cellular and subcellular biological processes can be described in terms of diffusing and chemically reacting species (e.g. enzymes). Such reaction-diffusion processes can be mathematically modelled using either deterministic…
We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…
In this paper we relate the generator property of an operator $A$ with (abstract) generalized Wentzell boundary conditions on a Banach space $X$ and its associated (abstract) Dirichlet-to-Neumann operator $N$ acting on a "boundary" space…
In this work, we introduce a new difference equation which is discrete analogue of Diffusion differential equation and analyze some essential spectral properties, Diffusion difference operator is self-adjoint, eigenvalues of this problem…
In this paper following the same methods in [M. Kadakal, O. Sh. Mukhtarov, Sturm-Liouville problems with discontinuities at two points, Comput. Math. Appl., 54 (2007) 1367-1379] we investigate discontinuous two-point boundary value problems…
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square…