Related papers: Density estimates and short-time asymptotics for a…
We study the boundary trace processes of reflected diffusions on uniform domains. We obtain stable-like heat kernel estimates for such a boundary trace process when the diffusion on the underlying ambient space satisfies sub-Gaussian heat…
This paper aims at proving the local boundedness and continuity of solutions of the heat equation in the context of Dirichlet spaces under some rather weak additional assumptions. We consider symmetric local regular Dirichlet forms which…
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
In the present work we study classifiers' decision boundaries via Brownian motion processes in ambient data space and associated probabilistic techniques. Intuitively, our ideas correspond to placing a heat source at the decision boundary…
We studied the self-diffusion of colloidal ellipsoids in a monolayer near a flat wall by video microscopy. The image processing algorithm can track the positions and orientations of ellipsoids with sub-pixel resolution. The translational…
We analyze the asymptotic behaviour of the heat kernel defined by a stochastically perturbed geodesic flow on the cotangent bundle of a Riemannian manifold for small time and small diffusion parameter. This extends WKB-type methods to a…
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of Bayer,Friz&Laurence [BFL14] for the…
Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of…
We study the long-time dynamics of the nonlinear processes modeled by diffusion-transport partial differential equations in non-divergence form with drifts. The solutions are subject to some inhomogeneous Dirichlet boundary condition.…
We study a class of degenerate diffusion generators that arise in sequential testing and quickest detection problems with partial information. The observation process is driven by $k$ independent Brownian motions, while the hidden state…
We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noises. We consider the intermediate regime, where observations occur at…
We study the small time asymptotics of the gradient and Hessian of the logarithm of the heat kernel at the cut locus, giving, in principle, complete expansions for both quantities. We relate the leading terms of the expansions to the…
Brownian particles in random potentials show an extended regime of subdiffusive dynamics at intermediate times. The asymptotic diffusive behavior is often established at very long times and thus cannot be accessed in experiments or…
In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to…
A kernel method is proposed to estimate the condensed density of the generalized eigenvalues of pencils of Hankel matrices whose elements have a joint noncentral Gaussian distribution with nonidentical covariance. These pencils arise when…
We give lower bounds for the density $p_T(x,y)$ of the law of $X_t$, the solution of $dX_t=\sigma (X_t) dB_t+b(X_t) dt,X_0=x,$ under the following local ellipticity hypothesis: there exists a deterministic differentiable curve $x_t, 0\leq…
Starting from a master equation in a quantum Hamiltonian form and a coupling to a heat bath we derive an evolution equation for a collective hopping process under the influence of a stochastic energy landscape. There results different…
In this paper we consider a time-continuous random walk in $\mathbb{Z}^d$ in a dynamical random environment with symmetric jump rates to nearest neighbours. We assume that these random conductances are stationary and ergodic and, moreover,…
A variety of researchers have successfully obtained the parameters of low dimensional diffusion models using the data that comes out of atomistic simulations. This naturally raises a variety of questions about efficient estimation,…