Related papers: Affine pure-jump processes on positive Hilbert-Sch…
In this paper we provide sufficient conditions for stochastic invariance of closed convex cones for stochastic partial differential equations (SPDEs) of jump-diffusion type, and clarify when these conditions are necessary. Our results apply…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
We have created a functional framework for a class of non-metric gradient systems. The state space is a space of nonnegative measures, and the class of systems includes the Forward Kolmogorov equations for the laws of Markov jump processes…
In a previous paper, we proposed an approach for the dynamics of 3D bodies and shells based on the use of affine tensors. This new theoretical frame is very large and the applications are not limited to the mechanics of continua. In the…
We suggest a simple reduction of pricing European options in affine jump-diffusion models to pricing options with modified payoffs in diffusion models. The procedure is based on the conjugation of the infinitesimal generator of the model…
We study existence and uniqueness of invariant probability measures for continuous-time Markov processes on general state spaces. Existence is obtained from tightness of time averages under a weak regularity assumption inspired by…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
Generative modeling via stochastic processes has led to remarkable empirical results as well as to recent advances in their theoretical understanding. In principle, both space and time of the processes can be discrete or continuous. In this…
The Perron--Frobenius theorem in infinite-dimensional Hilbert spaces can be breifly stated as follows: Given a Hilbert cone in a real Hilbert space, a bounded positive self-adjoint operator $A$ is ergodic with respect to this cone if and…
The characteristic functions of multivariate Feller processes with generator of affine type, and with smooth symbol functions have an explicit representation in terms of power series with rational number coefficients and with monmoms…
We introduce a new family of integrable stochastic processes, called \textit{dynamical stochastic higher spin vertex models}, arising from fused representations of Felder's elliptic quantum group $E_{\tau, \eta} (\mathfrak{sl}_2)$. These…
In a Hilbert framework, we introduce continuous and discrete dynamical systems which aim at solving inclusions governed by structured monotone operators $A=\partial\Phi+B$, where $\partial\Phi$ is the subdifferential of a convex lower…
We study finite particle systems on the one-dimensional integer lattice, where each particle performs a continuous-time nearest-neighbour random walk, with jump rates intrinsic to each particle, subject to an exclusion interaction which…
An affine iterated function system is a finite collection of affine invertible contractions and the invariant set associated to the mappings is called self-affine. In 1988, Falconer proved that, for given matrices, the Hausdorff dimension…
In this paper, we obtain new drift-type conditions for nonexplosion and explosion for nonhomogeneous Markov pure jump processes in Borel state spaces. The conditions are sharp; e.g., the one for nonexplosion is necessary if the state space…
By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path dependent…
An important class of spatio-temporal models is constructed by leveraging the hierarchical structure of dynamical (or, state-space) models. This paper proposes a new statistical dynamical model for spatio-temporal processes motivated by…
In this note, we define a bounded variant on the Hilbert projective metric on an infinite dimensional space $E$ and study the contraction properties of the projective maps associated with positive linear operators on $E$. More precisely, we…
Markov processes play an important role in physics and the theory of open systems in particular. In this paper we study the asymptotic evolution of trace-nonincreasing homogenous quantum Markov processes (both types, discrete quantum Markov…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…