Related papers: Inhomogeneous affine Volterra processes

Based on the notion of paracontrolled distributions, we provide existence and uniqueness results for rough Volterra equations of convolution type with potentially singular kernels and driven by the newly introduced class of convolutional…

We propose a new spectral Lagrangian based deterministic solver for the non-linear Boltzmann Transport Equation for Variable Hard Potential (VHP) collision kernels with conservative or non-conservative binary interactions. The method is…

We study the family of Fourier-Laplace transforms $$ F_{\alpha,\beta}(z)= \operatorname*{F.p.} \int_{0}^{\infty} t^{\beta}\exp(\mathrm{i} t^{\alpha}-\mathrm{i} z t)\:\mathrm{d} t, \quad \operatorname*{Im} z<0, $$ for $\alpha>1$ and…

Let $v:[0,T]\times \R^d \to \R$ be the solution of the parabolic backward equation $ \partial_t v + (1/2) \sum_{i,l} [\sigma \sigma^\perp]_{il} \partial_{x_i \partial_{x_l} v + \sum_{i} b_i \partial_{x_i}v + kv =0$ with terminal condition…

Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related financial derivatives. Volterra processes are in general…

In this paper, we present a fractional spectral collocation method for solving a class of weakly singular Volterra integro-differential equations (VDIEs) with proportional delays and cordial operators. Assuming the underlying solutions are…

We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…

Based on a general discrete model for a semiflexible polymer chain, we introduce a formal derivation of a kinetic equation for semiflexible polymers in the half-plane via a continuum limit. It turns out that the resulting equation is the…

The Laplace-Beltrami problem on closed surfaces embedded in three dimensions arises in many areas of physics, including molecular dynamics (surface diffusion), electromagnetics (harmonic vector fields), and fluid dynamics (vesicle…

Inspired by the recent proposed Legendre orthogonal polynomial representation of imaginary-time Green's functions, we develop an alternate representation for the Green's functions of quantum impurity models and combine it with the…

We introduce a numerical method for the solution of the time-dependent Schrodinger equation with a smooth potential, based on its reformulation as a Volterra integral equation. We present versions of the method both for periodic boundary…

Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t)$ is a diffusion process satisfying the stochastic differential equation $dX_t=\sigma(t,X)dB_t+b(t,X)dt$, where $\sigma:[0,1]\times C([0,1],\R^n)\to \R^n\otimes…

We introduce and analyse a sparse spectral method for the solution of Volterra integral equations using bivariate orthogonal polynomials on a triangle domain. The sparsity of the Volterra operator on a weighted Jacobi basis is used to…

We consider the spreading dynamics of the Fisher-KPP equation in a shifting environment, by analyzing the limit of the rate function of the solutions. For environments with a weak monotone condition, it was demonstrated in a previous paper…

The fractional Fokker-Planck equation, which contains a variable diffusion coefficient, is discussed and solved. It corresponds to the L\'evy flights in a nonhomogeneous medium. For the case with the linear drift, the solution is stationary…

We study semi-martingale obliquely reflected Brownian motion with drift in the first quadrant of the plane in the transient case. Our main result determines a general explicit integral expression for the moment generating function of…

We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an $H^\infty$-calculus and a scalar…

Large-time behaviour of solutions to stochastic evolution equations driven by two-sided regular Volterra processes is studied. The solution is understood in the mild sense and takes values in a separable Hilbert space. Sufficient conditions…

For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the partial autocorrelation function (PACF) in terms of the…

In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-convex tail integral, then the…