Related papers: Inhomogeneous affine Volterra processes
We investigate the existence, uniqueness, and $L^1$-contractivity of weak solutions to a porous medium equation with fractional diffusion on an evolving hypersurface. To settle the existence, we reformulate the equation as a local problem…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
This paper is devoted to the study of a kinetic Fokker-Planck equation with general heavy-tailed equilibrium without an explicit formula, such as $C_\beta \langle v \rangle^{-\beta}$, in particular non-symmetric and non-centred. This work…
We consider a process $X^\ve$ solution of a stochastic Volterra equation with an unknown parameter $\theta^\star$ in the drift function. The Volterra kernel is singular near zero, exhibiting a behavior comparable to $K\_0(u)=cu^{\alpha-1}…
In this article, we study the ergodicity of neutral retarded stochastic functional differential equations driven by $\alpha$-regular Volterra process. Based on the equivalence between neutral retarded stochastic functional differential…
In this paper, we generalize the weighted Fourier transform with respect to a function, originally proposed for the one-dimensional case in \cite{Dorrego}, to the $n$-dimensional Euclidean space $\mathbb{R}^{n}$. We develop a comprehensive…
The sufficient conditions for existence and uniqueness of continuous solutions of the Volterra operator equations of the first kind with piecewise continuous kernel are derived. The asymptotic approximation of the parametric family of…
We prove stochastic homogenization for integral functionals defined on Sobolev spaces, where the stationary, ergodic integrand satisfies a degenerate growth condition of the form \begin{equation*} c|\xi A(\omega,x)|^p\leq…
As a continuation of our previous work \cite{KV2} the aim of the recent paper is to investigate the solutions of special inhomogeneous linear functional equations by using spectral synthesis in translation invariant closed linear subspaces…
We consider a transient Brownian motion reflected obliquely in a two-dimensional wedge. A precise asymptotic expansion of Green's functions is found in all directions. To this end, we first determine a kernel functional equation connecting…
In this paper, we develop new affine-invariant algorithms for solving composite convex minimization problems with bounded domain. We present a general framework of Contracting-Point methods, which solve at each iteration an auxiliary…
We associate backward and forward Kolmogorov equations to a class of fully nonlinear Stochastic Volterra Equations (SVEs) with convolution kernels $K$ that are singular at the origin. Working on a carefully chosen Hilbert space…
By constructing successful couplings for degenerate diffusion processes, explicit derivative formula and Harnack type inequalities are presented for solutions to a class of degenerate Fokker-Planck equations on $\R^m\times\R^{d}$. The main…
We introduce a new class of fractional backward orthogonal functions designed for the spectral approximation of weakly singular adjoint Volterra integral equations. These basis functions generate an approximation space that naturally…
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For subcritical processes we prove the existence of a unique…
We study the correct solvability of an abstract functional differential equations in Hilbert space, which includes integro-differential equations describing evolution of thermal phenomena, heat transfer in materials with memory or sound…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
We study stochastic convolutions providing by fundamental solutions of a class of integrodifferential equations which interpolate the heat and the wave equations. We give sufficient condition for the existence of function--valued…
In this paper we are interested in the numerical approximation of the marginal distributions of the Hilbert space valued solution of a stochastic Volterra equation driven by an additive Gaussian noise. This equation can be written in the…
We consider the classical problem of determining the stationary distribution of the semimartingale reflected Brownian motion (SRBM) in a two-dimensional wedge. Under standard assumptions on the parameters of the model (opening of the wedge,…