Related papers: Shadows and Barriers
The analytic treatment of the non-inertial rotational diffusion equation, i.e., of the Smoluchowski's one (SE), in a symmetric genuinely double-well Maier-Saupe uniaxial potential of mean torque is considered. Such potential may find…
Radiative transfer (RT) problems in which the source function includes a scattering-like integral are typical two-points boundary problems. Their solution via differential equations implies to make hypotheses on the solution itself, namely…
We obtain explicit solutions for the density $\varphi_T$ of the first-time $T$ that a one-dimensional Brownian process $B$ reaches the twice, continuously differentiable moving boundary $f$ and such that $f''(t)\geq 0$ for all $t\in…
The classical Ray-Knight theorems for Brownian motion determine the law of its local time process either at the first hitting time of a given value a by the local time at the origin, or at the first hitting time of a given position b by…
In this note we consider the time of the collision $\tau$ for $n$ independent Brownian motions $X^1_t,...,X_t^n$ with drifts $a_1,...,a_n$, each starting from $x=(x_1,...,x_n)$, where $x_1<...<x_n$. We show the exact asymptotics of…
We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped transport process (W\_t). The latter gives a representation for the solutions to the heat equation for differential 1-forms with…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…
We derive exact solutions to the one-dimensional Schr\"odinger equation for compact support parabolic and hyperbolic secant potential barriers, along with combinations of these types of potential barriers. We give the expressions for…
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This…
We consider optimal approximation with respect to the mean square error of It\^o integrals and Skorohod integrals given an equidistant discretization of the Brownian motion. We obtain for suitable integrands optimal rates smaller than the…
We study the inverse boundary crossing problem for diffusions. Given a diffusion process $X_t$, and a survival distribution $p$ on $[0,\infty)$, we demonstrate that there exists a boundary $b(t)$ such that $p(t)=\mathbb{P}[\tau >t]$, where…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We consider optimal transport problems where the cost for transporting a given probability measure $\mu_0$ to another one $\mu_1$ consists of two parts: the first one measures the transportation from $\mu_0$ to an intermediate (pivot)…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
An inverse obstacle problem for the wave governed by the wave equation in a two layered medium is considered under the framework of the time domain enclosure method. The wave is generated by an initial data supported on a closed ball in the…
In the present paper we address stochastic optimal control problems for a step process $(X,\mathbb{F})$ under a progressive enlargement of the filtration. The global information is obtained adding to the reference filtration $\mathbb{F}$…
Consider the scattering of a time-harmonic plane wave by a rigid obstacle embedded in a homogeneous and isotropic elastic medium in two dimensions. In this paper, a novel boundary integral formulation is proposed and its highly accurate…
In a transformation method, the numerical solution of a given boundary value problem is obtained by solving one or more related initial value problems. Therefore, a transformation method, like a shooting method, is an initial value method.…
The supercooled Stefan problem and its variants describe the freezing of a supercooled liquid in physics, as well as the large system limits of systemic risk models in finance and of integrate-and-fire models in neuroscience. Adopting the…
This paper proposes a new boundary integral equation (BIE) methodology based on the perfectly matched layer (PML) truncation technique for solving the electromagnetic scattering problems in a multi-layered medium. Instead of using the…