Related papers: On A Class Of Rank-Based Continuous Semimartingale…
We exploit Krattenthaler's bijection between the set $S_n(3\textrm{-}1\textrm{-}2)$ of permutations in $S_n$ avoiding the classical pattern $3\textrm{-}1\textrm{-}2$ and Dyck $n$-paths to study the distribution of every consecutive pattern…
We present a study of dynamical scaling and front motion in a one dimensional system that describes Rayleigh-Benard convection in a rotating cell. We use a model of three competing modes proposed by Busse and Heikes to which spatial…
Diffusion models trained on different, non-overlapping subsets of a dataset often produce strikingly similar outputs when given the same noise seed. We trace this consistency to a simple linear effect: the shared Gaussian statistics across…
This study introduces a training-free conditional diffusion model for learning unknown stochastic differential equations (SDEs) using data. The proposed approach addresses key challenges in computational efficiency and accuracy for modeling…
We investigate the influence of particle diffusion in the two-dimension contact process (CP) with a competitive dynamics in bipartite sublattices, proposed in [Phys. Rev. E 84, 011125 (2011)]. The particle creation depends on its first and…
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensions of the volatility stabilized models introduced by…
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula…
The addition of tunnel barriers to open chaotic systems, as well as representing more general physical systems, leads to much richer semiclassical dynamics. In particular, we present here a complete semiclassical treatment for these…
This work introduces the extended Skorokhod problem (ESP) and associated extended Skorokhod map (ESM) that enable a pathwise construction of reflected diffusions that are not necessarily semimartingales. Roughly speaking, given the closure…
We introduce a new class of large structured random matrices characterized by four fundamental properties which we discuss. We prove that this class is stable under matrix-valued and pointwise non-linear operations. We then formulate an…
We first study crossing statistics in random connection models (RCM) built on marked Poisson point processes on $\mathbb R^d$. Under general assumptions, we show exponential tail bounds for the number of crossings of a box contained in the…
Designing biological sequences is an important challenge that requires satisfying complex constraints and thus is a natural problem to address with deep generative modeling. Diffusion generative models have achieved considerable success in…
This paper is concerned with the existence of positive solutions for a fractional population model with the homogeneous Dirichlet condition on the exterior of a bounded domain. The approach is based on the sub-super solutions method. Our…
We study finite and countably infinite systems of stochastic differential equations, in which the drift and diffusion coefficients of each component (particle) are determined by its rank in the vector of all components of the solution. We…
This dissertation discusses the intermitency phenomenon in three models of turbulence, employing analytical and numerical techniques in the analysis of stochastic processes and the probability distributions which they induce. The initial…
We describe a procedure to introduce general dependence structures on a set of Dirichlet processes. Dependence can be in one direction to define a time series or in two directions to define spatial dependencies. More directions can also be…
First, classes of Markov processes that scale exactly with a Hurst exponent H are derived in closed form. A special case of one class is the Tsallis density, advertised elsewhere as nonlinear diffusion or diffusion with nonlinear feedback.…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
Age-structured models with nonlocal diffusion arise naturally in describing the population dynamics of biological species and the transmission dynamics of infectious diseases in which individuals disperse nonlocally and interact each other…