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This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and…
Parameter estimation, which represents a classical inverse problem, is often ill-posed as different parameter combinations can yield identical outputs. This non-uniqueness poses a critical barrier to accurate and unique identification. This…
In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory…
We obtain two-sided bounds for the density of stochastic processes satisfying a weak H\"ormander condition. In particular we consider the cases when the support of the density is not the whole space and when the density has various…
We develop a framework for non-asymptotic analysis of deterministic samplers used for diffusion generative modeling. Several recent works have analyzed stochastic samplers using tools like Girsanov's theorem and a chain rule variant of the…
We are concerned in this paper with the degenerate fractional diffusion advection equations posed in bounded domains. Due to a suitable formulation, we show the existence of weak entropy solutions for measurable and bounded initial and…
This paper is the third part of our study started with Cattiaux, Le\'{o}n and Prieur [Stochastic Process. Appl. 124 (2014) 1236-1260; ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359-384]. For some ergodic Hamiltonian systems, we obtained…
We present a novel approach of discretizing variable coefficient diffusion operators in the context of meshfree generalized finite difference methods. Our ansatz uses properties of derived operators and combines the discrete Laplace…
We consider a class of Cahn-Hilliard equation with kinetic rate dependent dynamic boundary conditions that describe possible short-range interactions between the binary mixture and the solid boundary. In the presence of surface diffusion on…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
We study the long-time behavior of a point mass moving in a one-dimensional viscous compressible fluid. Previously, we showed that the velocity of the point mass $V(t)$ satisfies a decay estimate $V(t)=O(t^{-3/2})$~[K. Koike, J.…
We derive the probability density of a diffusion process generated by nonergodic velocity fluctuations in presence of a weak potential, using the Liouville equation approach. The velocity of the diffusing particle undergoes dichotomic…
Diffusion-based motion planners are becoming popular due to their well-established performance improvements, stemming from sample diversity and the ease of incorporating new constraints directly during inference. However, a primary…
This work aims at making a comprehensive contribution in the general area of parametric inference for discretely observed diffusion processes. Established approaches for likelihood-based estimation invoke a time-discretisation scheme for…
The problem of estimating small transition probabilities for overdamped Langevin dynamics is considered. A simplification of Girsanov's formula is obtained in which the relationship between the infinitesimal generator of the underlying…
The excitation of a slow extraordinary wave in a overdense plasma from an ordinary wave impinging on the critical layer in the plane spanned by the density gradient and magnetic field is solved analytically by formulating the problem in…
This paper deals with a mathematical model for oil filtration in a porous medium and its self-similar and traveling wave regimes. The model consists of the equation for conservation mass and dependencies for porosity, permeability, and oil…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Edgeworth type expansions of third order for transition densities are proved. This is done for time horizons that converge to 0. For this purpose we…
We show that degenerate nonlinear diffusion equations can be asymptotically obtained as a limit from a class of nonlocal partial differential equations. The nonlocal equations are obtained as gradient flows of interaction-like energies…