Related papers: On the comparison between jump processes and subor…

We explicitly construct so-called captive jump processes. These are stochastic processes in continuous time, whose dynamics are confined by a time-inhomogeneous bounded domain. The drift and volatility of the captive processes depend on the…

In this note, we discuss the uniform ergodicity of a diffusion process given by an It\^o stochastic differential equation. We present an integral condition in terms of the drift and diffusion coefficients that ensures the uniform ergodicity…

While effective concentration inequalities for suprema of empirical processes exist under boundedness or strict tail assumptions, no comparable results have been available under considerably weaker assumptions. In this paper, we derive…

We consider the stochastic differential equation on $\mathbb{R}^d$ given by $$ \, \mathrm{d}X_t = b(t,X_t) \, \mathrm{d}t + \, \mathrm{d} B_t, $$ where $B$ is a Brownian motion and $b$ is considered to be a distribution of regularity $ >…

We prove sharp pointwise heat kernel estimates for symmetric Markov processes associated with symmetric Dirichlet forms that are local with respect to some coordinates and nonlocal with respect to the remaining coordinates. The main theorem…

The aim of this paper is to prove the existence and several selected properties of a global fundamental Heat kernel $\Gamma$ for the parabolic operators $\mathcal{H}=\sum_{j=1}^m X_j^2-\partial_t$, where $X_1,\ldots,X_m$ are smooth vector…

This work is an extended version of the paper arXiv:0803.2669v1[math-ph], in which the main results were announced. We consider certain classical diffusion process for a wave function on the phase space. It is shown that at the time of…

We consider metric graphs with Kirchhoff boundary conditions. We study the intrinsic metric, volume doubling and a Poincar\'e inequality. This enables us to prove a parabolic Harnack inequality. The proof involves various techniques from…

We describe the processes obtained by time reversal of a class of stationary jump-diffusion processes that model the dynamics of genetic variation in populations subject to repeated bottlenecks. Assuming that only one lineage survives each…

We give an affirmative answer to the resistance conjecture on characterization of parabolic Harnack inequalities in terms of volume doubling, upper capacity bounds and a Poincar\'e inequalities. The key step is to show that these three…

We re-consider the old problem of Brownian motion in homogeneous high-temperature thermal environment. The semiclassical theory implies that the diffusion coefficient does not depend on whether the thermal fluctuations are correlated in…

Determinantal point processes are point processes whose correlation functions are given by determinants of matrices. The entries of these matrices are given by one fixed function of two variables, which is called the kernel of the point…

The paper studies the rate of convergence of the weak Euler approximation for It\^{o} diffusion and jump processes with H\"{o}lder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion…

As a continuation to \cite{MRW} where the Poincar\'e and log-Sobolev inequalities were studied for the sticky-reflected Brownian motion on Riemannian manifolds with boundary, this paper establishes the super and weak Poincar\'e inequalities…

We study a symmetric diffusion process on $\mathbb{R}^d$, $d\geq 2$, in divergence form in a stationary and ergodic random environment. The coefficients are assumed to be degenerate and unbounded but satisfy a moment condition. We derive…

We consider possibly degenerate parabolic operators in the form $$ \sum_{k=1}^{m}X_{k}^{2}+X_{0}-\partial_{t}, $$ that are naturally associated to a suitable family of stochastic differential equations, and satisfying the H\"ormander…

A compound Poisson process whose randomized time is an independent Poisson process is called compound Poisson process with Poisson subordinator. We provide its probability distribution, which is expressed in terms of the Bell polynomials,…

We present an analytical closed form expression, which gives a good approximate propagator for diffusion on the sphere. Our formula is the spherical counterpart of the Gaussian propagator for diffusion on the plane. While the analytical…

We investigate densities of vaguely continuous convolution semigroups of probability measures on $\mathbb{R}^d$. First, we provide results that give upper estimates in a situation when the corresponding jump measure is allowed to be highly…

We consider self-similar approximations of nonlinear hyperbolic systems in one space dimension with Riemann initial data and general diffusion matrix. We assume that the matrix of the system is strictly hyperbolic and the diffusion matrix…