Related papers: A class of multidimensional nonlinear diffusions w…

By establishing a characterization for Sobolev differentiability of random fields, we prove the weak differentiability of solutions to stochastic differential equations with local Sobolev and super-linear growth coefficients with respect to…

This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…

Variable order space-fractional diffusion equation derived as an important model to describe complex anomalous diffusion phenomenon. In this article, well-posedness theory has been constructed for equations with the "Dirichlet" or the…

Employing time-dependent projection formalism, a Fokker-Planck equation with non-Markovian transport coefficients is derived for large amplitude collective motion. Properties of transport coefficients for diffusion processes in a potential…

We investigate properties of Markov quasi-diffusion processes corresponding to elliptic operators $L=a^{ij}D_{ij}+b^{i}D_{i}$, acting on functions on $\mathbb{R}^{d}$, with measurable coefficients, bounded and uniformly elliptic $a$ and…

It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this we…

Sublinear expectations for uncertain processes have received a lot of attention recently, particularly methods to extend a downward-continuous sublinear expectation on the bounded finitary functions to one on the non-finitary functions. In…

We consider in this paper some class of perturbation for the semilinear wave equation with subcritical (in the conformal transform sense) power nonlinearity. We first derive a Lyapunov functional in similarity variables and then use it to…

We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular…

We consider in this work some class of strongly perturbed for the semilinear heat equation with Sobolev sub-critical power nonlinearity. We first derive a Lyapunov functional in similarity variables and then use it to derive the blow-up…

We obtain gradient estimates on solutions to parabolic Kolmogorov equation with singular drift in a large class. Such estimates allow to construct a Feller evolution family, which is used to construct unique weak solutions to the…

With a scalar potential and a bivector potential, the vector field associated with the drift of a diffusion is decomposed into a generalized gradient field, a field perpendicular to the gradient, and a divergence-free field. We give such…

We study the multiclass classification problem where the features come from the mixture of time-homogeneous diffusions. Specifically, the classes are discriminated by their drift functions while the diffusion coefficient is common to all…

In this article we establish regularity properties for solutions of infinite dimensional Kolmogorov equations. We prove that if the nonlinear drift coefficients, the nonlinear diffusion coefficients, and the initial conditions of the…

We derive the spectral dependence of the non-linear susceptibility of any order, generalizing the common form of Sellmeier equations. This dependence is fully defined by the knowledge of the linear dispersion of the medium. This finding…

We establish circumstances under which the dispersion of passive contaminants in a forced, deterministic or random, flow can be consistently interpreted as a Markovian diffusion process. In case of conservative forcing the repulsive case…

The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…

We refine the asymptotic behavior of solutions to the semilinear heat equation with Sobolev subcritical power nonlinearity which blow up in some finite time at a blow-up point where the (supposed to be generic) profile holds. In order to…

We study supervised multiclass classification for diffusion processes, where each class is characterized by a distinct drift function and trajectories are observed at discrete times. We first derive a multidimensional Bayes rule and then…

Dilation is a puzzling phenomenon within Imprecise Probability theory: when it obtains, our uncertainty evaluation on event $A$ is vaguer after conditioning $A$ on $B$, whatever is event $B$ in a given partition $\mathcal{B}$. In this paper…