Related papers: A class of multidimensional nonlinear diffusions w…
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo…
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor, and…
In this article we address the problem of the nonlinear interaction of subdiffusive particles. We introduce the random walk model in which statistical characteristics of a random walker such as escape rate and jump distribution depend on…
Using a new method and additional (conditional and partial) equivalence transformations, we performed group classification in a class of variable coefficient $(1+1)$-dimensional nonlinear diffusion-convection equations of the general form…
There are some positively divisible non-Markovian processes whose transition matrices satisfy the Chapman-Kolmogorov equation. These processes should also satisfy the Kolmogorov consistency conditions, an essential requirement for a process…
We consider the nonlinear Schr{\"o}dinger equation with a short-range external potential, in a semi-classical scaling. We show that for fixed Planck constant, a com-plete scattering theory is available, showing that both the potential and…
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic representation in terms of a family of sublinear (conditional)…
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are…
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{n\Delta},n=0,1,...,N. The sampling frequency \Delta^{-1} is constant, and asymptotics are taken as the number N of…
Conditional independence and Markov properties are powerful tools allowing expression of multidimensional probability distributions by means of low-dimensional ones. As multidimensional possibilistic models have been studied for several…
This paper is devoted to the study of a stochastic process obtained by random switching between a finite collection of vector fields. Such processes have recently been the focus of much attention in the case where the switching times are…
We show existence of an infinitesimally invariant measure $m$ for a large class of divergence and non-divergence form elliptic second order partial differential operators with locally Sobolev regular diffusion coefficient and drift of some…
In this manuscript we analyse the long-term probability density function of non-stationary dynamical processes which are enclosed inward the Feller class of processes with time varying exponents for multiplicative noise. The update in the…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
We give necessary and sufficient conditions for a regular semi-Dirichlet form to enjoy a new Feller type property, which we call \emph{weak Feller property}. Our characterization involves potential theoretic as well as probabilistic aspects…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
Nonlinear expectation, including sublinear expectation as its special case, is a new and original framework of probability theory and has potential applications in some scientific fields, especially in finance risk measure and management.…
We consider equations of nonlinear transport on the circle with regular self interactions appearing in aggregation models and deterministic mean field dynamics. We introduce a random perturbation of such systems through a stochastic…
This paper reviews a class of univariate piecewise polynomial functions known as discrete splines, which share properties analogous to the better-known class of spline functions, but where continuity in derivatives is replaced by (a…
We develop a variationally consistent mesoscopic extension of Cosserat elasticity motivated by the breakdown of compatibility in classical formulations. By admitting compatibility-breaking perturbations, the classical theory ceases to…