Related papers: A Meyer-It\^o Formula for Stable Processes via Fra…
By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…
Several finite difference methods are proposed for the infinitesimal generator of 1D asymmetric $\alpha$-stable L\'{e}vy motions, based on the fact that the operator becomes a multiplier in the spectral space. These methods take the general…
We consider the problem of constructing Lyapunov functions for linear differential equations with delays. For such systems it is known that exponential stability implies the existence of a positive Lyapunov function which is quadratic on…
This paper is devoted to the construction and study of an equilibrium Glauber-type dynamics of infinite continuous particle systems. This dynamics is a special case of a spatial birth and death process. On the space $\Gamma$ of all locally…
It is well known that certain fractional diffusion equations can be solved by the densities of stable L\'evy motions. In this paper we use the classical semigroup approach for L\'evy processes to define semi-fractional derivatives, which…
The entropy production rate is a central quantity in non-equilibrium statistical physics, scoring how far a stochastic process is from being time-reversible. In this paper, we compute the entropy production of diffusion processes at…
We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive dependence could be…
We survey methods and results of fractional differential equations in which an unknown function is under the operation of integration and/or differentiation of fractional order. As an illustrative example, we review results on fractional…
This paper is devoted to the study of the $M$-Wright function ($M_{\alpha}(t)$) which is the inverse Laplace transform of the single-parameter Mittag-Leffler (ML) function ($E_{\alpha}(-s)$). Because $E_{\alpha}(-s)$ can be viewed as the…
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…
We prove existence and uniqueness of a mild solution of a stochastic evolution equation driven by a standard $\alpha$-stable cylindrical L\'evy process defined on a Hilbert space for $\alpha \in (1,2)$. The coefficients are assumed to map…
Our simple but useful technique is using an integration by parts to split the stochastic convolution into two terms. We develop five applications for this technique. The first one is getting a uniform estimate of stochastic convolution of…
In this article we consider the Levy processes and the corresponding semigroup. We represent the generator of this semigroup in a convolution form. Using the obtained convolution form and the theory of integral equations we investigate the…
In this article we fully describe the domain of the infinitesimal generator of the optimal state semigroup which arises in the theory of the linear-quadratic problem for a specific class of boundary control systems. This represents an…
A key characteristic of the anomalous sub-solution equation is that the solution exhibits algebraic decay rate over long time intervals, which is often refered to the Mittag-Leffler type stability. For a class of power nonlinear…
We consider inverse problems for the first and half order time fractional equation. We establish the stability estimates of Lipschitz type in inverse source and inverse coefficient problems by means of the Carleman estimates.
We consider the inverse resonance problem in one-dimensional scattering theory. The scattering matrix consists of $2\times 2$ entries of meromorphic functions, which are quotients of certain Fourier transform. The resonances are expressed…
This paper is devoted to the analysis of the problem of stabilization of fractional (in time) partial differential equations. We consider the following equation $$ \partial^{\alpha,\eta}_{t} u(t)=\mathcal{A}u(t)-\frac{\eta}{\Gamma…
In this paper, we present an inverse problem of identifying the reaction coefficient for time fractional diffusion equations in two dimensional spaces by using boundary Neumann data. It is proved that the forward operator is continuous with…
We present and analyze a space-time Petrov-Galerkin finite element method for a time-fractional diffusion equation involving a Riemann-Liouville fractional derivative of order $\alpha\in(0,1)$ in time and zero initial data. We derive a…