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In this article a class of additive invariant positive selfadjoint pseudodifferential unbounded operators on $L^{2}(\mathbb{A}_{f})$, where $\mathbb{A}_{f}$ is the ring of finite ad\'eles of the rational numbers, is considered to state a…
Laplace transforms for integrals of stochastic processes have been known in analytically closed form for just a handful of Markov processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of…
A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view…
We suggest a modification of the estimate for weighted Sobolev norms of solutions of parabolic equations such that the matrix of the higher order coefficients is included into the weight for the gradient. More precisely, we found the upper…
The work treats systems combining slow and fast motions depending on each other where fast motions are perturbations of families of either dynamical systems or Markov processes with freezed slow variable. In the first case we consider…
A variable stepsize exponential multistep integrator, with contour integral approximation of the operator-valued exponential functions, is proposed for solving semilinear parabolic equations with nonsmooth initial data. By this approach,…
We present a new, short proof of the increased regularity obtained by solutions to uniformly parabolic partial differential equations. Though this setting is fairly introductory, our new method of proof, which uses a priori estimates, can…
In this paper we provide a convergence analysis of some variational methods alternative to the classical Tikhonov regularization, namely Ivanov regularization (also called method of quasi solutions) with some versions of the discrepancy…
We analyze a modified version of Nesterov accelerated gradient algorithm, which applies to affine fixed point problems with non self-adjoint matrices, such as the ones appearing in the theory of Markov decision processes with discounted or…
In this article, we consider a jump diffusion process (X_t)observed at discrete times t=0,Delta,...,nDelta. The sampling interval Delta tends to 0 and nDelta tends to infinity. We assume that (X_t) is ergodic, strictly stationary and…
In this paper, high-order moment, even exponential moment, estimates are established for the H\"older norm of solutions to stochastic differential equations driven by fractional Brownian motion whose drifts are measurable and have linear…
In this paper, we consider Nesterov's Accelerated Gradient method for solving Nonlinear Inverse and Ill-Posed Problems. Known to be a fast gradient-based iterative method for solving well-posed convex optimization problems, this method also…
In this paper, the weak convergence of additive functionals of processes with locally independent increments and with Markov switching in the scheme of Poisson approximation is proved. For the relative compactness, a method proposed by R.…
This paper deals with nonparametric estimators of the drift function $b$ computed from independent continuous observations, on a compact time interval, of the solution of a stochastic differential equation driven by the fractional Brownian…
In this paper, employing the weak convergence method, based on a variational representation for expected values of positive functionals of a Brownian motion, we investigate moderate deviation %(CLT for abbreviation) for a class of…
We obtain a parametric normal form for any non-degenerate perturbation of the generalized saddle-node case of Bogdanov--Takens singularity. Explicit formulas are derived and greatly simplified for an efficient implementation in any computer…
For each $n\geq 1$, let $ {X_{in}, \quad i \geq 1} $ be independent copies of a nonnegative continuous stochastic process $X_{n}=(X_n(t))_{t\in T}$ indexed by a compact metric space $T$. We are interested in the process of partial maxima…
We study a class of parabolic equations in non-divergence form with measurable coefficients that exhibit singular and/or degenerate behavior governed by weights in the $A_{1+\frac{1}{n}}$-Muckenhoupt class. Under a smallness assumption on a…
We introduce the "continuized" Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuously mix following a linear ordinary differential equation…
We analyze the exponential stability of distributed parameter systems. The system we consider is described by a coupled parabolic partial differential equation with spatially varying coefficients. We approximate the coefficients by…