Related papers: A probabilistic representation of the derivative o…
We introduce a probabilistic representation of the derivative of the semigroup associated to a multidimensional killed diffusion process defined on the half-space. The semigroup derivative is expressed as a functional of a process that is…
In this paper, we establish a probabilistic representation for two integration by parts formulas, one being of Bismut-Elworthy-Li's type, for the marginal law of a one-dimensional diffusion process killed at a given level. These formulas…
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…
Using techniques of the theory of semigroups of linear operators we study the question of approximating solutions to equations governing diffusion in thin layers separated by a semi-permeable membrane. We show that as thickness of the…
In this article we are interested in the differentiability property of the Markovian semi-group corresponding to the Bessel processes of nonnegative dimension. More precisely, for all $\delta \geq 0$ and $T>0$, we compute the derivative of…
The long time behavior of an absorbed Markov process is well described by the limiting distribution of the process conditioned to not be killed when it is observed. Our aim is to give an approximation's method of this limit, when the…
Let $M$ be a complete connected Riemannian manifold with boundary $\pp M$, $Q$ a bounded continuous function on $\pp M$, and $L= \DD+Z$ for a $C^1$-vector field $Z$ on $M$. By using the reflecting diffusion process generated by $L$ and its…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As applications, explicit gradient estimates and Harnack…
We introduce in this paper a strategy to prove gradient estimates for some infinite-dimensional diffusions on $L_2$-Wasserstein spaces. For a specific example of a diffusion on the $L_2$-Wasserstein space of the torus, we get a…
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…
In this paper, we use a probabilistic approach to show that there exists a unique, bounded continuous solution to the Dirichlet boundary value problem for a general class of second order non-symmetric elliptic operators $L$ with singular…
By establishing a local version of Bismut formula for Dirichlet semigroups on a regular domain, gradient estimates are derived for killed SDEs with singular drifts. As an application, the total variation distance between two solutions of…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
The purpose of this paper consists in proposing a generalized solution for a porous media type equation on a half-line with Neumann boundary condition and prove a probabilistic representation of this solution in terms of an associated…
We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…
We investigate anomalous diffusion processes governed by the fractional Langevin equation and confined to a finite or semi-infinite interval by reflecting potential barriers. As the random and damping forces in the fractional Langevin…
Let $L_t:=\Delta_t+Z_t$ for a $C^{1,1}$-vector field $Z$ on a differential manifold $M$ with boundary $\partial M$, where $\Delta_t$ is the Laplacian induced by a time dependent metric $g_t$ differentiable in $t\in [0,T_c)$. We first…
We consider degenerate diffusion equations of the form $\partial_tp_t = \Delta f(p_t)$ on a bounded domain and subject to no-flux boundary conditions, for a class of nonlinearities $f$ that includes the porous medium equation. We derive for…
Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales.…