Related papers: Darboux Transformation of Diffusion Processes
Darboux Transformation, well known in second order differential operator theory, is applied here to the difference equation satisfied by the discrete hypergeometric polynomials(Charlier, Meixner-Krawchuk, Hahn).
In this paper we implement the Darboux transformation, as well as an analogue of Crum's theorem, for a discrete version of Schr\"odinger equation. The technique is based on the use of first order operators intertwining two difference…
Darboux developed an ingenious algebraic mechanism to construct infinite chains of ''integrable'' second-order differential equations as well as their solutions. After a surprisingly long time, Darboux's results were rediscovered and…
A new approach for obtaining the transformations of solutions of nonlinear ordinary differential equations representable as the compatibility condition of the overdetermined linear systems is proposed. The corresponding transformations of…
Darboux transformations are non-group type symmetries of linear differential operators. One can define Darboux transformations algebraically by the intertwining relation $ML=L_1M$ or the intertwining relation $ML=L_1N$ in the cases when the…
We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equations of the Gaussian or confluent type. The construction…
We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analytically closed-form. Our approach is based on a dual…
The discrete Schr\"odinger equation on a half-line lattice with the Dirichlet boundary condition is considered when the potential is real valued, is summable, and has a finite first moment. The Darboux transformation formulas are derived…
Darboux transformation is developed to systematically find variable separation solutions for the Nizhnik-Novikov-Veselov equation. Starting from a seed solution with some arbitrary functions, the once Darboux transformation yields the…
The Optical Darboux Transformer is introduced as a photonic device which performs the Darboux transformation directly in the optical domain. This enables two major advances for signal processing based on the nonlinear Fourier transform: (i)…
In this paper we describe a general method to derive formulas relating the gap probability of some classical determinantal random point process (Airy, Pearcey and Hermite) with the gap probability of the processes related to the same…
Let $X$ be a regular linear diffusion whose state space is an open interval $E\subseteq\mathbb{R}$. We consider a diffusion $X^*$ which probability law is obtained as a Doob $h$-transform of the law of $X$, where $h$ is a positive harmonic…
A method is presented to obtain the change in the potential and in the relevant wavefunction of a linear system of ordinary differential equations containing a spectral parameter, when that linear system is perturbed and a finite number of…
N-order Darboux transformation operator is defined on the basis of a general notion of transformation operators. Factorisation properties of this operator are studied. The Darboux transformation operator technique is applied to construct…
We prove a general theorem establishing the bispectrality of noncommutative Darboux transformations. It has a wide range of applications that establish bispectrality of such transformations for differential, difference and q-difference…
We present an approach to higher dimensional Darboux transformations suitable for application to quantum integrable systems and based on the bispectral property of partial differential operators. Specifically, working with the…
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to well-known distributions from directional statistics, since…
In this work we are concerned with generating solutions of a class of Convection-Diffusion-Reaction equation from the solutions of another CDR equation through the Darboux transformations. The method is elucidated by cases with certain…
Elementary Darboux--Laplace transformations for semidiscrete and discrete second order hyperbolic operators are classified. It is proved that in the (semi)-discrete case there are two types of elementary Darboux--Laplace transformations as…
The Darboux transformation between ordinary differential equations is a 19th century technique that has seen wide use in quantum theory for producing exactly solvable potentials for the Schr\"odinger equation with specific spectral…