Related papers: Darboux Transformation of Diffusion Processes
New types of irreducible second order Darboux transformations for the one dimensional Schroedinger equation are described. The main feature of such transformations is that the transformation functions have the eigenvalues grater then the…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
We show that the relation between the Schr\"odinger equation and diffusion processes has an algebraic nature and can be revealed via the structure of "duplex numbers." This helps one to clarify that quantum mechanics cannot be reduced to…
The problem of a differential operator left- and right division is solved in terms of generalized Bell polinomials for nonabelian differential unitary ring. The definition of the polinomials is made by means of recurrent relations. The…
In this article, we consider McKean stochastic differential equations, as well as their corresponding McKean-Vlasov partial differential equations, which admit a unique stationary state, and we study the linearized It\^o diffusion process…
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…
The bulk nuclear matter produced in heavy ion collisions carries a multitude of conserved quantum numbers: electric charge, baryon number, and strangeness. Therefore, the diffusion processes associated to these conserved charges cannot…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck process and then represent the fractional Ornstein-Uhlenbeck…
A rapidly increasing number of systems is identified in which the stochastic motion of tracer particles follows the Brownian law $\langle\mathbf{r}^2(t) \rangle\simeq Dt$ yet the distribution of particle displacements is strongly…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
A new strategy, using Darboux transformations, of finding self-switching solutions of $i\dot{\rho} = [H, f({\rho})]$ is introduced. Unlike the previous ones, working for any f but for Hamiltonians whose spectrum contains at least three…
An equation describing subdiffusion with possible immobilization of particles is derived by means of the continuous time random walk model. The equation contains a fractional time derivative of Riemann--Liouville type which is a…
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Edgeworth type expansions of third order for transition densities are proved. This is done for time horizons that converge to 0. For this purpose we…
In this paper we study the randomized non-autonomous complete linear differential equation. The diffusion coefficient and the source term in the differential equation are assumed to be stochastic processes and the initial condition is…
We discuss a family of time-inhomogeneous two-dimensional diffusions, defined over a finite time interval $[0,T]$, having transition density functions that are expressible in terms of the integral kernels for negative exponentials of the…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
We reconsider the problem of diffusion of particles at constant speed and present a generalization of the Telegrapher process to higher dimensional stochastic media ($d>1$), where the particle can move along $2^d$ directions. We derive the…
We construct the Darboux transformation with Dihedral reduction group for the 2-dimensional generalisation of the periodic Volterra lattice. The resulting Backlund transformation can be viewed as a nonevolutionary integrable differential…
The iterations are studied of the Darboux transformation for the generalized Schroedinger operator. The applications to the Dym and Camassa-Holm equations are considered.