Related papers: Darboux Transformation of Diffusion Processes
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
We study discretization of Darboux integrable systems. The discretization is done by using $x$- or $y$-integrals of the considered systems. New examples of semi-discrete Darboux integrable systems are obtained.
For operators of many different kinds it has been proved that (generalized) Darboux transformations can be built using so called Wronskian formulae. Such Darboux transformations are not invertible in the sense that the corresponding…
Darboux transformation is constructed for superfields of the super sine-Gordon equation and the superfields of the associated linear problem. The Darboux transformation is shown to be related to the super B\"{a}cklund transformation and is…
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…
The Darboux transformation operator technique in differential and integral forms is applied to the generalized Schrodinger equation with a position-dependent effective mass and with linearly energy-dependent potentials. Intertwining…
A new form of a binary Darboux transformation is used to generate analytical solutions of a nonlinear Liouville-von Neumann equation. General theory is illustrated by explicit examples.
A one-fold Darboux transformation between solutions of the semi-discrete massive Thirring model is derived using the Lax pair and dressing methods. This transformation is used to find the exact expressions for soliton solutions on zero and…
A selective chronological survey of Darboux transformations as related to supersymmetric quantum mechanics, intertwining operators and inverse scattering techniques is presented. Short comments are appended to each quotation and basic…
A matricial Darboux operator intertwining two one-dimensional stationary Dirac Hamiltonians is constructed. This operator is such that the potential of the second Dirac Hamiltonian as well as the corresponding eigenfunctions are determined…
The Laplace transforms of the transition probability density and distribution functions for the Ornstein-Uhlenbeck process contain the product of two parabolic cylinder functions, namely D_{v}(x)D_{v}(y) and D_{v}(x)D_{v-1}(y),…
The Darboux transformation on matrix solutions to the generalized coupled dispersionless integrable system based on some non-abelian Lie group, is studied and the solutions are shown to be expressed in terms of quasideterminants. As an…
We develop the Darboux procedure for the case of the two-level system. In particular, it is demonstrated that one can construct the Darboux intertwining operator that does not violate the specific structure of the equations of the two-level…
In this paper we utilize the covariance of Ricatti equation with respect to linear fractional transformations to define classes of conformally equivalent second order differential equations. This motivates then the introduction of…
We analyze Darboux transformations in very general settings for multidimensional linear partial differential operators. We consider all known types of Darboux transformations, and present a new type. We obtain a full classification of all…
This paper is concerned with online filtering of discretely observed nonlinear diffusion processes. Our approach is based on the fully adapted auxiliary particle filter, which involves Doob's $h$-transforms that are typically intractable.…
Singular Darboux transformations, in contrast to the conventional ones, have a singular matrix as a coefficient before the derivative. We incorporated such transformations into a chain of conventional transformations and presented…
We give a full description of Darboux transformations of any order for arbitrary (nondegenerate) differential operators on the superline. We show that every Darboux transformation of such operators factorizes into elementary Darboux…
Matrix Dirichlet processes, in reference to their reversible measure, appear in a natural way in many different models in probability. Applying the language of diffusion operators and the method of boundary equations, we describe Dirichlet…
By means of certain limit technique, two kinds of generalized Darboux transformations are constructed for the derivative nonlinear Sch\"odinger equation (DNLS). These transformations are shown to lead to two solution formulas for DNLS in…