Related papers: Darboux Transformation of Diffusion Processes

We consider the task of filtering a dynamic parameter evolving as a diffusion process, given data collected at discrete times from a likelihood which is conjugate to the marginal law of the diffusion, when a generic dual process on a…

We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the…

The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…

In this paper we construct Darboux transformations for the supersymmetric Two-boson equation. Two Darboux transformations and associated B\"acklund transformations are presented. For one of them, we also obtain the corresponding the…

The technique of Darboux transformation is applied to nonlocal partner of two-dimensional periodic A_{n-1} Toda lattice. This system is shown to admit a representation as the compatibility conditions of direct and dual overdetermined linear…

The aim of this paper is to study differential and spectral properties of the infinitesimal operator of two dimensional Markov processes with diffusion and discrete components. The infinitesimal operator is now a second-order differential…

The strictly isospectral double Darboux method is applied to the quantum Taub model in order to generate a one-parameter family of strictly isospectral potentials for this case. The family we build is based on a scattering Wheeler-DeWitt…

We solve the following problem. Given a continuous complex-valued potential q_1 defined on a segment [-a,a] and let q_2 be the potential of a Darboux transformed Schr\"odinger operator. Suppose a transmutation operator T_1 for the potential…

Here, Darboux's classical results about transformations with differential substitutions for hyperbolic equations are extended to the case of parabolic equations of the form $L u = \big(D^2_{x} + a(x,y) D_x + b(x,y) D_y + c(x,y)\big)u=0$. We…

We consider stochastic UL and LU block factorizations of the one-step transition probability matrix for a discrete-time quasi-birth-and-death process, namely a stochastic block tridiagonal matrix. The simpler case of random walks with only…

Darboux transformations in one independent variable have found numerous applications in various field of mathematics and physics. In this paper we show that the extension of these transformations to two dimensions can be used to decouple…

The Darboux process, also known by many other names, played a very important role in some extremely enjoyable joint work that Hans and I did 25 years ago. I revisit a version of this problem in a case when scalars are replaced by matrices,…

In this letter, for the discrete parity-time-symmetric nonlocal nonlinear Schr\"{o}dinger equation, we construct the Darboux transformation, which provides an algebraic iterative algorithm to obtain a series of analytic solutions from a…

Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a…

We express Darboux transformations of discrete polarised curves as parallel sections of discrete connections in the quaternionic formalism. This immediately leads to the linearisation of the monodromy of the transformation. We also consider…

Using bidifferential calculus, we derive a vectorial binary Darboux transformation for an integrable matrix version of the first negative flow of the Kaup-Newell hierarchy. A reduction from the latter system to an integrable matrix version…

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…

We present a new approach to the construction of the Darboux matrix. This is a generalization of the recently formulated method based on the assumption that the square of the Darboux matrix vanishes for some values of the spectral…

In the KdV context we put forward a continuous version of the binary Darboux transformation (aka the double commutation method). Our approach is based on the Riemann-Hilbert problem and yields a new explicit formula for perturbation of the…

In the second half of the 19th century Darboux obtained determinant formulae that provide the general solution for a linear hyperbolic second order PDE with finite Laplace series. These formulae played an important role in his study of the…