Related papers: Darboux Transformation of Diffusion Processes
In this paper, we study the quasi-stationary behavior of the one-dimensional diffusion process with a regular or exit boundary at 0 and an entrance boundary at $\infty$. By using the Doob's $h$-transform, we show that the conditional…
A Darboux transformation is constructed for the modified Veselov-Novikov equation.
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
We review Darboux-Crum transformation of Heun's differential equation. By rewriting an integral transformation of Heun's differential equation into a form of elliptic functions, we see that the integral representation is a generalization of…
Based on Fick's 2nd law the development of moving particle semi-implicit method for predicting diffusion process is proposed in this study
We give new and explicitly computable examples of Gibbs-non-Gibbs transitions of mean-field type, using the large deviation approach introduced in [4]. These examples include Brownian motion with small variance and related diffusion…
We propose a method for construction of Darboux transformations, which is a new development of the dressing method for Lax operators invariant under a reduction group. We apply the method to the vector sine-Gordon equation and derive its…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
We study the discretization of Darboux integrable systems. The discretization is done using $x$-, $y$-integrals of the considered continuous systems. New examples of semi-discrete Darboux integrable systems are obtained.
In this paper we study Doob's transform of fractional Brownian motion (FBM). It is well known that Doob's transform of standard Brownian motion is identical in law with the Ornstein-Uhlenbeck diffusion defined as the solution of the…
We define B\"acklund--Darboux transformations in Sato's Grassmannian. They can be regarded as Darboux transformations on maximal algebras of commuting ordinary differential operators. We describe the action of these transformations on…
For a Markov process associated with a diffusion type Dirichlet form an upper bound is shown for the law of the finite dimensional distributions of the process. Under some more assumptions on the underlaying space this is also shown for the…
The Bernoulli-Laplace model describes a diffusion process of two types of particles between two urns. To analyze the finite-size dynamics of this process, and for other constructive results we diagonalize the corresponding transition matrix…
We study discrete isospectral symmetries for the classical acoustic spectral problem in spatial dimensions one and two, by developing a Darboux (Moutard) transformation formalism for this problem. The procedure follows the steps, similar to…
Representations based on random walks can exploit discrete data distributions for clustering and classification. We extend such representations from discrete to continuous distributions. Transition probabilities are now calculated using a…
In this paper, we develop discrete versions of Darboux transformations and Crum's theorems for two second order difference equations. The difference equations are discretised versions (using Darboux transformations) of the spectral problems…
In this paper we review two concepts directly related to the Lax representations: Darboux transformations and Recursion operators for integrable systems. We then present an extensive list of integrable differential-difference equations…
The paper presents two results. First it is shown how the discrete potential modified KdV equation and its Lax pairs in matrix form arise from the Hirota-Miwa equation by a 2-periodic reduction. Then Darboux transformations and binary…
We investigate evolution equations for anomalous diffusion employing fractional derivatives in space and time. Linkage between the space-time variables leads to a new type of fractional derivative operator. Fractional diffusion equations…
The second-type derivative nonlinear Schr\"odinger (DNLSII) equation was introduced as an integrable model in 1979. Very recently, the DNLSII equation has been shown by an experiment to be a model of the evolution of optical pulses…