Related papers: Conditioning to avoid zero via a class of concave …
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
The existence of non trivial zeros off the critical line for a function obtained by analytic continuation of a particular Dirichlet series is studied. Contrary to what has been presumed for a long time, we prove that such zeros cannot…
We investigate branching processes in nearly degenerate varying environment, where the offspring distribution converges to the degenerate distribution at 1. Such processes die out almost surely, therefore, we condition on non-extinction or…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
Currently, there is no general theory for deriving diffusion approximations of queueing systems with high- or infinite-dimensional state descriptors. In this paper, we explore one path for deriving diffusion limit equations of queueing…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
The recently introduced correspondence between one-dimensional two-species driven models and the Zero-Range Process is extended to study the case where the densities of the two species need not be equal. The correspondence is formulated…
This paper derives physically meaningful boundary conditions for fractional diffusion equations, using a mass balance approach. Numerical solutions are presented, and theoretical properties are reviewed, including well-posedness and steady…
Scale-free percolation is a percolation model on $\mathbb{Z}^d$ which can be used to model real-world networks. We prove bounds for the graph distance in the regime where vertices have infinite degrees. We fully characterize transience vs.…
A novel approach is proposed to establish a sharp upper bound on the expected supremum of a separable martingale random field, serving as an alternative to classical universal chaining-based methods. The proposed approach begins by deriving…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
We consider the finite temperature Casimir force acting on two parallel plates in a closed cylinder with the same cross section of arbitrary shape in the presence of extra dimensions. Dirichlet boundary conditions are imposed on one plate…
In this paper, we deal with analysis of the initial-boundary value problems for the semilinear time-fractional diffusion equations, while the case of the linear equations was considered in the first part of the present work. These equations…
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…
We study the critical properties of the monopole-percolation transition in U(1) lattice gauge theory coupled to scalars at infinite ($\beta=0$) gauge coupling. We find strong scaling corrections in the critical exponents that must be…
We prove absence of infinite clusters and contours in a class of critical constrained percolation models on the square lattice. The percolation configuration is assumed to satisfy certain hard local constraints, but only weak symmetry and…
We introduce a class of self-interacting scalar theories in which the various coupling contants obey a recursive relation. These imply a particularly simple form for the generating function of the Feynman amplitudes with vanishing external…
We study the equilibrium statistical mechanics of classical two-dimensional Coulomb systems living on a pseudosphere (an infinite surface of constant negative curvature). The Coulomb potential created by one point charge exists and goes to…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…