Related papers: Conditioning to avoid zero via a class of concave …
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
Let X be the mild solution to a semilinear stochastic partial differential equation. In this article, we develop methodology to sample from the infinite-dimensional diffusion bridge that arises from conditioning X on a linear transformation…
We improve the time decay estimates of solutions to the one-dimensional fractional diffusion equation involving the Caputo derivative. The equation is considered on the half-line. Depending on the boundary condition, we show that solutions…
We study the existence and infinite-speed propagation of solutions to models arising in porous media, when the mobility is highly degenerate (inverse power law). The approach is based on maximum principles for the fractional Laplacian, and…
A continuous-time formulation of the Diffusion Monte Carlo method for lattice models is presented. In its simplest version, without the explicit use of trial wavefunctions for importance sampling, the method is an excellent tool for…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
Approximations to sums of stationary and ergodic sequences by martingales are investigated. Necessary and sufficient conditions for such sums to be asymptotically normal conditionally given the past up to time 0 are obtained. It is first…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…
We investigate linear boundary value problems for first-order one-dimensional hyperbolic systems in a strip. We establish conditions for existence and uniqueness of bounded continuous solutions. For that we suppose that the non-diagonal…
Let E be an unbounded open (or closed) domain in Euclidean space of dimension greater or equal to two. We present conservativeness criteria for (possibly reflected) diffusions with state space E that are associated to fairly general…
We give optimal convergence rates in the central limit theorem for a large class of martingale difference sequences with bounded third moments. The rates depend on the behaviour of the conditional variances and for stationary sequences the…
We study some sufficient conditions imposed on the sequence of martingale differences (m.d.) in the separable Banach spaces of continuous functions defined on the metric compact set for the Central Limit Theorem in this space. We taking…
On a smooth bounded Euclidean domain, Sobolev-subcritical fast diffusion with vanishing boundary trace is known to lead to finite-time extinction, with a vanishing profile selected by the initial datum. In rescaled variables, we quantify…
This paper improves a previously established test involving only coefficients to decide a priori whether or not non-trivial symmetries of a large class of space-time dependent diffusion processes on the real line exist. When the existence…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…
We consider a general conservation law on the circle, in the presence of a sublinear damping. If the damping acts on the whole circle, then the solution becomes identically zero in finite time, following the same mechanism as the…
We prove a limit theorem for an integral functional of a Markov process. The Markovian dynamics is characterized by a linear Boltzmann equation modeling a one-dimensional test particle of mass $\lambda^{-1}\gg 1$ in an external periodic…
Wave equations for some curved spacetimes may involve functions that prevent a solution in a closed form. In some cases, these functions can be eliminated by transformations and the solutions can be found analytically. In the cases where…
Inspired by a recent paper of I. Grama, E. Le Page and M. Peign\'e, we consider a sequence $(g_n)_{n \geq 1}$ of i.i.d. random $d\times d$-matrices with non-negative entries and study the fluctuations of the process $(\log \vert g_n\cdots…
We study an N=1 two-dimensional non-linear sigma model with boundaries representing, e.g., a gauge fixed open string. We describe the full set of boundary conditions compatible with N=1 superconformal symmetry. The problem is analyzed in…