Related papers: Conditioning to avoid zero via a class of concave …
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
Determining functionals are tools to describe the finite dimensional long-term dynamics of infinite dimensional dynamical systems. There also exist several applications to infinite dimensional {\em random} dynamical systems. In these…
We study two new classes of inverse problems for a time-switched system in which a fractional wave equation (with Caputo derivative of order $\alpha \in (1,2)$) governs the dynamics on the interval $[0,a)$, and a fractional diffusion…
We consider the coagulation dynamics A+A -> A and A+A <-> A and the annihilation dynamics A+A -> 0 for particles moving subdiffusively in one dimension. This scenario combines the "anomalous kinetics" and "anomalous diffusion" problems,…
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…
The percolation threshold for flow or conduction through voids surrounding randomly placed spheres is rigorously calculated. With large scale Monte Carlo simulations, we give a rigorous continuum treatment to the geometry of the…
Fractional diffusion equations replace the integer-order derivatives in space and time by their fractional-order analogues. They are used in physics to model anomalous diffusion. This paper develops strong solutions of space-time fractional…
We study entire functions whose zeros and one-points lie on distinct finite systems of rays. General restrictions on these rays are obtained. Non-trivial examples of entire functions with zeros and one-points on different rays are…
The regions of existence are established for a class of two point nonlinear diffusion type boundary value problems (NDBVP) \begin{eqnarray*} &&\label{abst-intr-1} -s''(x)-ns'(x)-\frac{m}{x}s'(x)=f(x,s), \qquad m>0,~n\in \mathbb{R},\qquad…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some way so that they do not leave the closure of the domain. In…
Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show that whenever g is monotonic or Lipschitz continuous then…
We study conditional generation in diffusion models under hard constraints, where generated samples must satisfy prescribed events with probability one. Such constraints arise naturally in safety-critical applications and in rare-event…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
This paper provides versions of classical results from linear algebra, real analysis and convex analysis in a free module of finite rank over the ring $L^0$ of measurable functions on a $\sigma$-finite measure space. We study the question…
In this paper we are interested with a strongly coupled system of partial differential equations that modelizes free convection in a two-dimensional bounded domain filled with a fluid saturated porous medium. This model is inspired by the…
The properties of interfaces in non-equilibrium situations are studied by constructing a density matrix with a space-dependent temperature. The temperature gradient gives rise to new terms in the equation for the order parameter. Surface…
Condensation occurs in nonequilibrium steady states when a finite fraction of particles in the system occupies a single lattice site. We study condensation transitions in a one-dimensional zero-range process with a single defect site. The…
Using martingale methods, we provide bounds for the entropy of a probability measure on $\mathbb {R}^d$ with the right-hand side given in a certain integral form. As a corollary, in the one-dimensional case, we obtain a weighted log-Sobolev…