Related papers: Conditioning to avoid zero via a class of concave …
We present a scheme for simulating conditioned semimartingales taking values in Riemannian manifolds. Extending the guided bridge proposal approach used for simulating Euclidean bridges, the scheme replaces the drift of the conditioned…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
In this work, we propose a new semi-Lagrangian (SL) finite difference scheme for nonlinear advection-diffusion problems. To ensure conservation, which is fundamental for achieving physically consistent solutions, the governing equations are…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
We investigate the properties of an abstract family of advection diffusion equations in the context of the fractional Laplacian. Two independent diffusion parameters enter the system, one via the constitutive law for the drift velocity and…
We consider here a cell-centered finite difference approximation of the Richards equation in three dimensions, averaging for interface values the hydraulic conductivity $K=K(p)$, a highly nonlinear function, by arithmetic, upstream, and…
We study a continuous-time dynamical system which arises as the limit of a broad class of nonlinearly preconditioned gradient methods. Under mild assumptions, we establish existence of global solutions and derive Lyapunov-based convergence…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
We analyze the diffusion processes associated to equations of Wright-Fisher type in one spatial dimension. These are defined by a degenerate second order operator on the interval [0, 1], where the coefficient of the second order term…
We consider the filtering and smoothing problems for an infinite-dimensional diffusion process X, observed through a finite-dimensional representation at discrete points in time. At the heart of our proposed methodology lies the…
We consider a diffusion process with coefficients that are periodic outside of an 'interface region' of finite thickness. The question investigated in the articles [1,2] is the limiting long time / large scale behaviour of such a process…
In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either…
In this note a critical point result for differentiable functionals is exploited in order to prove that a suitable class of one-dimensional fractional problems admits at least one non-trivial solution under an asymptotical behaviour of the…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
We study a class of quadratic, infinite-dimensional dynamical systems, inspired by models for viscoelastic fluids. We prove that these equations define a semi-flow on the cone of positive, essentially bounded functions. As time tends to…
In many biological systems, motile agents exhibit random motion with short-term directional persistence, together with crowding effects arising from spatial exclusion. We formulate and study a class of lattice-based models for multiple…
We derive two-sided bounds for moments of linear combinations of coordinates od unconditional log-concave vectors. We also investigate how well moments of such combinations may be approximated by moments of Gaussian random variables.
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
Supermartingales are here defined on a non-probabilistic setting and can be interpreted solely in terms of superhedging operations. The classical expectation operator is replaced by a pair of subadditive operators one of them providing a…
We investigate quantitative properties of nonnegative solutions $u(t,x)\ge 0$ to the nonlinear fractional diffusion equation, $\partial_t u + \mathcal{L}F(u)=0$ posed in a bounded domain, $x\in\Omega\subset \mathbb{R}^N$, with appropriate…