Related papers: Drawdowns of diffusions
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on…
For the last ten years, almost every theoretical result concerning the expected run time of a randomized search heuristic used drift theory, making it the arguably most important tool in this domain. Its success is due to its ease of use…
We study the escape rate of diffusion process with two approaches. We first give an upper rate function for the diffusion process associated with a symmetric, strongly local regular Dirichlet form. The upper rate function is in terms of the…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
In this article we investigate the asymptotic behavior of a new class of multi-dimensional diffusions in random environment. We introduce cut times in the spirit of the work done by Bolthausen, Sznitman and Zeitouni, see [4], in the…
The first motivation of our paper is to explore further the idea that, in risk control problems, it may be profitable to base decisions both on the position of the underlying process Xt and on its supremum Xt := sup 0$\le$s$\le$t Xs.…
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of…
This article is accepted for publication in the "Annals I.H.P. Prob. & Stat.". We investigate the ballistic behavior of diffusions in random environment. We introduce conditions in the spirit of (T) and (T') of the discrete setting, cf.…
We examine diffusion-limited aggregation generated by a random walk on Z with long jumps. We derive upper and lower bounds on the growth rate of the aggregate as a function of the number moments a single step of the walk has. Under various…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
We introduce verifiable criteria for weak posterior consistency of identifiable Bayesian nonparametric inference for jump diffusions with unit diffusion coefficient and uniformly Lipschitz drift and jump coefficients in arbitrary dimension.…
We provide a probabilistic analysis of the upwind scheme for multi-dimensional transport equations. We associate a Markov chain with the numerical scheme and then obtain a backward representation formula of Kolmogorov type for the numerical…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…
We study the connection between transport phenomenon and escape rate statistics in two-dimensional standard map. For the purpose of having an open phase space, we let the momentum co-ordinate vary freely and restrict only angle with…
L\'evy Flights are paradigmatic generalised random walk processes, in which the independent stationary increments---the "jump lengths"---are drawn from an $\alpha$-stable jump length distribution with long-tailed, power-law asymptote. As a…
The purpose of this article is to study the hydrodynamic limit of the symmetric exclusion process with long jumps and in contact with infinitely extended reservoirs for a particular critical regime. The jumps are given in terms of a…
'A basic and basically unsolved problem in fluid dynamics is to determine the evolution of rising bubbles and falling drops of one miscible liquid in another' [1]. Here, we address this important literature gap and present the first theory…
Although an intimate relation between entropy and diffusion has been advocated for many years and even seems to have been verified in theory and experiments, a quantitatively reliable study, and any derivation of an algebraic relation…
Consider a one dimensional diffusion process on the diffusion interval $I$ originated in $x_0\in I$. Let $a(t)$ and $b(t)$ be two continuous functions of $t$, $t>t_0$ with bounded derivatives and with $a(t)<b(t)$ and $a(t),b(t)\in I$,…
First exit times from regions and their dependence on variations of boundaries are discussed for diffusion processes. The paper presents an estimate of $L_1$-distance between exit times from two regions via expectations of exit times.