Related papers: Drawdowns of diffusions
We study a model of diffusion in a brownian potential. This model was firstly introduced by T. Brox (1986) as a continuous time analogue of random walk in random environment. We estimate the deviations of this process above or under its…
We develop a computational method for expected functionals of the drawdown and its duration in exponential L\'evy models. It is based on a novel simulation algorithm for the joint law of the state, supremum and time the supremum is attained…
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the…
An up-down chain is a Markov chain in which each transition is a two-step process that moves up to a larger object and then back down to an object of the original size. The first goal of this paper is to present a general framework for…
In the course of Darwinian evolution of a population, punctualism is an important phenomenon whereby long periods of genetic stasis alternate with short periods of rapid evolutionary change. This paper provides a mathematical interpretation…
Any decomposition of the total trajectory entropy production for Markovian systems has a joint probability distribution satisfying a generalized detailed fluctuation theorem, when all the contributing terms are odd with respect to time…
We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a L\'{e}vy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
For a difference approximations of multidimensional diffusion, the truncated local limit theorem is proved. Under very mild conditions on the distribution of the difference terms, this theorem provides that the transition probabilities of…
The Smoluchowski coagulation-diffusion PDE is a system of partial differential equations modelling the evolution in time of mass-bearing Brownian particles which are subject to short-range pairwise coagulation. This survey presents a fairly…
We give a direct derivation of the distribution of the maximum and the location of the maximum of one-sided and two-sided Brownian motion with a negative parabolic drift. The argument uses a relation between integrals of special functions,…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
We define a new variant of exclusion processes in discrete time that has jump probabilities that depend on the last jump performed. In a particular limit for the jump probabilities and in suitable scaling limits for space and time, we…
In this paper, a maximum principle for the one-dimensional sub-diffusion equation with Atangana-Baleanu fractional derivative is formulated and proved. The proof of the maximum principle is based on an extremum principle for the…
The use of stochastic differential equations in multi-objective optimization has been limited, in practice, by two persistent gaps: incomplete stability analyses and the absence of accessible implementations. We revisit a drift--diffusion…
We establish two integral variational principles for the spreading speed of the one dimensional reaction diffusion equation with Stefan boundary conditions. The first principle is valid for monostable reaction terms and the second principle…
We consider the first exit time of a Shiryaev-Roberts diffusion with constant positive drift from the interval $[0,A]$ where $A>0$. We show that the moment generating function (Laplace transform) of a suitably standardized version of the…
In this paper, we extend and complement previous works about propagation in kinetic reaction-transport equations. The model we study describes particles moving according to a velocity-jump process, and proliferating according to a reaction…
The changeover from normal to super diffusion in time dependent billiards is explained analytically. The unlimited energy growth for an ensemble of bouncing particles in time dependent billiards is obtained by means of a two dimensional…
The timescales of many physical, chemical, and biological processes are determined by first passage times (FPTs) of diffusion. The overwhelming majority of FPT research studies the time it takes a single diffusive searcher to find a target.…