Related papers: Existence results for the Cox-Ingersoll-Ross model…
We propose a new stochastic model involving state-dependent variable exponent $p(\cdot)$ which allows modeling of systems where noise intensity adapts to the current state. This new flexible theoretical framework generalizes both the…
In this paper, we consider a stochastic model based on the Cox- Ingersoll- Ross model (CIR). The stochastic model is parameterized analytically by applying It\^o's calculus and the trend functions of the proposed process is calculated. The…
We study the estimation of a stable Cox-Ingersoll-Ross model, which is a special subcritical continuous-state branching process with immigration. The process is characterized in terms of some stochastic equations. The exponential ergodicity…
Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…
We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such…
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and…
Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction-diffusion processes are widely used to model such behaviour in disciplines ranging from biology to…
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms…
The difference diffusion model with two equilibrium states is given by a stochastic equation with two components: the predicted one, which is determined by the regression function of increments with two equilibriums, and the stochastic one,…
The paper examines stochastic diffusion within an expanding space-time framework. It starts with providing a rationale for the considered model and its motivation from cosmology where the expansion of space-time is used in modelling various…
Systems are studied in which transport is possible due to large extension with open boundaries in certain directions but the particles responsible for transport can disappear from it by leaving it in other directions, by chemical reaction…
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…
A variety of enhanced statistical and numerical methods are now routinely used to extract comprehensible and relevant thermodynamic information from the vast amount of complex, high-dimensional data obtained from intensive molecular…
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
Stochastic models of diffusion with excluded-volume effects are used to model many biological and physical systems at a discrete level. The average properties of the population may be described by a continuum model based on partial…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
We present a novel backward It{\^o}-Ventzell formula and an extension of the Aleeksev-Gr\"obner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs of time uniform…
A microscopic model able to describe simultaneously the dynamic viscosity and the self-diffusion coefficient of fluids is presented. This model is shown to emerge from the introduction of fractional calculus in a usual model of condensed…
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can…