Related papers: From CKLS Process to CIR-type and OU-type Processe…
Quantum drift-diffusion equations are derived for a two-dimensional electron gas with spin-orbit interaction of Rashba type. The (formal) derivation turns out to be a non-standard application of the usual mathematical tools, such as Wigner…
Discrete diffusion models have recently gained significant prominence in applications involving natural language and graph data. A key factor influencing their effectiveness is the efficiency of discretized samplers. Among these,…
We give a two-dimensional central limit theorem (CLT) for the second-order quadratic variation of the centered Gaussian processes on $[0,T]$. Though the approach we use is well known in the literature, the conditions under which the CLT…
We study Girsanov's theorem in the context of symmetric Markov processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on Girsanov transformations of ``gradient type.'' We investigate the most general Girsanov transformation…
We consider a Cox--Ingersoll--Ross (CIR) type short rate model driven by a mixed fractional Brownian motion. Let $M=B+B^H$ be a one-dimensional mixed fractional Brownian motion with Hurst index $H>1/2$, and let…
We consider a perturbation of a Hilbert space-valued Ornstein--Uhlenbeck process by a class of singular nonlinear non-autonomous maximal monotone time-dependent drifts. The only further assumption on the drift is that it is bounded on balls…
The Ising model in two dimensions with special toroidal boundary conditions is analyzed. These boundary condition, which we call duality twisted boundary conditions, may be interpreted as inserting a specific defect line ("seam") in the…
In this paper, we first prove that the existence of a solution of SDEs under the assumptions that the drift coefficient is of linear growth and path--dependent, and diffusion coefficient is bounded, uniformly elliptic and H\"older…
Consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments. We use a decoupling technique, known as the "principle of conditioning", to study their stable convergence…
Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew reflection on a deterministic time dependent curve.
Let P2(Rd) be the space of probability measures on Rd with finite second moment. The path independence of additive functionals of McKean-Vlasov SDEs is characterized by PDEs on the product space Rd*P2(Rd) equipped with the usual derivative…
Our research highlights the effectiveness of utilizing matrices akin to Wishart matrices, derived from magnetization time series data under specific dynamics, to elucidate phase transitions and critical phenomena in the Q-state Potts model.…
We investigate the magnetic and glassy transitions of the square-lattice XY model in the presence of random phase shifts. We consider two different random-shift distributions: the Gaussian distribution and a slightly different distribution…
We present a novel generalization of the two-stream method of radiative transfer, which allows for the accurate treatment of radiative transfer in the presence of strong infrared scattering by aerosols. We prove that this generalization…
In this article, we retain the basic idea and at the same time generalize Kawasaki's dynamics, spin-pair exchange mechanism, to spin-pair redistribution mechanism, and present a normalized redistribution probability. This serves to unite…
We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge posed by drift coefficients that are discontinuous with respect…
As a starting point we prove a functional central limit theorem for estimators of the invariant measure of a geometrically ergodic Harris-recurrent Markov chain in a multi-scale space. This allows to construct confidence bands for the…
On the basis of perturbed Kolmogorov backward equations and path integral representation, we unify the derivations of the linear response theory and transient fluctuation theorems for continuous diffusion processes from a backward point of…
We establish a direct connection between two fundamental topics: one in probability theory and one in quantum field theory. The first topic is the problem of pointwise multiplication of random Schwartz distributions which has been the…
This work explores the possibilities of the Gibbs-Bogoliubov-Feynman variational method, aiming at finding room for designing various drawing schemes. For example, mean-field approximation can be viewed as a result of using site-independent…