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The aforementioned celebrated model, though a breakthrough in Stochastic processes and a great step toward the construction of the Brownian motion leads to a paradox: infinite propagation speed and violation of the 2nd law of…
We develop a semiparametric framework for inference on the mean response in missing-data settings using a corrected posterior distribution. Our approach is tailored to Bayesian Additive Regression Trees (BART), which is a powerful…
In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution $(Y,Z)$ to a quadratic growth BSDE. Using the (by now) well-established connection between these equations and their…
The Sutherland approximation to the van der Waals forces is applied to the derivation of a self-consistent Vlasov-type field in a liquid filling a half space, bordering vacuum. The ensuing Vlasov equation is then derived, and solved to…
In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency. In most cases of practical interest, the likelihood…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
We prove an existence and uniqueness result for Neumann boundary problem of a parabolic partial differential equation (PDE for short) with a singular nonlinear divergence term which can only be understood in a weak sense. A probabilistic…
The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of…
The adsorption phenomenon of neutral particles from the limiting surfaces of the sample in the Langmuir approximation is investigated. The diffusion equation regulating the redistribution of particles in the bulk is assumed to be of…
In public health management there is a need to produce subnational estimates of health outcomes. Often, however, funds are not available to collect samples large enough to produce traditional survey sample estimates for each subnational…
We give a multimensional version of the p-adic heat equation, and show that its fundamental solution is the transition density of a Markov process.
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…
Many statistical problems include model parameters that are defined as the solutions to optimization sub-problems. These include classical approaches such as profile likelihood as well as modern applications involving flow networks or…
In this paper we adopt the familiar sparse, high-dimensional linear regression model and focus on the important but often overlooked task of prediction. In particular, we consider a new empirical Bayes framework that incorporates data in…
We consider an infinite-dimensional Gaussian regression model, equipped with a high-dimensional Gaussian prior. We address the frequentist validity of posterior credible sets for a vector of linear functionals. We specify conditions for a…
We consider Ising mixed $p$-spin glasses at high-temperature and without external field, and study the problem of sampling from the Gibbs distribution $\mu$ in polynomial time. We develop a new sampling algorithm with complexity of the same…
Estimation of the population size $n$ from $k$ i.i.d.\ binomial observations with unknown success probability $p$ is relevant to a multitude of applications and has a long history. Without additional prior information this is a notoriously…
A generalized kinetic model equation which takes into account the frequency depence of the thermal conductivity is used to analyze the problem of sound propagation in dilute polyatomic gases. By comparing the theoretical results with some…
We simplify the formalism of Polder and Van Hove [Phys.Rev.B {\bf 4}, 3303(1971)], which was developed to calculate the heat transfer between macroscopic and nanoscale bodies of arbitrary shape, dispersive and adsorptive dielectric…
A method is developed within an adaptive framework to solve quasilinear diffusion problems with internal and possibly boundary layers starting from a coarse mesh. The solution process is assumed to start on a mesh where the problem is badly…