Related papers: Consistency Problems for Jump-Diffusion Models
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
Dynamic wetting poses a well-known challenge in classical sharp-interface formulation as the no-slip wall condition leads to a contact line singularity that is typically regularized with a Navier boundary condition, often requiring…
We show that optimal stopping surfaces $(t,y)\mapsto x_*(t,y)$ arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions $(X,Y)$ are continuous (jointly in time and space) under mild monotonicity and…
Given an unconditional diffusion model targeting a joint model $\pi(x, y)$, using it to perform conditional simulation $\pi(x \mid y)$ is still largely an open question and is typically achieved by learning conditional drifts to the…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
We consider a class of conditional forward-backward diffusion models for conditional generative modeling, that is, generating new data given a covariate (or control variable). To formally study the theoretical properties of these…
We study the problem of homogenization for inertial particles moving in a time dependent random velocity field and subject to molecular diffusion. We show that, under appropriate assumptions on the velocity field, the large--scale,…
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…
We consider a parabolic partial differential equation that can be understood as a simple model for crowds flows. Our main assumption is that the diffusivity and the source/sink term vanish at the same point; the nonhomogeneous term is…
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to…
We consider discrete time Heath-Jarrow-Morton type interest rate models, where the interest rate curves are driven by a geometric spatial autoregression field. Strong consistency and asymptotic normality of the maximum likelihood estimators…
We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…
Cross-diffusion systems play a central role in mathematical modelling, in which density-dependent dispersal and multiscale mechanisms can lead to spatial segregation and diffusion-driven instabilities. In several relevant examples,…
Conditional diffusion models serve as the foundation of modern image synthesis and find extensive application in fields like computational biology and reinforcement learning. In these applications, conditional diffusion models incorporate…
Starting from a particle model describing self-propelled particles interacting through nematic alignment, we derive a macroscopic model for the particle density and mean direction of motion. We first propose a mean-field kinetic model of…
The fractional Fokker-Planck equation, which contains a variable diffusion coefficient, is discussed and solved. It corresponds to the L\'evy flights in a nonhomogeneous medium. For the case with the linear drift, the solution is stationary…
We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…
Flood front is the jump interface where fluids distribute discontinuously, whose interface condition is the theoretical basis of a mathematical model of the multiphase flow in porous medium. The conventional interface condition at the jump…