Related papers: A note on a.s. finiteness of perpetual integral fu…
We consider a class of discrete convex functionals which satisfy a (generalized) coarea formula, and study their limit in the continuum.
In the present article, we study the diffusion equations with fractional time derivatives. The aim of this paper is to investigate the best possible regularity for the initial value/boundary value problems with non-homogeneous Dirichlet…
We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of…
In this paper, we construct a Feller-Dynkin boundary process by applying the method of intertwiners to the coherent family, introduced in our previous work, of Laguerre processes with a fixed parameter. The corresponding boundary process is…
A finite transformation method is introduced. This method is equivalent to the $Z$ transform method to a certain extent but generalizes it. By applying the presented method to the Bessel functions, it is possible to solve related ordinary…
We consider a Fleming-Viot-type particle system consisting of independently moving particles that are killed on the boundary of a domain. At the time of death of a particle, another particle branches. If there are only two particles and the…
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, transmutation operators and recently discovered Neumann series…
Some models of diffusion-limited reaction processes in one dimension lend themselves to exact analysis. The known approaches yield exact expressions for a limited number of quantities of interest, such as the particle concentration, or the…
In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of…
We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…
A new method is presented for obtaining indefinite integrals of common special functions. The approach is based on a Lagrangian formulation of the general homogeneous linear ordinary differential equation of second order. A general integral…
Usually the problem of drift estimation for a diffusion process is considered under the hypothesis of ergodicity. It is less often considered under the hypothesis of null-recurrence, simply because there are fewer limit theorems and…
We introduce a general approach to traces that we consider as linear continuous functionals on some function space where we focus on some special choices for that space. This leads to an integral calculus for the computation of the precise…
To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…
In this article we study a homogeneous transient diffusion process $X$. We combine the theories of differential equations and of stochastic processes to obtain new results for homogeneous diffusion processes, generalizing the results of…
We introduce a new diffusion process which arises as the $n\to\infty$ limit of a Bessel process of dimension $d \ge 2$ conditioned upon remaining bounded below one until time $n$. In addition to being interesting in its own right, we argue…
This work proves pointwise convergence of the truncated Fourier double integral of non-Lebesgue integrable bounded variation functions. This leads to the Dirichlet-Jordan theorem proof for non-Lebesgue integrable functions, which has not…
We consider consistent diffusion dynamics, leaving the celebrated Hua-Pickrell measures, depending on a complex parameter $s$, invariant. These, give rise to Feller-Markov processes on the infinite dimensional boundary $\Omega$ of the…
The formal term-by-term differentiation with respect to parameters is demonstrated to be legitimate for the Mittag-Leffler type functions. The justification of differentiation formulas is made by using the concept of the uniform…
We consider a family of linear operators, diagonalized by the Hankel transform. The Fredholm determinants of these operators, restricted to $L_2[0, R]$, are expressed in a convenient form for asymptotic analysis as $R\to\infty$. The result…