Related papers: On time-inhomogeneous controlled diffusion process…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
For some spatially nonlocal diffusion models with a finite range of nonlocal interactions measured by a positive parameter $\delta$, we review their formulation defined on a bounded domain subject to various conditions that correspond to…
It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time.…
This paper deals with fractional-order controlled systems and fractional-order controllers in the frequency domain. The mathematical description by fractional transfer functions and properties of these systems are presented. The new ways…
Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential…
We extend a generalized integral fluctuation relation in diffusion processes that we obtained previously to the situation with feedback control. The general relation not only covers existing results but also predicts other unnoticed…
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are…
We study a class of time-inhomogeneous diffusion: the self-interacting one. We show a convergence result with a rate of convergence that does not depend on the diffusion coefficient. Finally, we establish a so-called Kramers' type law for…
In this note, with the help of the boundary classification of diffusions, we derive a criterion of the convergence of perpetual integral functionals of transient real-valued diffusions. In the particular case of transient Bessel processes,…
Diffusion condensation is a dynamic process that yields a sequence of multiscale data representations that aim to encode meaningful abstractions. It has proven effective for manifold learning, denoising, clustering, and visualization of…
We prove existence and uniqueness of nonnegative solutions for a nonlocal in time integrodifferential diffusion system related to angiogenesis descriptions. Fundamental solutions of appropriately chosen parabolic operators with bounded…
We solve two problems related to the fluctuations of time-integrated functionals of Markov diffusions, used in physics to model nonequilibrium systems. In the first we derive and illustrate the appropriate boundary conditions on the…
An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…
This work extends previous 1D irreversible port-Hamiltonian system (IPHS) formulations to boundary-controlled ND distributed parameter systems describing conduction-diffusion fluid phenomena. Within a unified and thermodynamically…
The spatial diffusion of an inhomogeneous vortex tangle is studied numerically with the vortex filament model. A localized initial tangle is prepared by applying a counterflow, and the tangle is allowed to diffuse freely after the…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
We study small perturbations of diffusion processes in $\mathbb{R}^d$ that leave invariant a finite collection of hypersurfaces. Each surface is assumed to be repelling for the unperturbed process, and the unperturbed motion on each of the…
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…
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…