相关论文: Analysis of continuous strict local martingales vi…
Diffusion maps approximate the generator of Langevin dynamics from simulation data. They afford a means of identifying the slowly-evolving principal modes of high-dimensional molecular systems. When combined with a biasing mechanism,…
The subject of fractional calculus has witnessed rapid development over past few decades. In particular the area of fractional differential equations has received considerable attention. Several theoretical results have been obtained and…
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has…
This paper continues the systematic investigation of diffusive shear instabilities initiated in Part I of this series. In this work, we primarily focus on quantifying the impact of non-local mixing, which is not taken into account in Zahn's…
We study the multifractal analysis of self-similar measures arising from random homogeneous iterated function systems. Under the assumption of the uniform strong separation condition, we see that this analysis parallels that of the…
The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the…
We prove maximum and comparison principles for fractional discrete derivatives in the integers. Regularity results when the space is a mesh of length $h$, and approximation theorems to the continuous fractional derivatives are shown. When…
In this paper the local regularity of the Hilbert transform is considered, and local smoothness and real analyticity results are obtained.
For nonexpansive fixed-point problems, Halpern's method with optimal parameters, its so-called H-dual algorithm, and in fact, an infinite family of algorithms containing them, all exhibit the exactly minimax optimal convergence rates. In…
We study the curl-div-system with variable coefficients and a nonlocal homogenisation problem associated with it. Using, in part refining, techniques from nonlocal $H$-convergence for closed Hilbert complexes, we define the appropriate…
The long-term behavior of a supercritical branching random walk can be described and analyzed with the help of Biggins' martingales, parametrized by real or complex numbers. The study of these martingales with complex parameters is a rather…
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…
We elaborate on the principle that for gapped quantum spin systems with local interaction "local perturbations [in the Hamiltonian] perturb locally [the ground state]". This principle was established in [Bachmann et al. 2012], relying on…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
Highly concentrated patterns have been observed in a spatially heterogeneous, nonlocal, model of BGK type implementing a velocity-jump process. We study both a linear and a nonlinear case and describe the concentration profile. In…
The paper studies a non-linear transformation between Brownian martingales, which is given by the inverse of the pricing operator in the mathematical finance terminology. Subsequently, the solvability of systems of equations corresponding…
We consider a 2D stochastic modified Swift-Hohenberg equations with multiplicative noise and periodic boundary. First, we establish the existence of local and global martingale and pathwise solutions in the regular Sobolev space $H^{2m}$…
We study the invariant measures of infinite systems of stochastic differential equations (SDEs) indexed by the vertices of a regular tree. These invariant measures correspond to Gibbs measures associated with certain continuous…
We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analytically closed-form. Our approach is based on a dual…