相关论文: Hydrodynamic limit of move-to-front rules and sear…

We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the underlying asset dynamics and the early exercise premium…

Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…

We study the hydrodynamic behaviour of the symmetric zero-range process on the finite interval $\{1, \ldots, N-1\}$ in contact with slow reservoirs at the boundary. Particles are injected and removed at sites $1$ and $N-1$ at rates that…

We consider the behaviour of a continuous super-Brownian motion catalysed by a random medium with infinite overall density under the hydrodynamic scaling of mass, time, and space. We show that, in supercritical dimensions, the scaled…

We consider exploration algorithms of the random sequential adsorption type both for homogeneous random graphs and random geometric graphs based on spatial Poisson processes. At each step, a vertex of the graph becomes active and its…

We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…

For interacting particle systems that satisfies the gradient condition, the hydrodynamic limit and the equilibrium fluctuations are well known. We prove that under the presence of a symmetric random environment, these scaling limits also…

We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (It\^o) process with jumps $(X_t)_{t\in [0,T]}$ and a jump-diffusion process $(X^\ast_t)_{t\in [0,T]}$. Our bounds are expressed using the…

We give a new approach to the well-known convergence to the hydrodynamic limit for the symmetric simple exclusion process (SSEP). More precisely, we characterize any possible limit of its empirical density measures as solutions to the heat…

We consider a one dimensional random walk in random environment that is uniformly biased to one direction. In addition to the transition probability, the jump rate of the random walk is assumed to be spatially inhomogeneous and random. We…

In this paper we study the vanishing inertia and viscosity limit of a second order system set in an Euclidean space, driven by a possibly nonconvex time-dependent potential satisfying very general assumptions. By means of a variational…

This paper establishes limit theorems for a class of stochastic hybrid systems (continuous deterministic dynamic coupled with jump Markov processes) in the fluid limit (small jumps at high frequency), thus extending known results for jump…

Active matter has been widely studied in recent years because of its rich phenomenology, whose mathematical understanding is still partial. We present some results, based on [8, 17] linking microscopic lattice gases to their macroscopic…

The fluid-mechanics community is currently divided in assessing the boundaries of applicability of the macroscopic approach to fluid mechanical problems. Can the dynamics of nano-droplets be described by the same macroscopic equations as…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

In this article we derive in the hydrodynamic limit a generalized fractional porous medium equation, in the sense that the regional fractional Laplacian is applied to a function of the density given in terms of a power series, instead of a…

We simulate the space-time dynamics of high-energy collisions based on a microscopic kinetic description in the conformal relaxation time approximation, in order to determine the range of applicability of an effective description in…

We investigate fluid transport in random velocity fields with unsteady drift. First, we propose to quantify fluid transport between flow regimes of different characteristic motion, by escape probability and mean residence time. We then…

We study the dispersion of a particle whose motion dynamics can be described by a forced velocity jump process. To investigate large deviations results, we study the Chapman-Kolmogorov equation of this process in the hyperbolic scaling…

A calculational approach in fluid turbulence is presented. Use is made of the attracting nature of the fluid-dynamic dynamical system. An approximate approach is offerred that effectively propagates the statistics in time. Loss of…