相关论文: The affine transform formula for affine jump-diffu…
Positive $T$-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We…
We provide a template to derive convergence rates for the following popular versions of the Frank-Wolfe algorithm on polytopes: vanilla Frank-Wolfe, Frank-Wolfe with away steps, Frank-Wolfe with blended pairwise steps, and Frank-Wolfe with…
We consider additive functionals as a time and space-dependent function of a diffusion corresponding to nonhomogeneous uniformly elliptic divergence form operator. We show that if the function belongs to natural domain of strong solutions…
The fundamental solution (Green function) for the Cauchy problem of the space-time fractional diffusion equation is investigated with respect to its scaling and similarity properties, starting from its Fourier-Laplace representation. Then,…
Time fractional advection-dispersion equations arise as generalizations of classical integer order advection-dispersion equations and are increasingly used to model fluid flow problems through porous media. In this paper we develop an…
In this paper we present numerical methods - finite differences and finite elements - for solution of partial differential equation of fractional order in time for one-dimensional space. This equation describes anomalous diffusion which is…
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…
In the present work, we propose an advection-diffusion equation with Hausdorff deformed derivatives to stud the turbulent diffusion of contaminants in the atmosphere. We compare the performance of our model to fit experimental data against…
We study affine fusion with the adjoint representation. For simple Lie algebras, elementary and universal formulas determine the decomposition of a tensor product of an integrable highest-weight representation with the adjoint…
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to $f$-divergence minimal martingale measures and based on a new concept of preservation of the…
This paper deals with a theoretical mathematical analysis of a one-dimensional-moving-boundary problem for the time-fractional diffusion equation, where the time-fractional derivative of order $\al$ $\in (0,1)$ is taken in the Caputo's…
Finite difference schemes, using Backward Differentiation Formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term, of the form $$\min(v_t - a(t,x) v_{xx} + b(t,x) v_x + r(t,x) v, v-…
This paper investigates the boundary behaviour of potential-type integrals for the multi-term time-fractional diffusion equation (MTFDE) across the moving boundary. First, we establish the jump relation for the integral operator associated…
In this paper, we provide a number of subdifferential formulas for a class of nonconvex infimal convolutions in normed spaces. The formulas obtained unify several results on subdifferentials of the distance function and the minimal time…
In this paper, we are interested in the study of a problem with fractional derivatives having boundary conditions of integral types. The problem represents a Caputo type advection-diffusion equation where the fractional order derivative…
We establish a general analytic framework for determining the AF-martingale dimension of diffusion processes associated with strongly local regular Dirichlet forms on metric measure spaces. While previous approaches typically relied on…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…
This paper focuses on the equidimensional decomposition of affine varieties defined by sparse polynomial systems. For generic systems with fixed supports, we give combinatorial conditions for the existence of positive dimensional components…
We present an analysis of existence, uniqueness, and smoothness of the solution to a class of fractional ordinary differential equations posed on the whole real line that models a steady state behavior of a certain anomalous diffusion,…
We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point…