相关论文: The affine transform formula for affine jump-diffu…
In this paper, we develop new affine-invariant algorithms for solving composite convex minimization problems with bounded domain. We present a general framework of Contracting-Point methods, which solve at each iteration an auxiliary…
We formulate the generalized master equation for a class of continuous time random walks in the presence of a prescribed deterministic evolution between successive transitions. This formulation is exemplified by means of an…
The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of…
We introduce ajdmom, a Python package designed for automatically deriving moment formulae for the well-established affine jump diffusion processes with state-independent jump intensities. ajdmom can produce explicit closed-form expressions…
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jump component has a unique classical solution; that is the…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
In this paper, we prove sharp blow-up and global existence results for a time fractional diffusion-wave equation with a nonlinear memory term in a bounded domain, where the fractional derivative in time is taken in the sense of Caputo type.…
We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state…
This paper intends on obtaining the explicit solution of $n$-dimensional anomalous diffusion equation in the infinite domain with non-zero initial condition and vanishing condition at infinity. It is shown that this equation can be derived…
We use the jump problem technique developed in a recent paper by Grushevsky, Krichever and the second author to compute the variational formula of any stable differential and its periods to arbitrary precision in plumbing coordinates. In…
The problem of anomalous diffusion in the momentum space is considered on the basis of the appropriate probability transition function (PTF). New general equation for description of the diffusion of heavy particles in the gas of the light…
This paper provides necessary and sufficient conditions for exponential stabilization of distributed systems affine in control, evolving in a Banach state space, by means of constant controls. An explicit estimate of the convergence speed…
The stochastic exponential $Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\}$ of a continuous local martingale $M$ is itself a continuous local martingale. We give a necessary and sufficient condition for the process $Z$ to be a true martingale in the…
A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of "naturally occurring" strict local martingales with jumps available in the literature. The purpose of this paper is to provide…
We develop a fully discrete scheme for time-fractional diffusion equations by using a finite difference method in time and a finite element method in space. The fractional derivatives are used in Caputo sense. Stability and error estimates…
This paper presents a general study of one-dimensional differentiability for functionals defined on convex domains that are not necessarily open. The local approximation is carried out using affine functionals, as opposed to linear…
We introduce extremal affine surface areas in a functional setting. We show their main properties. Among them are linear invariance, isoperimetric inequalities and monotonicity properties. We establish a new duality formula, which shows…
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties such as closure under size-biased Esscher transform, order…