相关论文: Long-term and blow-up behaviors of exponential mom…

We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither…

In the paper, the initial-boundary value problems to a semilinear integro-differential equation with multi-term fractional Caputo derivatives are analyzed. A particular case of this equation models oxygen diffusion through capillaries.…

For real-valued additive process $(X\_t)\_{t\geq 0}$ a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq s<t\leq\infty, $$ in case the Laplace exponent of $X\_t$…

The characteristic functions of multivariate Feller processes with generator of affine type, and with smooth symbol functions have an explicit representation in terms of power series with rational number coefficients and with monmoms…

We formulate dynamical rate equations for physical processes driven by a combination of diffusive growth, size fragmentation and fragment coagulation. Initially, we consider processes where coagulation is absent. In this case we solve the…

We consider the blow-up of solutions for a semilinear reaction diffusion equation with exponential reaction term. It is know that certain solutions that can be continued beyond the blow-up time possess a nonconstant selfsimilar blow-up…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

Strong anomalous diffusion is characterized by asymptotic power-law growth of the moments of displacement, with exponents that do not depend linearly on the order of the moment. The exponents concerning small-order moments are dominated by…

We study the long-time asymptotics of prototypical non-linear diffusion equations. Specifically, we consider the case of a non-degenerate diffusivity function that is a (non-negative) polynomial of the dependent variable of the problem. We…

This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change of probability measure to the long…

Affine point processes are a class of simple point processes with self- and mutually-exciting properties, and they have found useful applications in several areas. In this paper, we obtain large-time asymptotic expansions in large…

Continuous-time long-term event prediction plays an important role in many application scenarios. Most existing works rely on autoregressive frameworks to predict event sequences, which suffer from error accumulation, thus compromising…

Our current understanding of fluctuations of dynamical (time-integrated) observables in non- Markovian processes is still very limited. A major obstacle is the lack of an appropriate theoretical framework to evaluate the associated large…

Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…

We obtain explicit expressions for the long range correlations in the ABC model and in diffusive models conditioned to produce an atypical current of particles.In both cases, the two-point correlation functions allow to detect the…

We propose a generalized diffusion equation for a flat Euclidean space subjected to a continuous infinitesimal scale transform. For the special cases of an algebraic or exponential expansion/contraction, governed by time-dependent scale…

We investigate temporal behavior of probability density functions (pdfs) of paradigmatic jump-type and continuous processes that, under confining regimes, share common heavy-tailed asymptotic (target) pdfs. Namely, we have shown that under…

This paper is concerned with a quantitative analysis of asymptotic behaviors of (possibly sign-changing) solutions to the Cauchy-Dirichlet problem for the fast diffusion equation posed on bounded domains with Sobolev subcritical exponents.…

In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…

We consider a positive recurrent one-dimensional diffusion process with continuous coefficients and we establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words we find some…