相关论文: Integrability of solutions of the Skorokhod Embedd…
Consider the sample path of a one-dimensional diffusion for which the diffusion coefficient is given and where the drift may take on one of two values: $\mu_0$ or $\mu_1$. Suppose that the signal-to-noise ratio (defined as the difference…
The global-in-time existence and uniqueness of bounded weak solutions to a spinorial matrix drift-diffusion model for semiconductors is proved. Developing the electron density matrix in the Pauli basis, the coefficients (charge density and…
We provide a new probabilistic proof of the connection between Rost's solution of the Skorokhod embedding problem and a suitable family of optimal stopping problems for Brownian motion with finite time-horizon. In particular we use…
This paper presents a new strategy to deal with the excessive diffusion that standard finite volume methods for compressible Euler equations display in the limit of low Mach number. The strategy can be understood as using centered…
In order to approximate a continuous time stochastic process by discrete time Markov chains one has several options to embed the Markov chains into continuous time processes. On the one hand there is the Markov embedding, which uses…
We study the problem of lifting a measure to an induced map $F(x)=f^{R(x)}(x)$. In particular, we give a necessary and sufficient condition for an ergodic $f$ invariant probability $\mu$ to be $F$-liftable as well as a condition for the…
We propose and analyse a novel surface finite element method that preserves the invariant regions of systems of semilinear parabolic equations on closed compact surfaces in $\mathbb{R}^3$ under discretisation. We also provide a…
Formulas are derived for solutions of many-body wave scattering problems by small particles in the case of acoustically soft, hard, and impedance particles embedded in an inhomogeneous medium. The case of transmission (interface) boundary…
In this article, we solve the problem of the long time behaviour of transition probabilities of time-inhomogeneous Markov processes and give a unified approach to stochastic differential equations (SDEs) with periodic, quasi-periodic,…
The Smoluchowski equation with a time dependent sink term is solved exactly. In this method by knowing the probability distribution at the origin P(0,s), one may derive the probability distribution at all positions i.e., P(x,s). Further the…
Radiative transfer (RT) problems in which the source function includes a scattering-like integral are typical two-points boundary problems. Their solution via differential equations implies to make hypotheses on the solution itself, namely…
All spacetimes for an irrotational collisionless fluid with a purely electric Weyl tensor, with spacetime curvature determined by the exact Einstein field equations, are shown to be integrable. These solutions include the relativistic…
We present and analyze a space-time Petrov-Galerkin finite element method for a time-fractional diffusion equation involving a Riemann-Liouville fractional derivative of order $\alpha\in(0,1)$ in time and zero initial data. We derive a…
We show that if $(X, \mu, T)$ is a probability measure-preserving dynamical system, and $\mathscr{P}$ is a countable partition of $(X, \mu)$, then the limit $$ \lim_{n, k \to \infty} \mathbb{E} \left[ \frac{1}{k} \sum_{j = 0}^{k - 1} f…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…
The method of maximum entropy (ME) is extended to address the following problem: Once one accepts that the ME distribution is to be preferred over all others, the question is to what extent are distributions with lower entropy supposed to…
We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…
An embedding method for solving the time-dependent Schr\"odinger equation is developed using the Dirac-Frenkel variational principle. Embedding allows the time-evolution of the wavefunction to be calculated explicitly in a limited region of…
In this paper we study a representation problem first considered in a simpler version by Bank and El Karoui [2004]. A key ingredient to this problem is a random measure $\mu$ on the time axis which in the present paper is allowed to have…
We present an exact analytical solution to the problem of shear dispersion given a general initial condition. The solution is expressed as an infinite series expansion involving Mathieu functions and their eigenvalues. The eigenvalue system…