相关论文: An It\^o calculus for a class of limit processes a…

We consider five different abstract Cauchy problems where the operator is of fourth order. For each problem, using semigroups techniques and functional calculus, we study the invertibility and the spectral properties of the fourth order…

A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial…

Several versions of It\^{o}'s formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of…

We revisit the work of Mitter and Newton on an information-theoretic interpretation of Bayes' formula through the Gibbs variational principle. This formulation allowed them to pose nonlinear estimation for diffusion processes as a problem…

These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…

We provide and analyze the high order algorithms for the model describing the functional distributions of particles performing anomalous motion with power-law jump length and tempered power-law waiting time. The model is derived in [Wu,…

We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…

The vacuum-adapted formulation of quantum stochastic calculus is employed to perturb expectation semigroups via a Feynman-Kac formula. This gives an alternative perspective on the perturbation theory for quantum stochastic flows that has…

We consider a class of stochastic processes and establish its connection to $p$-harmonic functions. In particular, we obtain stochastic approximations that converge uniformly to a $p$-harmonic function, with an explicit convergence rate,…

This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…

We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…

We study different fractional extensions of the Poisson process and generalized counting processes by introducing time-change represented by the inverse to the sums of stable and tempered stable subordinators. We state the governing…

We consider the Cauchy problem for stochastic fractional evolution equations with Caputo time fractional derivative of order $1<\alpha<2$ and space variable coefficients on an unbounded domain. The space derivatives that appear in the…

The notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods…

In this article, we consider McKean stochastic differential equations, as well as their corresponding McKean-Vlasov partial differential equations, which admit a unique stationary state, and we study the linearized It\^o diffusion process…

We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…

We consider a random walk in an i.i.d. Cauchy-tailed conductances environment. We obtain a quenched functional CLT for the suitably rescaled random walk, and, as a key step in the arguments, we improve the local limit theorem for…

Optical tweezers setup is often used to probe the motion of individual tracer particle, which promotes the study of relaxation dynamics of a generic process confined in a harmonic potential. We uncover the dependence of ensemble- and…

We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…

We investigate continuous diffusions on star graphs with sticky behavior at the vertex. These are Markov processes with continuous paths having a positive occupation time at the vertex. We characterize sticky diffusions as time-changed…