相关论文: Stochastic invariance of closed sets for jump-diff…

This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the…

Generative diffusion models have achieved remarkable success in producing high-quality images. However, these models typically operate in continuous intensity spaces, diffusing independently across pixels and color channels. As a result,…

This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…

Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…

In this article, we discuss subgeometric ergodicity of a class of regime-switching diffusion processes. We derive conditions on the drift and diffusion coefficients, and the switching mechanism which result in subgeometric ergodicity of the…

We study stability, long-time behavior and moment estimates for stochastic evolution equations with additive Wiener noise and with singular drift given by a divergence type quasilinear diffusion operator which may not necessarily exhibit a…

We consider It\^o SDE $\d X_t=\sum_{j=1}^m A_j(X_t) \d w_t^j + A_0(X_t) \d t$ on $\R^d$. The diffusion coefficients $A_1,..., A_m$ are supposed to be in the Sobolev space $W_\text{loc}^{1,p} (\R^d)$ with $p>d$, and to have linear growth;…

The vast majority of the literature on stochastic semidefinite programs (stochastic SDPs) with recourse is concerned with risk-neutral models. In this paper, we introduce mean-risk models for stochastic SDPs and study structural properties…

The problem of reconstructing the drift of a diffusion in $\erre^d$, $d\geq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of…

Score-based diffusion models have demonstrated outstanding empirical performance in machine learning and artificial intelligence, particularly in generating high-quality new samples from complex probability distributions. Improving the…

We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…

In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…

We prove an invariance principle for a class of zero-drift spatially non-homogeneous random walks in $\mathbb{R}^d$, which may be recurrent in any dimension. The limit $\mathcal{X}$ is an elliptic martingale diffusion, which may be…

We establish the existence and uniqueness of strong solutions to some jump-type stochastic equations under non-Lipschitz conditions. The results improve those of Fu and Li (2010) and Li and Mytnik (2011).

While deep learning methods have achieved strong performance in time series prediction, their black-box nature and inability to explicitly model underlying stochastic processes often limit their generalization to non-stationary data,…

In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We allow the drift coefficient $b$ and the diffusion coefficient…

We study $\mathbb{R}^d$-valued mean field stochastic differential equations with a diffusion coefficient depending on the $L_p$-norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global…

The classical result by It\^o on the existence of strong solutions of stochastic differential equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only measurable and bounded. These generalizations are…

Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…

For regime-switching diffusions processes with singular drifts, we introduce integrability conditions involving a nice reference probability measure and the $Q$-matrix of the jump part to study the existence of the invariant probability…