相关论文: On backward Kolmogorov equation related to CIR pro…

We consider a Cox--Ingersoll--Ross (CIR) type short rate model driven by a mixed fractional Brownian motion. Let $M=B+B^H$ be a one-dimensional mixed fractional Brownian motion with Hurst index $H>1/2$, and let…

Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…

Let $v:[0,T]\times \R^d \to \R$ be the solution of the parabolic backward equation $ \partial_t v + (1/2) \sum_{i,l} [\sigma \sigma^\perp]_{il} \partial_{x_i \partial_{x_l} v + \sum_{i} b_i \partial_{x_i}v + kv =0$ with terminal condition…

We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: \[ \begin{cases} \partial_{t}u(t,\phi)+\mathcal{L}u(t,\phi)+f(t,\phi,u(t,\phi),\partial_{x}u(t,\phi)…

We associate backward and forward Kolmogorov equations to a class of fully nonlinear Stochastic Volterra Equations (SVEs) with convolution kernels $K$ that are singular at the origin. Working on a carefully chosen Hilbert space…

We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for the pricing problem relevant to path dependent options. We…

We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equations of the Gaussian or confluent type. The construction…

The goal of the paper is to show, under possibly weak assumptions, that the function given by the Feynman-Kac formula is a classical solution of the associated Kolmogorov equation. We also show that although this solution is unbounded it…

The purpose of this paper is to investigate the well-posedness of several linear and nonlinear equations with a parabolic forward-backward structure, and to highlight the similarities and differences between them. The epitomal linear…

Let $N(\tau)$ be a renewal process for independent holding times $\{X_i\}_{k \ge 0}$ ,where $\{X_k\}_{k\ge 1}$ are identically distributed with density $p(x)$. If the associated residual time $R(\tau)$ has a density $u(x,\tau)$, its…

In this paper we show how to derive regularity for the solution of Kolmogorov PIDEs driven by a vector field which is a second order integro differential operator of affine type. These results are valuable in applications, in particular for…

There are some positively divisible non-Markovian processes whose transition matrices satisfy the Chapman-Kolmogorov equation. These processes should also satisfy the Kolmogorov consistency conditions, an essential requirement for a process…

We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case,…

We provide a direct and elementary proof that the formula obtained in [MQR17] for the TASEP transition probabilities for general (one-sided) initial data solves the Kolmogorov backward equation. The same method yields the solution for the…

For stochastic processes of non-commuting random variables we formulate a Cox-Ingersoll-Ross (CIR) stochastic differential equation in the context of free probability theory which was introduced by Voicelescu. By transforming the classical…

The celebrated H\"{o}rmander condition is a sufficient (and nearly necessary) condition for a second-order linear Kolmogorov partial differential equation (PDE) with smooth coefficients to be hypoelliptic. As a consequence, the solutions of…

We analyze infinite-dimensional non-linear degenerate stochastic differential equations with multiplicative noise. First, essential m-dissipativity of their associated Kolmogorov backward generators on $L^2(\mu^{\Phi})$ defined on smooth…

The aim of this work is to prove the existence of a fundamental solution associated to the Kolmogorov equation L u = f with measurable coefficients in the dilation invariant case. Moreover, we prove Gaussian upper and lower bounds for it,…

In this work, we consider the following 2D stochastic convective Brinkman-Forchheimer (SCBF) equations in a bounded smooth domain $\mathcal{O}$: \begin{align*} \mathrm{d}\boldsymbol{u}+\left[-\mu…

We prove a generalization of the known result of Trevisan on the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equation, according to which such a solution…