相关论文: Path-dependent Martingale Problems and Additive Fu…

By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{BeiglbockHenry…

In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces stationary processes with hyperbolically decaying…

Abstract. We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [38]. Our study was prompted by some concrete problems in battery modelling [23], and also…

We propose an alternative approach for solving a number of well-studied optimal stopping problems for L\'evy processes. Instead of the usual method of guess-and-verify based on martingale properties of the value function, we suggest a more…

The path integral formulation of quantum mechanics constructs the propagator by evaluating the action S for all classical paths in coordinate space. A corresponding momentum path integral may also be defined through Fourier transforms in…

We study discrete-time, discrete-state multistate Markov models from the perspective of algebraic statistics. These models are widely studied in event history analysis, and are characterized by the state space, the initial distribution and…

The martingale characterizes a kind of fairness or unbiased nature of the stochastic process which is associated with another stochastic process. If $x_t$ evolves according to the Langevin equation whose mean drift is $a_t$ as function of…

The paper deals with finite-state Markov decision processes (MDPs) with integer weights assigned to each state-action pair. New algorithms are presented to classify end components according to their limiting behavior with respect to the…

In this paper we consider the classical differential equations of Hodgkin and Huxley and a natural refinement of them to include a layer of stochastic behavior, modeled by a large number of finite-state-space Markov processes coupled to a…

Some classical mass transportation problems are investigated in a finitely additive setting. Let $\Omega=\prod_{i=1}^n\Omega_i$ and $\mathcal{A}=\otimes_{i=1}^n\mathcal{A}_i$, where $(\Omega_i,\mathcal{A}_i,\mu_i)$ is a ($\sigma$-additive)…

We study the canonical solution of a family of classical $n-vector$ spin models on a generic $d$-dimensional lattice; the couplings between two spins decay as the inverse of their distance raised to the power $\alpha$, with $\alpha<d$. The…

We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…

Let $A$ be a pseudo-differential operator with symbol $q(x,\xi)$. In this paper we derive sufficient conditions which ensure the existence of a solution to the $(A,C_c^{\infty}(\mathbb{R}^d))$-martingale problem. If the symbol $q$ depends…

We study in this article the stochastic Zakharov-Kuznetsov equation driven by a multiplicative noise. We establish, in space dimensions two and three the global existence of martingale solutions, and in space dimension two the global…

We review some fractional free boundary problems that were recently considered for modeling anomalous phase-transitions. All problems are of Stefan type and involve fractional derivatives in time according to Caputo's definition. We survey…

Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…

Let P2(Rd) be the space of probability measures on Rd with finite second moment. The path independence of additive functionals of McKean-Vlasov SDEs is characterized by PDEs on the product space Rd*P2(Rd) equipped with the usual derivative…

We consider collections of SDEs indexed by a graph. Each SDE is driven by an additive Gaussian noise and each drift term interacts with all other SDEs within the graph neighbourhood. We derive the fundamental martingale for a class of…

Let $(X_t, Y_t)_{t\in T}$ be a discrete or continuous-time Markov process with state space $X \times R^d$ where $X$ is an arbitrary measurable set. Its transition semigroup is assumed to be additive with respect to the second component,…

Empirical processes for stationary, causal sequences are considered. We establish empirical central limit theorems for classes of indicators of left half lines, absolutely continuous functions and piecewise differentiable functions. Sample…