相关论文: Mean value formulas for Ornstein-Uhlenbeck and Her…

It is considered Ornstein-Uhlenbeck process $ x_t = x_0 e^{-\theta t} + \mu (1-e^{-\theta t}) + \sigma \int_0^t e^{-\theta (t-s)} dW_s$, where $x_0 \in R$, $\theta>0$, $ \mu \in R$ and $\sigma > 0$ are parameters. By use values $(z_k)_{k…

In this paper, we consider the following type of non-local (pseudo-differential) operators $\LL $ on $\R^d$: $$ \LL u(x) =\frac12 \sum_{i, j=1}^d \frac{\partial}{\partial x_i} (a_{ij}(x) \frac{\partial}{\partial x_j}) + \lim_{\eps…

We derive an explicit representation of the fundamental solution to the heat equation in a half-space of ${\mathbb R}^N$ with a diffusive dynamical boundary condition, and establish sharp pointwise upper and lower bounds. We also…

We compare the Ornstein-Uhlenbeck process for the Gaussian Unitary Ensemble to its non-hermitian counterpart - for the complex Ginibre ensemble. We exploit the mathematical framework based on the generalized Green's functions, which…

We extend the natural orbital impurity solver [PRB 90, 085102 (2014)] to finite temperatures and apply it to calculate spectral and transport properties of correlated electrons within the dynamical mean-field theory. First, we benchmark our…

In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give a sufficient condition to guarantee the uniqueness of…

We prove an inequality of H\"older type traducing the unique continuation property at one time for the heat equation with a potential and Neumann boundary condition. The main feature of the proof is to overcome the propagation of smallness…

For a family of elliptic operators with rapidly oscillating periodic coefficients, we study the convergence rates for Dirichlet eigenvalues and bounds of the normal derivatives of Dirichlet eigenfunctions. The results rely on an…

We show that for any fixed $\theta\in(-\frac{\pi}{2},\,0)\cup (0,\,\frac{\pi}{2})$, the 1-dimensional complex Ornstein-Uhlenbeck operator \begin{equation*} \tilde{\mathcal{L}}_{\theta}= 4\cos\theta \frac{\partial^2}{\partial z\partial…

This paper shows that the configurational temperature of liquid-state theory, $\Tc$, defines an energy scale, which can be used for adjusting model parameters of active Ornstein-Uhlenbeck particle (AOUP) models in order to achieve…

The Harnack inequality established in [13] for generalized Mehler semigroup is improved and generalized. As applications, the log-Harnack inequality, the strong Feller property, the hyper-bounded property, and some heat kernel inequalities…

Given a complete, smooth metric measure space $(M,g,e^{-f}dv)$ with the Bakry-\'Emery Ricci curvature bounded from below, various gradient estimates for solutions of the following general $f$-heat equations $$ u_t=\Delta_f u+au\log u+bu…

We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the…

We formulate a canonical quantization of Equilibrium Thermodynamics by applying Dirac's theory of constrained systems. Thermodynamic variables are treated as conjugate pairs of coordinates and momenta, allowing extensive and intensive…

In this paper, we investigate the parameter estimation for threshold Ornstein$\mathit{-}$Uhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-type estimators for the drift parameters based on continuous…

Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we…

This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such as an Ornstein-Uhlenbeck one. In this study, we estimate…

The problem of inference is applied to the process of work extraction from two constant heat capacity reservoirs, when the thermodynamic coordinates of the process are not fully specified. The information that is lacking, includes both the…

A conjecture is presented for the thermal one-point function of boundary operators in integrable boundary quantum field theories in terms of form factors. It is expected to have applications in studying boundary critical phenomena and…

We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We…