相关论文: Mean value formulas for Ornstein-Uhlenbeck and Her…
Recent developments of ultrafast laser pulse techniques enable us to study the subpicosecond scale dynamics out of thermal equilibrium. Multiple temperature models are frequently used to describe such dynamics where the total system is…
We consider the stochastic integrals of multivariate point processes and study their concentration phenomena. In particular, we obtain a Bernstein type of concentration inequality through Dol\'eans-Dade exponential formula and a uniform…
Minimization of the expectation value of energy under the constraints imposed by the uncertainty principle can be a convenient method of solving quantum-mechanical problems.
We revisit the problem of obtaining uniform gradient estimates for Dirichlet and Neumann heat semigroups on Riemannian manifolds with boundary. As applications, we obtain isoperimetric inequalities, using Ledoux's argument, and uniform…
Analytic and approximate solutions for the energy eigenvalues generated by the hyperbolic potentials $V_m(x)=-U_0\sinh^{2m}(x/d)/\cosh^{2m+2}(x/d),\,m=0,1,2,\dots$ are constructed. A byproduct of this work is the construction of polynomial…
We prove that the heat kernel associated to the Schr\"odinger type operator $A:=(1+|x|^\alpha)\Delta-|x|^\beta$ satisfies the estimate $$k(t,x,y)\leq…
We use the relative trace formula to obtain exact formulas for central values of certain twisted quadratic base change L-functions averaged over Hilbert modular forms of a fixed weight and level. We apply these formulas to the subconvexity…
In this article we establish the optimal $C^s$ boundary regularity for solutions to nonlocal parabolic equations in divergence form in $C^{1,\alpha}$ domains and prove a higher order boundary Harnack principle in this setting. Our approach…
The optimal constants in a class of exponential type inequalities for the Ornstein-Uhlenbeck operator in the Gauss space are detected. The existence of extremal functions in the relevant inequalities is also established. Our results…
For incomplete sub-Riemannian manifolds, and for an associated second-order hypoelliptic operator, which need not be symmetric, we identify two alternative conditions for the validity of Gaussian-type upper bounds on heat kernels and…
The main objective of this paper is analysis of the initial-boundary value problems for the linear time-fractional diffusion equations with a uniformly elliptic spatial differential operator of the second order and the Caputo type…
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit…
We present some analytical solutions to the Einstein equations, describing radiating collapsing spheres in the diffusion approximation. Solutions allow for modeling physical reasonable situations. The temperature is calculated for each…
We settle the open question concerning the Harnack inequality for globally positive solutions to non-local in time diffusion equations by constructing a counter-example for dimensions $d\ge\beta$, where $\beta\in(0,2]$ is the order of the…
In this paper, we introduce q,{\omega}-Dirac system. We investigate the existence and uniqueness of solutions for this system and obtain some spectral properties based on the Hahn difference operator. Also we give two examples, which…
Let $M$ be a closed Riemannian manifold with a family of Riemannian metrics $g_{ij}(t)$ evolving by geometric flow $\partial_{t}g_{ij} = -2{S}_{ij}$, where $S_{ij}(t)$ is a family of smooth symmetric two-tensors on $M$. In this paper we…
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that…
We introduce discrepancy values, quantities inspired by the notion of the spectral spread of Hermitian matrices. We define them as the discrepancy between two consecutive Ky-Fan-like seminorms. As a result, discrepancy values share many…
We consider the pricing of energy spread options for spot prices following an exponential Ornstein-Uhlenbeck process driven by a sum of independent multivariate variance gamma processes, which gives rise to mean-reverting, infinite activity…
This is one of a series of papers exploring the stability speed of one-dimensional stochastic processes. The present paper emphasizes on the principal eigenvalues of elliptic operators. The eigenvalue is just the best constant in the…