相关论文: Consistency Problems for Jump-Diffusion Models

We consider a nonlinear drift-diffusion system for multiple charged species in a porous medium in 2D and 3D with periodic microstructure. The system consists of a transport equation for the concentration of the species and Poisson's…

The first passage time (FPT) problem is ubiquitous in many applications. In finance, we often have to deal with stochastic processes with jump-diffusion, so that the FTP problem is reducible to a stochastic differential equation with…

In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

We aim at estimating the invariant density associated to a stochastic differential equation with jumps in low dimension, which is for $d=1$ and $d=2$. We consider a class of jump diffusion processes whose invariant density belongs to some…

This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…

Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…

We consider a one-dimensional Swift-Hohenberg equation coupled to a conservation law, where both equations contain additional dispersive terms breaking the reflection symmetry $x \mapsto -x$. This system exhibits a Turing instability and we…

This paper focuses on a drift-diffusion system subjected to boundedly non dissipative Robin boundary conditions. A general existence result with large initial conditions is established by using suitable L1, L2 and trace estimates. Finally,…

We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geometric approach developed by T. Bj\"ork and co-authors in the…

Diffusion models (DMs) are a powerful generative framework that have attracted significant attention in recent years. However, the high computational cost of training DMs limits their practical applications. In this paper, we start with a…

The study of pattern-forming instabilities in reaction-diffusion systems on growing or otherwise time-dependent domains arises in a variety of settings, including applications in developmental biology, spatial ecology, and experimental…

A diffusion model of the time evolution of loss rates caused by a step in collimator position is presented. It builds upon the model of Seidel (1994) and its assumptions: (1) constant diffusion rate within the range of the step and (2)…

In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To…

A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…

Random metastability occurs when an externally forced or noisy system possesses more than one state of apparent equilibrium. This work investigates fluctuations in a class of random dynamical systems, arising from randomly perturbing a…

We investigate the existence of a robust, i.e., continuous, representation of the conditional distribution in a stochastic filtering model for multidimensional correlated jump-diffusions. Even in the absence of jumps, it is known that in…

Imperfect score-matching leads to a shift between the training and the sampling distribution of diffusion models. Due to the recursive nature of the generation process, errors in previous steps yield sampling iterates that drift away from…

Fast data generation based on Machine Learning has become a major research topic in particle physics. This is mainly because the Monte Carlo simulation approach is computationally challenging for future colliders, which will have a…

In this contribution, a variational diffuse modeling framework for cracks in heterogeneous media is presented. A static order parameter smoothly bridges the discontinuity at material interfaces, while an evolving phase-field captures the…