相关论文: Consistency Problems for Jump-Diffusion Models
We present analytic solutions for steady flow of the Johnson-Segalman (JS) model with a diffusion term in various geometries and under controlled strain rate conditions, using matched asymptotic expansions. The diffusion term represents a…
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess…
Colloidal particles at fluid interfaces can enhance the stability of drops and bubbles. Yet, their effect on mass transfer in these multiphase systems remains ambiguous, with some experiments reporting strongly hindered diffusion, while…
We study a kinetic model for non-reactive mixtures of monatomic gases with hard-sphere cross-sections under isothermal condition. By considering a diffusive scaling of the kinetic model and using the method of moments, we formally obtain…
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators.
We establish transience criteria for symmetric non-local Dirichlet forms on $L^2({\mathbb R}^d)$ in terms of the coefficient growth rates at infinity. Applying these criteria, we find a necessary and sufficient condition for recurrence of…
First we establish explosion criteria for jump processes with an arbitrary locally compact separable metric state space. Then these results are applied to two stochastic coagulation-fragmentation models--the direct simulation model and the…
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…
Many problems in finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density of the time for such a process to cross a…
Traditional turbulence models are derived for single-phase flow. Extension of the family of two-equation turbulence models for two-phase flow is obtained via scaling the transport equations by the density. In the special case of two-phase…
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…
I present conditions for compatibility of velocities, conservation of mass, and balance of momentum and energy across moving discontinuities in inextensible strings and sheets of uniform mass density. The balances are derived from an action…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
Discrete diffusion models, like continuous diffusion models, generate high-quality samples by gradually undoing noise applied to datapoints with a Markov process. Gradual generation in theory comes with many conceptual benefits; for…
The stochastic $H_2/H_\infty$ control problem for continuous-time mean-field stochastic differential equations with Poisson jumps over finite horizon is investigated in this paper. Continuous and jump diffusion terms in the system depend…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
For delayed reaction-diffusion Schnakenberg systems with Neumann boundary conditions, critical conditions for Turing instability are derived, which are necessary and sufficient. And existence conditions for Turing, Hopf and Turing-Hopf…
The Boltzmann equation for $d$-dimensional inelastic Maxwell models is considered to determine the collisional moments of second, third and fourth degree in a granular binary mixture. These collisional moments are exactly evaluated in terms…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…