相关论文: Consistency Problems for Jump-Diffusion Models

We establish global-in-time existence results for thermodynamically consistent reaction-(cross-)diffusion systems coupled to an equation describing heat transfer. Our main interest is to model species-dependent diffusivities, while at the…

Diffusion models are a new class of generative models that revolve around the estimation of the score function associated with a stochastic differential equation. Subsequent to its acquisition, the approximated score function is then…

One-dimensional non-equilibrium models of particles subjected to a coagulation-diffusion process are important in understanding non-equilibrium dynamics, and fluctuation-dissipation relation. We consider in this paper transport properties…

In computational system biology, the mesoscopic model of reaction-diffusion kinetics is described by a continuous time, discrete space Markov process. To simulate diffusion stochastically, the jump coefficients are obtained by a…

We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-$m$ distribution. We show that the associated Master equation can be written as a spatial…

We study stochastic differential equations with jumps with no diffusion part. We provide some basic stochastic characterizations of solutions of the corresponding non-local partial differential equations and prove the Harnack inequality for…

The generally held view that a model of large-scale structure, formed by collisionless matter in the Universe, can be based on the matter model ``dust'' fails in the presence of multi-stream flow, i.e., velocity dispersion. We argue that…

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…

In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…

We consider a class of jump-diffusion processes, constrained to a polyhedral cone $G\subset\R^n$, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for ``attempts'' of the…

The filtering equations associated to a partially observed jump diffusion model $(Z_t)_{t\in [0,T]}=(X_t,Y_t)_{t\in [0,T]}$, driven by Wiener processes and Poisson martingale measures are considered. Building on results from two preceding…

Score-based diffusion models generate samples from an unknown target distribution using a time-reversed diffusion process. While such models represent state-of-the-art approaches in industrial applications such as artificial image…

The aim of this paper is to discuss the appropriate modelling of in- and outflow boundary conditions for nonlinear drift-diffusion models for the transport of particles including size exclusion and their effect on the behaviour of…

Q-conditional symmetries (nonclassical symmetries) for a general class of two-component reaction-diffusion systems with constant diffusivities are studied. Using the recently introduced notion of Q-conditional symmetries of the first type…

In this paper, we are interested in conditional McKean-Vlasov jump diffusions, which are also termed as McKean-Vlasov stochastic differential equations with jump idiosyncratic noise and jump common noise. As far as conditional McKean-Vlasov…

This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…

The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…

Consistency Models (CM) (Song et al., 2023) accelerate score-based diffusion model sampling at the cost of sample quality but lack a natural way to trade-off quality for speed. To address this limitation, we propose Consistency Trajectory…

This paper considers an $n$-particle jump-diffusion system with mean filed interaction, where the coefficients are locally Lipschitz continuous. We address the convergence as $n\to\infty$ of the empirical measure of the jump-diffusions to…

The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the…