相关论文: A functional non-central limit theorem for jump-di…

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…

We are interested in some properties related to the solutions of non-local diffusion equations with divergence free drift. Existence, maximum principle and a positivity principle are proved. In order to study Holder regularity, we apply a…

Linear dynamical systems, driven by a non-white noise which has the Levy distribution, are analysed. Noise is modelled by a specific stochastic process which is defined by the Langevin equation with a linear force and the Levy distributed…

The mean first exit time and escape probability are utilized to quantify dynamical behaviors of stochastic differential equations with non-Gaussian alpha-stable type Levy motions. Both deterministic quantities are characterized by…

We study the homogenization for a class of non-symmetric pure jump Feller processes. The jump intensity involves periodic and aperiodic constituents, as well as oscillating and non-oscillating constituents. This means that the noise can…

Levy walk (LW) process has been used as a simple model for describing anomalous diffusion in which the mean squared displacement of the walker grows non-linearly with time in contrast to the diffusive motion described by simple random walks…

We investigate the non-equilibrium compression of a confined hard-sphere colloidal fluid driven by a mobile boundary within dynamical density functional theory. The system consists of a fluid confined between two parallel walls, one acting…

This paper is the third part of our study started with Cattiaux, Le\'{o}n and Prieur [Stochastic Process. Appl. 124 (2014) 1236-1260; ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359-384]. For some ergodic Hamiltonian systems, we obtained…

In this paper we address the regularity issues of drift-diffusion equation with nonlocal diffusion, where the diffusion operator is in the realm of stable-type L\'evy operator and the velocity field is defined from the considered quantity…

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…

We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove…

In this paper we analyze a coupling between the very large jumps in physical and operational times as applied to anomalous diffusion. The approach is based on subordination of a skewed Levy-stable process by its inverse to get two types of…

We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a L\'{e}vy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the…

We consider different limit theorems for additive and multiplicative free L\'evy processes. The main results are concerned with positive and unitary multiplicative free L\'evy processes at small time, showing convergence to log free stable…

We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…

We consider a perturbed ordinary differential equation where the perturbation is only significant when a one-dimensional null recurrent diffusion is close to zero. We investigate the first order correction to the unperturbed system and…

We establish a large deviation principle for the normalized excursion and bridge of an $\alpha$-stable L\'evy process without negative jumps, with $1<\alpha<2$. Based on this, we derive precise asymptotics for the tail distributions of…

Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…

We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to -infinity and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we…

General theorems for existence and uniqueness of viscosity solutions for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVI) with integral term are established. Such nonlinear partial integro-differential equations (PIDE) arise…