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We solve multidimensional SDEs with distributional drift driven by symmetric, $\alpha$-stable L\'evy processes for $\alpha\in (1,2]$ by studying the associated (singular) martingale problem and by solving the Kolmogorov backward equation.…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
Under mild non-degeneracy assumptions on branching rates in each generation, we provide a criterion for almost-sure extinction of a multi-type branching process with time-dependent branching rates. We also provide a criterion for the total…
We consider partial differential equations (PDE) of drift-diffusion type in the unit interval, supplemented by either two conservation laws or by a conservation law and a further boundary condition. We treat two different cases: (i) uniform…
In this paper we give a solution to the quickest drift change detection problem for a multivariate L\'evy process consisting of both continuous (Gaussian) and jump components in the Bayesian approach. We do it for a general 0-modified…
The problem of statistics of molecular random walks in a classical fluid is analyzed by means of the BBGKY hierarchy of equations reformulated in terms of the Bogolyubov evolution equation for generating functional of many-particle…
This paper develops and analyzes an efficient numerical method for solving elliptic partial differential equations, where the diffusion coefficients are random perturbations of deterministic diffusion coefficients. The method is based upon…
In distributional reinforcement learning not only expected returns but the complete return distributions of a policy are taken into account. The return distribution for a fixed policy is given as the solution of an associated distributional…
This work, Part II, together with its companion Part I develops a new framework for stochastic functional Kolmogorov equations, which are nonlinear stochastic differential equations depending on the current as well as the past states.…
When an external field is applied across a liquid-crystal cell, the twist and tilt distributions cannot be calculated analytically and must be extracted numerically. In the standard approach, the Euler-Lagrange equations are derived from…
When polygenic traits are under stabilizing selection, many different combinations of alleles allow close adaptation to the optimum. If alleles have equal effects, all combinations that result in the same deviation from the optimum are…
The Kimura equation is a degenerated partial differential equation of drift-diffusion type used in population genetics. Its solution is required to satisfy not only the equation but a series of conservation laws formulated as integral…
In this work, a complete error analysis is presented for fully discrete solutions of the subdiffusion equation with a time-dependent diffusion coefficient, obtained by the Galerkin finite element method with conforming piecewise linear…
Numerical solutions of stationary diffusion equations on the unit sphere with isotropic lognormal diffusion coefficients are considered. H\"older regularity in $L^p$ sense for isotropic Gaussian random fields is obtained and related to the…
The purpose of this paper is to provide a complete description of the eigenvalues of the generator of a neutral multi-type Moran model, and the applications to the study of the speed of convergence to stationarity. The Moran model we…
Given global Lipschitz continuity and differentiability of high enough order on the coefficients in It\^{o}'s equation, differentiability of associated semigroups, existence of twice differentiable solutions to Kolmogorov equations and weak…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
The coalescent is a stochastic process representing ancestral lineages in a population undergoing neutral genetic drift. Originally defined for a well-mixed population, the coalescent has been adapted in various ways to accommodate spatial,…
We consider a neutral dynamical model of biological diversity, where individuals live and reproduce independently. They have i.i.d. lifetime durations (which are not necessarily exponentially distributed) and give birth (singly) at constant…
The Fokker-Planck equation is a partial differential equation that describes the evolution of a probability distribution over time. It is used to model a wide range of physical and biological phenomena, such as diffusion, chemical…