Zobrazeno 1 - 10
of 18
pro vyhledávání: '"60J25, 60H10"'
The infinite Atlas model describes the evolution of a countable collection of Brownian particles on the real line, where the lowest particle is given a drift of $\gamma \in [0,\infty)$. We study equilibrium fluctuations for the Atlas model when the s
Externí odkaz:
http://arxiv.org/abs/2310.04545
Consider a massive (inert) particle impinged from above by N Brownian particles that are instantaneously reflected upon collision with the inert particle. The velocity of the inert particle increases due to the influence of an external Newtonian pote
Externí odkaz:
http://arxiv.org/abs/2202.05893
In this paper we study a particular class of Piecewise deterministic Markov processes (PDMP's) which are semi-stochastic catastrophe versions of deterministic population growth models. In between successive jumps the process follows a flow describing
Externí odkaz:
http://arxiv.org/abs/2007.03277
Autor:
Guo, Xiao-Xia, Sun, Wei
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 irreducibility of the a
Externí odkaz:
http://arxiv.org/abs/1911.07303
Publikováno v:
Stochastic Processes and Their Applications 130(12):7131-7169, 2020
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for such processe
Externí odkaz:
http://arxiv.org/abs/1907.10337
In this article, relying on Foster-Lyapunov drift conditions, we establish subexponential upper and lower bounds on the rate of convergence in the $\mathrm{L}^p$-Wasserstein distance for a class of irreducible and aperiodic Markov processes. We furth
Externí odkaz:
http://arxiv.org/abs/1907.05250
Autor:
Kühn, Franziska
Publikováno v:
Bernoulli 25 (2019), 1755-1769
We show that the SDE $dX_t = \sigma(X_{t-}) \, dL_t$, $X_0 \sim \mu$ driven by a one-dimensional symnmetric $\alpha$-stable L\'evy process $(L_t)_{t \geq 0}$, $\alpha \in (0,2]$, has a unique weak solution for any continuous function $\sigma: \mathbb
Externí odkaz:
http://arxiv.org/abs/1705.02830
Autor:
Imkeller, Peter, Willrich, Niklas
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the discontinuity s
Externí odkaz:
http://arxiv.org/abs/1208.1665
Autor:
Barczy, Matyas, Kern, Peter
Publikováno v:
Communications on Stochastic Analysis 5 (3), 2011, 585-608
An alpha-Wiener bridge is a one-parameter generalization of the usual Wiener bridge, where the parameter alpha>0 represents a mean reversion force to zero. We generalize the notion of alpha-Wiener bridges to continuous functions $\alpha:[0,T)\to R$.
Externí odkaz:
http://arxiv.org/abs/1102.4288
In this paper we study a particular class of Piecewise deterministic Markov processes (PDMP's) which are semi-stochastic catastrophe versions of deterministic population growth models. In between successive jumps the process follows a flow describing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79812fe1c639dc46fc4a0375916161a6
http://arxiv.org/abs/2007.03277
http://arxiv.org/abs/2007.03277