Time averaging for random nonlinear abstract parabolic equations.
Time Dependent Solution of a Correlated Queueing Problem with Variable Capacity.
Time Dependent Solution of a Queueing Problem with Correlated Batch Arrivals and General Service Time Distribution.
Time dependent subordination and Markov processes with jumps
Time reversal for drifted fractional Brownian motion with Hurst index .
Time reversal of non-Markov point processes
Time-changes of self-similar Markov processes
Time-dependent backward stochastic evolution equations.
Time-dependent barrier options and boundary crossing probabilities.
Time-dependent Schrödinger perturbations of transition densities
We construct the fundamental solution of for functions q with a certain integral space-time relative smallness, in particular for those satisfying a relative Kato condition. The resulting transition density is comparable to the Gaussian kernel in finite time, and it is even asymptotically equal to the Gaussian kernel (in small time) under the relative Kato condition. The result is generalized to arbitrary strictly positive and finite time-nonhomogeneous transition densities on measure spaces. We...
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab. 20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give a proof...
Time-homogeneous diffusions with a given marginal at a random time
We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T, is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of [Bertoin and Le Jan, Ann. Probab.20 (1992) 538–548.] to the Skorokhod embedding problem. Secondly, we give...
Time-space analysis of the cluster-formation in interacting diffusions.
Time-substitution based on fluctuating additive functionals (Wiener-Hopf factorization for infinitesimal generators)
Topics in Markov Additive Processes.
Topics in Weak Convergence of Probability Measures
Topics on Meixner families
We shed some light on the inter-connections between different characterizations leading to the classical Meixner family. This allows us to give free analogs of both Sheffer's and Al-Salam and Chihara's characterizations in the classical case by the use of the free derivative operator. The paper closes with a discussion of the q-deformed case, |q| < 1.
Topological algebras of random elements
Let L₀(Ω;A) be the Fréchet space of Bochner-measurable random variables with values in a unital complex Banach algebra A. We study L₀(Ω;A) as a topological algebra, investigating the notion of spectrum in L₀(Ω;A), the Jacobson radical, ideals, hulls and kernels. Several results on automatic continuity of homomorphisms are developed, including versions of well-known theorems of C. Rickart and B. E. Johnson.
Topological Markov chains with dicyclic dimension group.
Topological spaces with the strong Skorokhod property.