On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients.
On randomly colouring locally sparse graphs.
On recurrent and transient sets of inhomogeneous symmetric random walks.
On reflecting brownian motion — a weak convergence approach
On regular points in Burgers turbulence with stable noise initial data
On risk sensitive control of regular step Markov processes
Risk-sensitive control problem of regular step Markov processes is considered, firstly when the control parameters are changed at shift times and then in the general case.
On self-optimizing control of Markov processes
On semi-martingale characterizations of functionals of symmetric Markov processes.
On semi-martingales associated with crossings
On sequentially weakly Feller solutions to SPDE’s
A rather general class of stochastic evolution equations in Hilbert spaces whose transition semigroups are Feller with respect to the weak topology is found, and consequences for existence of invariant measures are discussed.
On Skorohod embedding in -dimensional brownian motion by means of natural stopping times
On small stochastic perturbations of mappings of the unit interval
On smoothing properties of transition semigroups associated to a class of SDEs with jumps
We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) in driven by additive pure-jump Lévy noise. In particular, we assume that the Lévy process driving the SDE is the sum of a subordinated Wiener process (i.e. , where is an increasing pure-jump Lévy process starting at zero and independent of the Wiener process ) and of an arbitrary Lévy process independent of , that the drift coefficient is continuous (but not...
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
We find a probabilistic representation of the Laplace transform of some special functional of geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of these processes, we obtain closed formulas for certain expectations of the relevant functional. Among other things we compute the Laplace transform of the exponent of the T transforms of Brownian motion with drift used by Donati-Martin, Matsumoto, and Yor in a variety of identities...
On some degenerate large deviation problems.
On Some Equivalence Transformations Of Hilbert Space Valued Standard Wiener Process
On some inequalities of local times of iterated stochastic integrals.
On some limit properties of the reward from a Markov replacement process
On some method for diagnosing convergence in MCMC setups via atoms and renewal sets
On some properties of the Lüroth-type alternating series representations for real numbers.