Ganguly, Arnab; Sundar, P. Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics. (English) Zbl 07312685 Stochastic Processes Appl. 133, 74-110 (2021). MSC: 60F05 60F10 60H10 60H35 65C30 PDF BibTeX XML Cite \textit{A. Ganguly} and \textit{P. Sundar}, Stochastic Processes Appl. 133, 74--110 (2021; Zbl 07312685) Full Text: DOI
Miclo, Laurent; Patie, Pierre On interweaving relations. (English) Zbl 07285374 J. Funct. Anal. 280, No. 3, Article ID 108816, 54 p. (2021). MSC: 47D07 60J25 60J27 46E30 37A25 60G18 33C45 PDF BibTeX XML Cite \textit{L. Miclo} and \textit{P. Patie}, J. Funct. Anal. 280, No. 3, Article ID 108816, 54 p. (2021; Zbl 07285374) Full Text: DOI
Bladt, Mogens; Mider, Marcin; Sørensen, Michael Corrigendum to: “Simple simulation of diffusion bridges with application to likelihood inference for diffusions”. (English) Zbl 07282848 Bernoulli 27, No. 1, 218-220 (2021). MSC: 60J60 60H35 62M05 PDF BibTeX XML Cite \textit{M. Bladt} et al., Bernoulli 27, No. 1, 218--220 (2021; Zbl 07282848) Full Text: DOI Euclid
Luçon, Eric Quenched asymptotics for interacting diffusions on inhomogeneous random graphs. (English) Zbl 07312348 Stochastic Processes Appl. 130, No. 11, 6783-6842 (2020). MSC: 60F15 05C80 82C20 35Q84 PDF BibTeX XML Cite \textit{E. Luçon}, Stochastic Processes Appl. 130, No. 11, 6783--6842 (2020; Zbl 07312348) Full Text: DOI
Arapostathis, Ari; Pang, Guodong; Zheng, Yi Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis. (English) Zbl 07312346 Stochastic Processes Appl. 130, No. 11, 6733-6756 (2020). MSC: 93E20 60J74 60J60 93C20 35F21 93E15 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., Stochastic Processes Appl. 130, No. 11, 6733--6756 (2020; Zbl 07312346) Full Text: DOI
Seo, Insuk Analysis of metastable behavior via solutions of Poisson equations. (English) Zbl 07304011 RIMS Kôkyûroku Bessatsu B79, 1-17 (2020). MSC: 60J60 60F99 PDF BibTeX XML Cite \textit{I. Seo}, RIMS Kôkyûroku Bessatsu B79, 1--17 (2020; Zbl 07304011) Full Text: Link
Jacquier, Antoine; Torricelli, Lorenzo Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (English) Zbl 07296667 SIAM J. Financ. Math. 11, No. 4, 1137-1167 (2020). MSC: 91G20 91G30 60G51 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{L. Torricelli}, SIAM J. Financ. Math. 11, No. 4, 1137--1167 (2020; Zbl 07296667) Full Text: DOI
Carrillo, José Antonio; Peng, Yingping; Wróblewska-Kamińska, Aneta Relative entropy method for the relaxation limit of hydrodynamic models. (English) Zbl 07291683 Netw. Heterog. Media 15, No. 3, 369-387 (2020). MSC: 35Q31 76N06 35B25 35D30 35D35 PDF BibTeX XML Cite \textit{J. A. Carrillo} et al., Netw. Heterog. Media 15, No. 3, 369--387 (2020; Zbl 07291683) Full Text: DOI
Nachid, Halima; Gozo, Yoro Asymptotic behaviour of the blow-up time for nonlocal diffusion problem with some parameters. (English) Zbl 07282749 J. Ramanujan Soc. Math. Math. Sci. 7, No. 2, 119-136 (2020). MSC: 35B40 35B44 35R09 35K20 PDF BibTeX XML Cite \textit{H. Nachid} and \textit{Y. Gozo}, J. Ramanujan Soc. Math. Math. Sci. 7, No. 2, 119--136 (2020; Zbl 07282749) Full Text: Link
Albeverio, Sergio; De Vecchi, Francesco C.; Romano, Andrea; Ugolini, Stefania Strong Kac’s chaos in the mean-field Bose-Einstein condensation. (English) Zbl 07272811 Stoch. Dyn. 20, No. 5, Article ID 2050031, 21 p. (2020). MSC: 60J60 60K35 81S20 94A17 PDF BibTeX XML Cite \textit{S. Albeverio} et al., Stoch. Dyn. 20, No. 5, Article ID 2050031, 21 p. (2020; Zbl 07272811) Full Text: DOI
Kleisinger-Yu, Xi; Komaric, Vlatka; Larsson, Martin; Regez, Markus A multifactor polynomial framework for long-term electricity forwards with delivery period. (English) Zbl 1452.91310 SIAM J. Financ. Math. 11, No. 3, 928-957 (2020). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{X. Kleisinger-Yu} et al., SIAM J. Financ. Math. 11, No. 3, 928--957 (2020; Zbl 1452.91310) Full Text: DOI
Löcherbach, E. Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity. (English) Zbl 07268531 J. Theor. Probab. 33, No. 4, 2280-2314 (2020). MSC: 60J55 60J35 60F05 PDF BibTeX XML Cite \textit{E. Löcherbach}, J. Theor. Probab. 33, No. 4, 2280--2314 (2020; Zbl 07268531) Full Text: DOI
Ditlevsen, Susanne; Cencerrado Rubio, Alejandro; Lansky, Petr Transient dynamics of Pearson diffusions facilitates estimation of rate parameters. (English) Zbl 1453.60137 Commun. Nonlinear Sci. Numer. Simul. 82, Article ID 105034, 15 p. (2020). MSC: 60J60 60J70 62F10 PDF BibTeX XML Cite \textit{S. Ditlevsen} et al., Commun. Nonlinear Sci. Numer. Simul. 82, Article ID 105034, 15 p. (2020; Zbl 1453.60137) Full Text: DOI
Benaïm, Michel; Bréhier, Charles-Edouard; Monmarché, Pierre Analysis of an adaptive biasing force method based on self-interacting dynamics. (English) Zbl 07252720 Electron. J. Probab. 25, Paper No. 88, 28 p. (2020). MSC: 60J60 65C50 PDF BibTeX XML Cite \textit{M. Benaïm} et al., Electron. J. Probab. 25, Paper No. 88, 28 p. (2020; Zbl 07252720) Full Text: DOI Euclid
Hartmann, Carsten; Neureither, Lara; Sharma, Upanshu Coarse graining of nonreversible stochastic differential equations: quantitative results and connections to averaging. (English) Zbl 1447.35028 SIAM J. Math. Anal. 52, No. 3, 2689-2733 (2020). MSC: 35B25 35R60 35B40 35K10 60J60 60H10 82C31 PDF BibTeX XML Cite \textit{C. Hartmann} et al., SIAM J. Math. Anal. 52, No. 3, 2689--2733 (2020; Zbl 1447.35028) Full Text: DOI
Filipović, Damir; Larsson, Martin Polynomial jump-diffusion models. (English) Zbl 1450.60038 Stoch. Syst. 10, No. 1, 71-97 (2020). MSC: 60J25 60J60 91G20 60H30 PDF BibTeX XML Cite \textit{D. Filipović} and \textit{M. Larsson}, Stoch. Syst. 10, No. 1, 71--97 (2020; Zbl 1450.60038) Full Text: DOI
Salem, Samir A gradient flow approach of propagation of chaos. (English) Zbl 07243489 Discrete Contin. Dyn. Syst. 40, No. 10, 5729-5754 (2020). MSC: 60K35 60J60 60H10 35B40 PDF BibTeX XML Cite \textit{S. Salem}, Discrete Contin. Dyn. Syst. 40, No. 10, 5729--5754 (2020; Zbl 07243489) Full Text: DOI
Li, Liping; Sun, Wenjie; Ying, Jiangang Effective intervals and regular Dirichlet subspaces. (English) Zbl 1446.31012 Stochastic Processes Appl. 130, No. 10, 6064-6093 (2020). MSC: 31C25 60J60 PDF BibTeX XML Cite \textit{L. Li} et al., Stochastic Processes Appl. 130, No. 10, 6064--6093 (2020; Zbl 1446.31012) Full Text: DOI
Ottobre, Michela; Pillai, Natesh S.; Spiliopoulos, Konstantinos Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets. (English) Zbl 1447.62094 Stoch. Partial Differ. Equ., Anal. Comput. 8, No. 2, 311-361 (2020). MSC: 62L20 60J60 60G15 PDF BibTeX XML Cite \textit{M. Ottobre} et al., Stoch. Partial Differ. Equ., Anal. Comput. 8, No. 2, 311--361 (2020; Zbl 1447.62094) Full Text: DOI
Wang, Jianping; Wang, Mingxin Free boundary problems with nonlocal and local diffusions. I: Global solution. (English) Zbl 1439.35581 J. Math. Anal. Appl. 490, No. 2, Article ID 123974, 23 p. (2020). MSC: 35R35 35Q92 92D40 PDF BibTeX XML Cite \textit{J. Wang} and \textit{M. Wang}, J. Math. Anal. Appl. 490, No. 2, Article ID 123974, 23 p. (2020; Zbl 1439.35581) Full Text: DOI
Leonenko, N. N.; Papić, I.; Sikorskii, A.; Šuvak, N. Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology. (English) Zbl 1451.60037 J. Math. Anal. Appl. 486, No. 2, Article ID 123934, 21 p. (2020). MSC: 60F17 60J60 60K50 PDF BibTeX XML Cite \textit{N. N. Leonenko} et al., J. Math. Anal. Appl. 486, No. 2, Article ID 123934, 21 p. (2020; Zbl 1451.60037) Full Text: DOI
Gheryani, Soumaya; Hiroshima, Fumio; Lőrinczi, József; Majid, Achref; Ouerdiane, Habib Functional central limit theorems and \(P(\phi )_1\)-processes for the relativistic and non-relativistic Nelson models. (English) Zbl 07212440 Math. Phys. Anal. Geom. 23, No. 2, Paper No. 18, 30 p. (2020). MSC: 47D07 47D08 60J75 81Q10 PDF BibTeX XML Cite \textit{S. Gheryani} et al., Math. Phys. Anal. Geom. 23, No. 2, Paper No. 18, 30 p. (2020; Zbl 07212440) Full Text: DOI
Miclo, Laurent On the construction of measure-valued dual processes. (English) Zbl 1437.60048 Electron. J. Probab. 25, Paper No. 6, 64 p. (2020). MSC: 60J60 60H10 60J25 60J10 60J65 05C81 PDF BibTeX XML Cite \textit{L. Miclo}, Electron. J. Probab. 25, Paper No. 6, 64 p. (2020; Zbl 1437.60048) Full Text: DOI Euclid
Capitanelli, Raffaela; D’Ovidio, Mirko Delayed and rushed motions through time change. (English) Zbl 1446.60032 ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 1, 183-204 (2020). MSC: 60G22 35R11 60H15 PDF BibTeX XML Cite \textit{R. Capitanelli} and \textit{M. D'Ovidio}, ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 1, 183--204 (2020; Zbl 1446.60032) Full Text: Link
Jourdain, Benjamin; Zhou, Alexandre Existence of a calibrated regime switching local volatility model. (English) Zbl 07200943 Math. Finance 30, No. 2, 501-546 (2020). MSC: 91G PDF BibTeX XML Cite \textit{B. Jourdain} and \textit{A. Zhou}, Math. Finance 30, No. 2, 501--546 (2020; Zbl 07200943) Full Text: DOI
Assiotis, Theodoros Hua-Pickrell diffusions and Feller processes on the boundary of the graph of spectra. (English. French summary) Zbl 1434.60212 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 2, 1251-1283 (2020). MSC: 60J60 PDF BibTeX XML Cite \textit{T. Assiotis}, Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 2, 1251--1283 (2020; Zbl 1434.60212) Full Text: DOI Euclid
Bégin, Jean-François; Gauthier, Geneviève Price bias and common practice in option pricing. (English. French summary) Zbl 07194126 Can. J. Stat. 48, No. 1, 8-35 (2020). MSC: 62 PDF BibTeX XML Cite \textit{J.-F. Bégin} and \textit{G. Gauthier}, Can. J. Stat. 48, No. 1, 8--35 (2020; Zbl 07194126) Full Text: DOI
Coppini, Fabio; Dietert, Helge; Giacomin, Giambattista A law of large numbers and large deviations for interacting diffusions on Erdős-Rényi graphs. (English) Zbl 1434.60279 Stoch. Dyn. 20, No. 2, Article ID 2050010, 19 p. (2020). MSC: 60K35 82C20 PDF BibTeX XML Cite \textit{F. Coppini} et al., Stoch. Dyn. 20, No. 2, Article ID 2050010, 19 p. (2020; Zbl 1434.60279) Full Text: DOI
Criens, David Lyapunov criteria for the Feller-Dynkin property of martingale problems. (English) Zbl 1434.60192 Stochastic Processes Appl. 130, No. 5, 2693-2736 (2020). MSC: 60J25 60G44 60H10 PDF BibTeX XML Cite \textit{D. Criens}, Stochastic Processes Appl. 130, No. 5, 2693--2736 (2020; Zbl 1434.60192) Full Text: DOI
Baldi, Paolo; Caramellino, Lucia; Rossi, Maurizia Large deviations of conditioned diffusions and applications. (English) Zbl 07173238 Stochastic Processes Appl. 130, No. 3, 1289-1308 (2020). MSC: 60F10 60J60 PDF BibTeX XML Cite \textit{P. Baldi} et al., Stochastic Processes Appl. 130, No. 3, 1289--1308 (2020; Zbl 07173238) Full Text: DOI
Li, Lei; Sheng, Weijie; Wang, Mingxin Systems with nonlocal vs. local diffusions and free boundaries. (English) Zbl 1429.35213 J. Math. Anal. Appl. 483, No. 2, Article ID 123646, 27 p. (2020). MSC: 35R35 35B40 35R09 92D40 PDF BibTeX XML Cite \textit{L. Li} et al., J. Math. Anal. Appl. 483, No. 2, Article ID 123646, 27 p. (2020; Zbl 1429.35213) Full Text: DOI
De Angelis, Tiziano Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (English) Zbl 1430.91127 Finance Stoch. 24, No. 1, 71-123 (2020). Reviewer: George Stoica (Saint John) MSC: 91G50 60J70 60G40 93E20 PDF BibTeX XML Cite \textit{T. De Angelis}, Finance Stoch. 24, No. 1, 71--123 (2020; Zbl 1430.91127) Full Text: DOI arXiv
Zhang, Shao-Qin Regime-switching diffusion processes: strong solutions and strong Feller property. (English) Zbl 1427.60147 Stochastic Anal. Appl. 38, No. 1, 97-123 (2020). MSC: 60J05 60J60 PDF BibTeX XML Cite \textit{S.-Q. Zhang}, Stochastic Anal. Appl. 38, No. 1, 97--123 (2020; Zbl 1427.60147) Full Text: DOI arXiv
Lejay, Antoine; Lenôtre, Lionel; Pichot, Géraldine An exponential timestepping algorithm for diffusion with discontinuous coefficients. (English) Zbl 1452.65008 J. Comput. Phys. 396, 888-904 (2019). MSC: 65C05 PDF BibTeX XML Cite \textit{A. Lejay} et al., J. Comput. Phys. 396, 888--904 (2019; Zbl 1452.65008) Full Text: DOI
Zhang, Gongqiu; Li, Lingfei Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior. (English) Zbl 07262436 Oper. Res. 67, No. 2, 407-427 (2019). MSC: 91G20 60J28 PDF BibTeX XML Cite \textit{G. Zhang} and \textit{L. Li}, Oper. Res. 67, No. 2, 407--427 (2019; Zbl 07262436) Full Text: DOI
Lu, Xianggang Constrained optimality for controlled switching diffusions with an application to stock purchasing. (English) Zbl 1441.91070 Quant. Finance 19, No. 12, 2069-2085 (2019). MSC: 91G10 93E20 60H30 90C39 PDF BibTeX XML Cite \textit{X. Lu}, Quant. Finance 19, No. 12, 2069--2085 (2019; Zbl 1441.91070) Full Text: DOI
Wu, Ruoyu Open problem: Weakly interacting particle systems on dense random graphs. (English) Zbl 1447.60142 Stoch. Syst. 9, No. 3, 315-317 (2019). MSC: 60K35 05C80 60H20 PDF BibTeX XML Cite \textit{R. Wu}, Stoch. Syst. 9, No. 3, 315--317 (2019; Zbl 1447.60142) Full Text: DOI
Lipshutz, David; Ramanan, Kavita A Monte Carlo method for estimating sensitivities of reflected diffusions in convex polyhedral domains. (English) Zbl 07213005 Stoch. Syst. 9, No. 2, 101-140 (2019). MSC: 65C05 60H10 60J65 PDF BibTeX XML Cite \textit{D. Lipshutz} and \textit{K. Ramanan}, Stoch. Syst. 9, No. 2, 101--140 (2019; Zbl 07213005) Full Text: DOI
Hainaut, Donatien; Deelstra, Griselda A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. (English) Zbl 1447.60072 Methodol. Comput. Appl. Probab. 21, No. 4, 1337-1375 (2019). MSC: 60G46 60G55 91G40 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{G. Deelstra}, Methodol. Comput. Appl. Probab. 21, No. 4, 1337--1375 (2019; Zbl 1447.60072) Full Text: DOI
Arnaudon, Alexis; Barp, Alessandro; Takao, So Irreversible Langevin MCMC on Lie groups. (English) Zbl 07178710 Nielsen, Frank (ed.) et al., Geometric science of information. 4th international conference, GSI 2019, Toulouse, France, August 27–29, 2019. Proceedings. Cham: Springer (ISBN 978-3-030-26979-1/pbk; 978-3-030-26980-7/ebook). Lecture Notes in Computer Science 11712, 171-179 (2019). MSC: 94A08 94A12 94A15 94A17 PDF BibTeX XML Cite \textit{A. Arnaudon} et al., Lect. Notes Comput. Sci. 11712, 171--179 (2019; Zbl 07178710) Full Text: DOI
Bock, Wolfgang; da Silva, José Luís; Streit, Ludwig On the potential in non-Gaussian chain polymer models. (English) Zbl 1431.60039 Math. Methods Appl. Sci. 42, No. 18, 7452-7460 (2019). MSC: 60G22 82D60 PDF BibTeX XML Cite \textit{W. Bock} et al., Math. Methods Appl. Sci. 42, No. 18, 7452--7460 (2019; Zbl 1431.60039) Full Text: DOI
Landim, C.; Seo, I. Metastability of one-dimensional, non-reversible diffusions with periodic boundary conditions. (English. French summary) Zbl 1441.60062 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1850-1889 (2019). MSC: 60J60 60F99 PDF BibTeX XML Cite \textit{C. Landim} and \textit{I. Seo}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 1850--1889 (2019; Zbl 1441.60062) Full Text: DOI Euclid
Shao, Jin; Jiang, Hui Hypothesis testing for ergodicity of inhomogeneous diffusions. (Chinese. English summary) Zbl 1449.62104 Adv. Math., Beijing 48, No. 4, 482-488 (2019). MSC: 62G10 37A50 60J60 PDF BibTeX XML Cite \textit{J. Shao} and \textit{H. Jiang}, Adv. Math., Beijing 48, No. 4, 482--488 (2019; Zbl 1449.62104) Full Text: DOI
Shao, Jinghai; Yuan, Chenggui Stability of regime-switching processes under perturbation of transition rate matrices. (English) Zbl 1427.60166 Nonlinear Anal., Hybrid Syst. 33, 211-226 (2019). MSC: 60J27 60J60 60A10 PDF BibTeX XML Cite \textit{J. Shao} and \textit{C. Yuan}, Nonlinear Anal., Hybrid Syst. 33, 211--226 (2019; Zbl 1427.60166) Full Text: DOI arXiv
Giesecke, K.; Schwenkler, Gustavo Simulated likelihood estimators for discretely observed jump-diffusions. (English) Zbl 07145333 J. Econom. 213, No. 2, 297-320 (2019). MSC: 62 91 PDF BibTeX XML Cite \textit{K. Giesecke} and \textit{G. Schwenkler}, J. Econom. 213, No. 2, 297--320 (2019; Zbl 07145333) Full Text: DOI
Schmisser, Émeline Non parametric estimation of the diffusion coefficients of a diffusion with jumps. (English) Zbl 1428.62378 Stochastic Processes Appl. 129, No. 12, 5364-5405 (2019). MSC: 62M05 60J60 62G05 62G07 62G08 PDF BibTeX XML Cite \textit{É. Schmisser}, Stochastic Processes Appl. 129, No. 12, 5364--5405 (2019; Zbl 1428.62378) Full Text: DOI
Hoffmann, Marc; Marguet, Aline Statistical estimation in a randomly structured branching population. (English) Zbl 1428.62130 Stochastic Processes Appl. 129, No. 12, 5236-5277 (2019). MSC: 62G05 62M05 60J80 60J20 92D25 PDF BibTeX XML Cite \textit{M. Hoffmann} and \textit{A. Marguet}, Stochastic Processes Appl. 129, No. 12, 5236--5277 (2019; Zbl 1428.62130) Full Text: DOI arXiv
Mijatović, Aleksandar; Vogrinc, Jure Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation. (English) Zbl 1427.60146 Adv. Appl. Probab. 51, No. 4, 994-1026 (2019). MSC: 60J05 60J22 60J35 60F05 60F10 PDF BibTeX XML Cite \textit{A. Mijatović} and \textit{J. Vogrinc}, Adv. Appl. Probab. 51, No. 4, 994--1026 (2019; Zbl 1427.60146) Full Text: DOI arXiv
Sha, Chunlin; Zhao, Hongyong A novel neurodynamic reaction-diffusion model for solving linear variational inequality problems and its application. (English) Zbl 1428.49012 Appl. Math. Comput. 346, 57-75 (2019). MSC: 49J40 92B20 PDF BibTeX XML Cite \textit{C. Sha} and \textit{H. Zhao}, Appl. Math. Comput. 346, 57--75 (2019; Zbl 1428.49012) Full Text: DOI
Schatz, Michael; Sornette, Didier A nonuniformly integrable martingale bubble with a crash. (English) Zbl 1429.91340 SIAM J. Financ. Math. 10, No. 2, 615-631 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G45 60G44 60G55 60J76 PDF BibTeX XML Cite \textit{M. Schatz} and \textit{D. Sornette}, SIAM J. Financ. Math. 10, No. 2, 615--631 (2019; Zbl 1429.91340) Full Text: DOI Link
He, Guoman; Yang, Ge; Zhu, Yixia Some conditional limiting theorems for symmetric Markov processes with tightness property. (English) Zbl 1423.60117 Electron. Commun. Probab. 24, Paper No. 60, 11 p. (2019). MSC: 60J25 37A30 47A35 60J60 PDF BibTeX XML Cite \textit{G. He} et al., Electron. Commun. Probab. 24, Paper No. 60, 11 p. (2019; Zbl 1423.60117) Full Text: DOI Euclid
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. (English) Zbl 1427.91254 Math. Finance 29, No. 3, 773-803 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Math. Finance 29, No. 3, 773--803 (2019; Zbl 1427.91254) Full Text: DOI Link arXiv
Del Moral, Pierre; Tugaut, Julian Uniform propagation of chaos and creation of chaos for a class of nonlinear diffusions. (English) Zbl 1423.60122 Stochastic Anal. Appl. 37, No. 6, 909-935 (2019). MSC: 60J60 60K35 35R60 PDF BibTeX XML Cite \textit{P. Del Moral} and \textit{J. Tugaut}, Stochastic Anal. Appl. 37, No. 6, 909--935 (2019; Zbl 1423.60122) Full Text: DOI
Ferrari, Giorgio; Koch, Torben On a strategic model of pollution control. (English) Zbl 1426.91182 Ann. Oper. Res. 275, No. 2, 297-319 (2019). MSC: 91B76 91A15 93E20 91B70 PDF BibTeX XML Cite \textit{G. Ferrari} and \textit{T. Koch}, Ann. Oper. Res. 275, No. 2, 297--319 (2019; Zbl 1426.91182) Full Text: DOI arXiv
Nolan, John P. Stable distributions and Green’s functions for fractional diffusions. (English) Zbl 1423.35408 Fract. Calc. Appl. Anal. 22, No. 1, 128-138 (2019). MSC: 35R11 35K57 60E07 PDF BibTeX XML Cite \textit{J. P. Nolan}, Fract. Calc. Appl. Anal. 22, No. 1, 128--138 (2019; Zbl 1423.35408) Full Text: DOI
Han, Zheng; Hu, Yaozhong; Lee, Chihoon On pricing barrier control in a regime-switching regulated market. (English) Zbl 1420.91105 Quant. Finance 19, No. 3, 491-499 (2019). MSC: 91B25 PDF BibTeX XML Cite \textit{Z. Han} et al., Quant. Finance 19, No. 3, 491--499 (2019; Zbl 1420.91105) Full Text: DOI
Popovic, Lea Large deviations of Markov chains with multiple time-scales. (English) Zbl 1422.60046 Stochastic Processes Appl. 129, No. 9, 3319-3359 (2019). MSC: 60F10 60J75 92C45 92C37 80A30 60F17 60J27 60J28 60J60 PDF BibTeX XML Cite \textit{L. Popovic}, Stochastic Processes Appl. 129, No. 9, 3319--3359 (2019; Zbl 1422.60046) Full Text: DOI arXiv
Belak, Christoph; Sass, Jörn Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. (English) Zbl 1428.91016 Finance Stoch. 23, No. 4, 861-888 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 93E20 91G80 35Q91 49L25 PDF BibTeX XML Cite \textit{C. Belak} and \textit{J. Sass}, Finance Stoch. 23, No. 4, 861--888 (2019; Zbl 1428.91016) Full Text: DOI
Sun, Wenjie; Ying, Jiangang Intrinsic metric and one-dimensional diffusions. (English) Zbl 1429.31008 Stat. Probab. Lett. 150, 146-151 (2019). Reviewer: Ze-Chun Hu (Chengdu) MSC: 31C25 60J60 60J65 PDF BibTeX XML Cite \textit{W. Sun} and \textit{J. Ying}, Stat. Probab. Lett. 150, 146--151 (2019; Zbl 1429.31008) Full Text: DOI
Arnaudon, Marc; Del Moral, Pierre A variational approach to nonlinear and interacting diffusions. (English) Zbl 07098089 Stochastic Anal. Appl. 37, No. 5, 717-748 (2019). MSC: 65C35 82C80 58J65 47J20 PDF BibTeX XML Cite \textit{M. Arnaudon} and \textit{P. Del Moral}, Stochastic Anal. Appl. 37, No. 5, 717--748 (2019; Zbl 07098089) Full Text: DOI
Zhang, Shao-Qin On invariant probability measures of regime-switching diffusion processes with singular drifts. (English) Zbl 07096795 J. Math. Anal. Appl. 478, No. 2, 655-688 (2019). MSC: 60 35 PDF BibTeX XML Cite \textit{S.-Q. Zhang}, J. Math. Anal. Appl. 478, No. 2, 655--688 (2019; Zbl 07096795) Full Text: DOI
Belhaj Ali, Soumaya Dirichlet parabolic problems involving Schrödinger type operators with unbounded diffusion and singular potential terms in unbounded domains. (English) Zbl 07076905 Result. Math. 74, No. 3, Paper No. 98, 27 p. (2019). MSC: 47D06 35J75 35K67 34G10 34B05 PDF BibTeX XML Cite \textit{S. Belhaj Ali}, Result. Math. 74, No. 3, Paper No. 98, 27 p. (2019; Zbl 07076905) Full Text: DOI
Christensen, Sören; Crocce, Fabián; Mordecki, Ernesto; Salminen, Paavo On optimal stopping of multidimensional diffusions. (English) Zbl 07074619 Stochastic Processes Appl. 129, No. 7, 2561-2581 (2019). MSC: 60G40 62L15 PDF BibTeX XML Cite \textit{S. Christensen} et al., Stochastic Processes Appl. 129, No. 7, 2561--2581 (2019; Zbl 07074619) Full Text: DOI
Bhamidi, Shankar; Budhiraja, Amarjit; Wu, Ruoyu Weakly interacting particle systems on inhomogeneous random graphs. (English) Zbl 07074604 Stochastic Processes Appl. 129, No. 6, 2174-2206 (2019). MSC: 60C05 05C80 60F05 60K35 PDF BibTeX XML Cite \textit{S. Bhamidi} et al., Stochastic Processes Appl. 129, No. 6, 2174--2206 (2019; Zbl 07074604) Full Text: DOI arXiv
Karatzas, Ioannis; Yan, Minghan Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. (English) Zbl 07074596 Stochastic Processes Appl. 129, No. 6, 1921-1963 (2019). MSC: 60 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{M. Yan}, Stochastic Processes Appl. 129, No. 6, 1921--1963 (2019; Zbl 07074596) Full Text: DOI arXiv
Cuchiero, Christa Polynomial processes in stochastic portfolio theory. (English) Zbl 1426.91243 Stochastic Processes Appl. 129, No. 5, 1829-1872 (2019). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{C. Cuchiero}, Stochastic Processes Appl. 129, No. 5, 1829--1872 (2019; Zbl 1426.91243) Full Text: DOI arXiv
Jaber, Eduardo Abi; Bouchard, Bruno; Illand, Camille Stochastic invariance of closed sets with non-Lipschitz coefficients. (English) Zbl 07074438 Stochastic Processes Appl. 129, No. 5, 1726-1748 (2019). MSC: 60H10 60J25 93E03 60J60 PDF BibTeX XML Cite \textit{E. A. Jaber} et al., Stochastic Processes Appl. 129, No. 5, 1726--1748 (2019; Zbl 07074438) Full Text: DOI
Benaïm, Michel; Bréhier, Charles-Edouard Convergence analysis of adaptive biasing potential methods for diffusion processes. (English) Zbl 1422.60131 Commun. Math. Sci. 17, No. 1, 81-130 (2019). MSC: 60J60 60J22 PDF BibTeX XML Cite \textit{M. Benaïm} and \textit{C.-E. Bréhier}, Commun. Math. Sci. 17, No. 1, 81--130 (2019; Zbl 1422.60131) Full Text: DOI arXiv
Guo, Weiwei; Li, Lingfei Parametric inference for discretely observed subordinate diffusions. (English) Zbl 1419.62210 Stat. Inference Stoch. Process. 22, No. 1, 77-110 (2019). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M05 62M15 62N02 60J60 62F03 PDF BibTeX XML Cite \textit{W. Guo} and \textit{L. Li}, Stat. Inference Stoch. Process. 22, No. 1, 77--110 (2019; Zbl 1419.62210) Full Text: DOI arXiv
Alonso, Ricardo Emergence of exponentially weighted \(L^p\)-norms and Sobolev regularity for the Boltzmann equation. (English) Zbl 07060030 Commun. Partial Differ. Equations 44, No. 5, 416-446 (2019). MSC: 35 PDF BibTeX XML Cite \textit{R. Alonso}, Commun. Partial Differ. Equations 44, No. 5, 416--446 (2019; Zbl 07060030) Full Text: DOI
Belhaj Ali, Soumaya Elliptic operators with unbounded diffusion and singular lower order terms in \(L^p\)-spaces. (English) Zbl 07058158 Semigroup Forum 98, No. 3, 499-520 (2019). MSC: 47A 47B 47H PDF BibTeX XML Cite \textit{S. Belhaj Ali}, Semigroup Forum 98, No. 3, 499--520 (2019; Zbl 07058158) Full Text: DOI
Maroulas, Vasileios; Pan, Xiaoyang; Xiong, Jie Statistical inference for the intensity in a partially observed jump diffusion. (English) Zbl 1418.62289 J. Math. Anal. Appl. 472, No. 1, 1-10 (2019). Reviewer: Andreas N. Philippou (Patras) MSC: 62M05 60J75 60F10 60G35 62F12 93E24 PDF BibTeX XML Cite \textit{V. Maroulas} et al., J. Math. Anal. Appl. 472, No. 1, 1--10 (2019; Zbl 1418.62289) Full Text: DOI
Bansaye, Vincent; Caballero, Maria-Emilia; Méléard, Sylvie Scaling limits of population and evolution processes in random environment. (English) Zbl 07055657 Electron. J. Probab. 24, Paper No. 19, 38 p. (2019). MSC: 60J27 60J75 60F15 60F05 60F10 92D25 PDF BibTeX XML Cite \textit{V. Bansaye} et al., Electron. J. Probab. 24, Paper No. 19, 38 p. (2019; Zbl 07055657) Full Text: DOI Euclid
Habermann, Karen Small-time fluctuations for the bridge in a model class of hypoelliptic diffusions of weak Hörmander type. (English) Zbl 1419.35009 Electron. J. Probab. 24, Paper No. 11, 19 p. (2019). Reviewer: Sergey G. Pyatkov (Khanty-Mansiysk) MSC: 35H10 60F05 60J60 PDF BibTeX XML Cite \textit{K. Habermann}, Electron. J. Probab. 24, Paper No. 11, 19 p. (2019; Zbl 1419.35009) Full Text: DOI Euclid
Ferrari, Giorgio On a class of singular stochastic control problems for reflected diffusions. (English) Zbl 1415.93291 J. Math. Anal. Appl. 473, No. 2, 952-979 (2019). MSC: 93E20 60G40 PDF BibTeX XML Cite \textit{G. Ferrari}, J. Math. Anal. Appl. 473, No. 2, 952--979 (2019; Zbl 1415.93291) Full Text: DOI arXiv
Cénac, Peggy; Le Ny, Arnaud; de Loynes, Basile; Offret, Yoann Persistent random walks. II. Functional scaling limits. (English) Zbl 07051781 J. Theor. Probab. 32, No. 2, 633-658 (2019). MSC: 60F17 60G50 60G17 60J05 60G22 60K20 PDF BibTeX XML Cite \textit{P. Cénac} et al., J. Theor. Probab. 32, No. 2, 633--658 (2019; Zbl 07051781) Full Text: DOI
Eberle, Andreas; Guillin, Arnaud; Zimmer, Raphael Quantitative Harris-type theorems for diffusions and McKean-Vlasov processes. (English) Zbl 07051080 Trans. Am. Math. Soc. 371, No. 10, 7135-7173 (2019). MSC: 60J60 60H10 PDF BibTeX XML Cite \textit{A. Eberle} et al., Trans. Am. Math. Soc. 371, No. 10, 7135--7173 (2019; Zbl 07051080) Full Text: DOI arXiv
Li, Liping; Ying, Jiangang On symmetric linear diffusions. (English) Zbl 1426.31012 Trans. Am. Math. Soc. 371, No. 8, 5841-5874 (2019). Reviewer: Ze-Chun Hu (Chengdu) MSC: 31C25 60J60 PDF BibTeX XML Cite \textit{L. Li} and \textit{J. Ying}, Trans. Am. Math. Soc. 371, No. 8, 5841--5874 (2019; Zbl 1426.31012) Full Text: DOI
Arapostathis, Ari; Caffarelli, Luis; Pang, Guodong; Zheng, Yi Ergodic control of a class of jump diffusions with finite Lévy measures and rough kernels. (English) Zbl 1415.93288 SIAM J. Control Optim. 57, No. 2, 1516-1540 (2019). MSC: 93E20 60J75 35Q93 60J60 93E15 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., SIAM J. Control Optim. 57, No. 2, 1516--1540 (2019; Zbl 1415.93288) Full Text: DOI arXiv
Yang, Nian; Chen, Nan; Wan, Xiangwei A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (English) Zbl 1452.62607 J. Econom. 209, No. 2, 256-288 (2019). MSC: 62M05 60J60 62F12 62P05 PDF BibTeX XML Cite \textit{N. Yang} et al., J. Econom. 209, No. 2, 256--288 (2019; Zbl 1452.62607) Full Text: DOI
Üstünel, A. S. Martingale representation for degenerate diffusions. (English) Zbl 1422.60136 J. Funct. Anal. 276, No. 11, 3468-3483 (2019). MSC: 60J60 35R60 60G44 PDF BibTeX XML Cite \textit{A. S. Üstünel}, J. Funct. Anal. 276, No. 11, 3468--3483 (2019; Zbl 1422.60136) Full Text: DOI
Bishop, A. N.; Del Moral, P.; Kamatani, K.; Rémillard, B. On one-dimensional Riccati diffusions. (English) Zbl 07047446 Ann. Appl. Probab. 29, No. 2, 1127-1187 (2019). MSC: 60H10 60G52 93E11 60G99 PDF BibTeX XML Cite \textit{A. N. Bishop} et al., Ann. Appl. Probab. 29, No. 2, 1127--1187 (2019; Zbl 07047446) Full Text: DOI Euclid
Baños, D. R.; Cordoni, F.; Di Nunno, G.; Di Persio, L.; Røse, E. E. Stochastic systems with memory and jumps. (English) Zbl 1412.34228 J. Differ. Equations 266, No. 9, 5772-5820 (2019). MSC: 34K50 60H07 PDF BibTeX XML Cite \textit{D. R. Baños} et al., J. Differ. Equations 266, No. 9, 5772--5820 (2019; Zbl 1412.34228) Full Text: DOI
Yan, Jun Dependence of eigenvalues on the diffusion operators with random jumps from the boundary. (English) Zbl 1415.34052 J. Differ. Equations 266, No. 9, 5532-5565 (2019). MSC: 34B09 34L15 47A75 60J60 34L10 PDF BibTeX XML Cite \textit{J. Yan}, J. Differ. Equations 266, No. 9, 5532--5565 (2019; Zbl 1415.34052) Full Text: DOI
Wang, Andi Q.; Kolb, Martin; Roberts, Gareth O.; Steinsaltz, David Theoretical properties of quasi-stationary Monte Carlo methods. (English) Zbl 1408.60072 Ann. Appl. Probab. 29, No. 1, 434-457 (2019). MSC: 60J60 65C05 60J70 PDF BibTeX XML Cite \textit{A. Q. Wang} et al., Ann. Appl. Probab. 29, No. 1, 434--457 (2019; Zbl 1408.60072) Full Text: DOI Euclid arXiv
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf Rate control under heavy traffic with strategic servers. (English) Zbl 1409.60131 Ann. Appl. Probab. 29, No. 1, 1-35 (2019). MSC: 60K25 91A13 60K35 93E20 60H30 60F17 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Ann. Appl. Probab. 29, No. 1, 1--35 (2019; Zbl 1409.60131) Full Text: DOI Euclid arXiv
Löcherbach, E. Large deviations for cascades of diffusions arising in oscillating systems of interacting Hawkes processes. (English) Zbl 1442.60046 J. Theor. Probab. 32, No. 1, 131-162 (2019). MSC: 60G17 60G55 60J60 60F10 PDF BibTeX XML Cite \textit{E. Löcherbach}, J. Theor. Probab. 32, No. 1, 131--162 (2019; Zbl 1442.60046) Full Text: DOI
Dareiotis, Konstantinos; Ekström, Erik Density symmetries for a class of 2-D diffusions with applications to finance. (English) Zbl 1403.60046 Stochastic Processes Appl. 129, No. 2, 452-472 (2019). MSC: 60H10 91G30 PDF BibTeX XML Cite \textit{K. Dareiotis} and \textit{E. Ekström}, Stochastic Processes Appl. 129, No. 2, 452--472 (2019; Zbl 1403.60046) Full Text: DOI arXiv
Ernst, Philip A.; Kendall, Wilfrid S.; Roberts, Gareth O.; Rosenthal, Jeffrey S. MEXIT: maximal un-coupling times for stochastic processes. (English) Zbl 1403.60062 Stochastic Processes Appl. 129, No. 2, 355-380 (2019). MSC: 60J10 60K35 PDF BibTeX XML Cite \textit{P. A. Ernst} et al., Stochastic Processes Appl. 129, No. 2, 355--380 (2019; Zbl 1403.60062) Full Text: DOI
Reisinger, C. The non-locality of Markov chain approximations to two-dimensional diffusions. (English) Zbl 07316136 Math. Comput. Simul. 143, 176-185 (2018). MSC: 65 93 PDF BibTeX XML Cite \textit{C. Reisinger}, Math. Comput. Simul. 143, 176--185 (2018; Zbl 07316136) Full Text: DOI
Champagnat, Nicolas; Coulibaly-Pasquier, Koléhè Abdoulaye; Villemonais, Denis Criteria for exponential convergence to quasi-stationary distributions and applications to multi-dimensional diffusions. (English) Zbl 1452.60050 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLIX. Cham: Springer. Lect. Notes Math. 2215, 165-182 (2018). MSC: 60J60 58J65 60J76 PDF BibTeX XML Cite \textit{N. Champagnat} et al., Lect. Notes Math. 2215, 165--182 (2018; Zbl 1452.60050) Full Text: DOI
De Gregorio, Alessandro Stochastic models associated to a nonlocal porous medium equation. (English) Zbl 1436.60062 Mod. Stoch., Theory Appl. 5, No. 4, 457-470 (2018). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 60H15 60G22 76S05 35K59 76M35 PDF BibTeX XML Cite \textit{A. De Gregorio}, Mod. Stoch., Theory Appl. 5, No. 4, 457--470 (2018; Zbl 1436.60062) Full Text: DOI arXiv
Bou-Rabee, Nawaf; Vanden-Eijnden, Eric Continuous-time random walks for the numerical solution of stochastic differential equations. (English) Zbl 1437.65002 Memoirs of the American Mathematical Society 1228. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-3181-5/pbk; 978-1-4704-4919-3/ebook). v, 124 p. (2018). Reviewer: Melvin D. Lax (Long Beach) MSC: 65-02 65C30 60H10 60J25 60J74 PDF BibTeX XML Cite \textit{N. Bou-Rabee} and \textit{E. Vanden-Eijnden}, Continuous-time random walks for the numerical solution of stochastic differential equations. Providence, RI: American Mathematical Society (AMS) (2018; Zbl 1437.65002) Full Text: DOI
Gailus, Siragan; Spiliopoulos, Konstantinos Discrete-time statistical inference for multiscale diffusions. (English) Zbl 1420.60035 Multiscale Model. Simul. 16, No. 4, 1824-1858 (2018). MSC: 60F05 60G25 60J60 62M02 62M05 PDF BibTeX XML Cite \textit{S. Gailus} and \textit{K. Spiliopoulos}, Multiscale Model. Simul. 16, No. 4, 1824--1858 (2018; Zbl 1420.60035) Full Text: DOI arXiv
Toscani, Giuseppe A Rosenau-type approach to the approximation of the linear Fokker-Planck equation. (English) Zbl 1405.65100 Kinet. Relat. Models 11, No. 4, 697-714 (2018). MSC: 65M06 65M12 82C40 82C80 82C31 35Q84 82D10 PDF BibTeX XML Cite \textit{G. Toscani}, Kinet. Relat. Models 11, No. 4, 697--714 (2018; Zbl 1405.65100) Full Text: DOI
Champagnat, Nicolas; Villemonais, Denis Uniform convergence of penalized time-inhomogeneous Markov processes. (English) Zbl 1405.60004 ESAIM, Probab. Stat. 22, 129-162 (2018). MSC: 60B10 60F99 60J57 37A25 PDF BibTeX XML Cite \textit{N. Champagnat} and \textit{D. Villemonais}, ESAIM, Probab. Stat. 22, 129--162 (2018; Zbl 1405.60004) Full Text: DOI
Gubinelli, Massimiliano; Perkowski, Nicolas Probabilistic approach to the stochastic Burgers equation. (English) Zbl 1405.35262 Eberle, Andreas (ed.) et al., Stochastic partial differential equations and related fields. In honor of Michael Röckner, SPDERF, Bielefeld, Germany, October 10–14, 2016. Cham: Springer (ISBN 978-3-319-74928-0/hbk; 978-3-319-74929-7/ebook). Springer Proceedings in Mathematics & Statistics 229, 515-527 (2018). MSC: 35R60 35Q53 PDF BibTeX XML Cite \textit{M. Gubinelli} and \textit{N. Perkowski}, in: Stochastic partial differential equations and related fields. In honor of Michael Röckner, SPDERF, Bielefeld, Germany, October 10--14, 2016. Cham: Springer. 515--527 (2018; Zbl 1405.35262) Full Text: DOI arXiv
Elworthy, K. D. Generalised Weitzenböck formulae for differential operators in Hörmander form. (English) Zbl 1405.58016 Eberle, Andreas (ed.) et al., Stochastic partial differential equations and related fields. In honor of Michael Röckner, SPDERF, Bielefeld, Germany, October 10–14, 2016. Cham: Springer (ISBN 978-3-319-74928-0/hbk; 978-3-319-74929-7/ebook). Springer Proceedings in Mathematics & Statistics 229, 319-331 (2018). MSC: 58J65 60G35 60H30 60J60 93E11 53C17 PDF BibTeX XML Cite \textit{K. D. Elworthy}, in: Stochastic partial differential equations and related fields. In honor of Michael Röckner, SPDERF, Bielefeld, Germany, October 10--14, 2016. Cham: Springer. 319--331 (2018; Zbl 1405.58016) Full Text: DOI
Giles, Michael B.; Bernal, Francisco Multilevel estimation of expected exit times and other functionals of stopped diffusions. (English) Zbl 1405.60076 SIAM/ASA J. Uncertain. Quantif. 6, 1454-1474 (2018). MSC: 60H10 60H35 65C05 65C20 65C30 PDF BibTeX XML Cite \textit{M. B. Giles} and \textit{F. Bernal}, SIAM/ASA J. Uncertain. Quantif. 6, 1454--1474 (2018; Zbl 1405.60076) Full Text: DOI arXiv
Polunchenko, Aleksey S.; Pepelyshev, Andrey Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval. (English) Zbl 1408.60070 Stat. Pap. 59, No. 4, 1351-1377 (2018). MSC: 60J60 60J25 PDF BibTeX XML Cite \textit{A. S. Polunchenko} and \textit{A. Pepelyshev}, Stat. Pap. 59, No. 4, 1351--1377 (2018; Zbl 1408.60070) Full Text: DOI