搜索结果: 1-14 共查到“概率论 diffusion”相关记录14条 . 查询时间(0.078 秒)
Branching diffusion in the super-critical regime
Branching diffusion the super-critical regime Probability
2012/7/11
We investigate the long-time evolution of branching diffusion processes (starting with a single particle) in inhomogeneous media. The qualitative behavior of the processes depends on the intensity of ...
Gradient estimates for porous medium and fast diffusion equations via FBSDE approach
Gradient estimates porous medium fast diffusion equations FBSDE approach Probability
2012/6/27
In this paper, we establish several gradient estimates for the positive solution of Porous Medium Equations (PMEs) and Fast Diffusion Equations (FDEs). Our proof is probabilistic and uses martingale t...
Bifurcations of stochastic differential equations with singular diffusion coefficients
bifurcations noise universal unfolding stochastic stability (quasi)-stationary distributions normal forms
2012/5/9
In this article, we address the dynamics and bifurcations of a wide class of stochastic differential equations around singular points where both the drift and diffusion functions vanish. We apply thes...
Extensions of diffusion processes on intervals and Feller's boundary conditions
Extensions of diffusion processes intervals Feller's boundary conditions Probability
2012/4/17
For a minimal diffusion process on $ (a,b) $, any possible extension of it to a standard process on $ [a,b] $ is characterized by the characteristic measures of excursions away from the boundary point...
Homogenization of a stochastic nonlinear reaction-diffusion equation with a large reaction term: the almost periodic framework
Stochastic Homogenization Almost Periodic Stochastic Reaction-Diffusion Equations Wiener Process
2011/9/21
Abstract: Homogenization of a stochastic nonlinear reaction-diffusion equation with a large non- linear term is considered. Under a general Besicovitch almost periodicity assumption on the coefficient...
Sensitivity analysis for diffusion processes constrained to an orthant
Sensitivity analysis diffusion processes Probability
2011/9/8
Abstract: This paper studies diffusion processes constrained to the positive orthant, and investigates changes in the steady-state distribution of such diffusions under infinitesimal changes in the dr...
A branching diffusion model of selection: from the neutral Wright-Fisher case to the one including mutations
Diffusions Doob transform killing, branching quasi-stationarity Wright-Fisher model neutral or with mutation selection
2011/10/8
Abstract: We consider diffusion processes x_{t} on the unit interval. Doob-transformation techniques consist of a selection of x_{t}-paths procedure. The law of the transformed process is the one of a...
Branching diffusion in inhomogeneous media
Branching diffusion inhomogeneous media Probability
2011/8/26
Abstract: We investigate the long-time evolution of branching diffusion processes (starting with a finite number of particles) in inhomogeneous media. The qualitative behavior of the processes depends...
Derivative Formula and Applications for Degenerate Diffusion Semigroups
Derivative formula Gradient estimate Harnack inequality Stochastic differential equation
2011/8/22
Abstract: By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As appli...
From a kinetic equation to a diffusion under an anomalous scaling
Anomalous thermal conductivity kinetic limit invariance principle
2011/8/23
Abstract: A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process (K(t), i(t), Y(t)), where (K(t), i(t)) is an autonomous reversible jump pro...
Behaviour near extinction for the Fast Diffusion Equation on bounded domains
Nonlinear evolution singular parabolic fast di usion Harnack asymptotics
2011/1/18
We consider the Fast Di usion Equation ut = um posed in a bounded smooth domain
Rd with homogeneous Dirichlet conditions; the exponent range is ms = (d 2)+=(d + 2) < m < 1.It is known...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Jump-diffusion modeling in emission markets
stochastic modeling for emission trading environmental finance risk-neutral pricing market equilibrium jump-diffusion models
2010/4/27
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Construction of an isotropic cellular automaton for a reaction-diffusion equation by means of a random walk
reaction-diffusion equation random walk
2010/4/1
We propose a new method to construct an isotropic cellular automaton corresponding to a reaction-diffusion equation. The method consists of replacing the diffusion term and the reaction term of the re...