Eigenvalue inequalities for the Markov diffusion operator

2017 ◽  
Vol 185 (2) ◽  
pp. 207-230 ◽  
Author(s):  
Feng Du ◽  
Qiaoling Wang ◽  
Levi Adriano ◽  
Rosane Gomes Pereira
Keyword(s):  
Diffusion Operator ◽  
Markov Diffusion

Discounted robust control for Markov diffusion processes

Top ◽  
2014 ◽  
Vol 23 (1) ◽  
pp. 53-76 ◽  
Author(s):  
José Daniel López-Barrientos ◽  
Héctor Jasso-Fuentes ◽  
Beatris Adriana Escobedo-Trujillo
Keyword(s):  
Robust Control ◽  
Diffusion Processes ◽  
Markov Diffusion

Determination of an impulsive diffusion operator from interior spectral data

Analysis ◽  
2020 ◽  
Vol 40 (1) ◽  
pp. 39-45
Author(s):  
Yasser Khalili ◽  
Dumitru Baleanu
Keyword(s):  
Inverse Problem ◽  
Spectral Data ◽  
Potential Functions ◽  
Half Line ◽  
Internal Point ◽  
Diffusion Operator ◽  
Impulsive Diffusion

AbstractIn the present work, the interior spectral data is used to investigate the inverse problem for a diffusion operator with an impulse on the half line. We show that the potential functions {q_{0}(x)} and {q_{1}(x)} can be uniquely established by taking a set of values of the eigenfunctions at some internal point and one spectrum.

Sharp Analytical Lower Bounds for the Price of a Convertible Bond

2018 ◽  
Keyword(s):  
Finite Difference ◽  
Lower Bounds ◽  
Diffusion Models ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Model Parameters ◽  
Analytical Approximations ◽  
Markov Diffusion

Analytical approximations for the price of a convertible bond within defaultable Markov diffusion models are derived in this article. Because convertible bond pricing requires time-consuming finite difference or tree pricing methods in general, such proxy formulas can help to calibrate model parameters more efficiently. The derivation is based on the idea of “Europeanizing” the American conversion option of the holder. Hence, the quality of the approximations stands and falls with the value of the early conversion premium. In practice, the latter is typically close to zero, which implies that the analytical lower bounds are incredibly sharp.

A Segal-Langevin Type Stochastic Differential Equation on a Space Of Generalized Functionals

1992 ◽  
Vol 44 (3) ◽  
pp. 524-552 ◽  
Author(s):  
Gopinath Kallianpur ◽  
Itaru Mitoma
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Linear Functional ◽  
Adjoint Operator ◽  
Solution Process ◽  
Weak Form ◽  
Diffusion Operator ◽  
The Central Limit Theorem ◽  
Spatially Extended ◽  
Image Position

AbstractLet E′ be the dual of a nuclear Fréchet space E and L*(t) the adjoint operator of a diffusion operator L(t) of infinitely many variables, which has a formal expression:A weak form of the stochastic differential equationdX(t) = dW(t) + L*(t)X(t)dtis introduced and the existence of a unique solution is established. The solution process is a random linear functional (in the sense of I. E. Segal) on a space of generalized functionals on E′. The above is an appropriate model for the central limit theorem for an interacting system of spatially extended neurons. Applications to the latter problem are discussed.

scholarly journals Blow up and globality of solutions for a nonautonomous semilinear heat equation with Dirichlet condition

2019 ◽  
Vol 53 (1) ◽  
pp. 57-72
Author(s):  
Marcos Josías Ceballos-Lira ◽  
Aroldo Pérez
Keyword(s):  
Global Existence ◽  
Heat Equation ◽  
Mild Solution ◽  
Blow Up ◽  
Local Existence ◽  
Dirichlet Condition ◽  
Infinite Time ◽  
Diffusion Operator ◽  
Intrinsic Ultracontractivity ◽  
Semilinear Heat Equation

In this paper we prove the local existence of a nonnegative mild solution for a nonautonomous semilinear heat equation with Dirichlet condition, and give sucient conditions for the globality and for the blow up infinite time of the mild solution. Our approach for the global existence goes back to the Weissler's technique and for the nite time blow up we uses the intrinsic ultracontractivity property of the semigroup generated by the diffusion operator.

scholarly journals Sub-gradient diffusion operator

2017 ◽  
Vol 262 (7) ◽  
pp. 3837-3863 ◽  
Author(s):  
Noureddine Igbida ◽  
Thi Nguyet Nga Ta
Keyword(s):  
Diffusion Operator ◽  
Gradient Diffusion
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