Captive diffusions and their applications to order-preserving dynamics
DOI10.1098/rspa.2020.0294zbMath1472.82027OpenAlexW3090738601MaRDI QIDQ5161083
Levent Ali Mengütürk, Murat Cahit Mengütürk
Publication date: 29 October 2021
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2020.0294
stochastic volatilityMarkov processesdegenerate processesmathematical modellingapplied mathematicsbounded diffusions
Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nonintersecting Brownian motions on the unit circle
- Valuing foreign exchange rate derivatives with a bounded exchange process
- Determinantal martingales and noncolliding diffusion processes
- Large systems of diffusions interacting through their ranks
- Boundary sensitivities for diffusion processes in time dependent domains
- Itô's excursion theory and its applications
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Stochastic differential equations with reflecting boundary condition in convex regions
- Wishart processes
- Functionals of Brownian meander and Brownian excursion
- A note on Euler's approximations
- Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
- Control and stopping of a diffusion process on an interval
- Option pricing in the presence of natural boundaries and a quadratic diffusion term
- A survey and some generalizations of Bessel processes
- Lenses in skew Brownian flow
- Weak approximation of killed diffusion using Euler schemes.
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Gaussian random bridges and a geometric model for information equilibrium
- One-dimensional Brownian particle systems with rank-dependent drifts
- Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures
- Brownian Gibbs property for Airy line ensembles
- Bismut-Elworthy's formula and random walk representation for SDEs with reflection
- Concentration of measure for Brownian particle systems interacting through their ranks
- A. Skorohod's stochastic integral equation for a reflecting barrier diffusion
- Multi-dimensional diffusion and the Markov process on the boundary
- An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
- Steady-state analysis of RBM in a rectangle: Numerical methods and a queueing application
- A Theory of the Term Structure of Interest Rates
- RANDOM MATRIX MINOR PROCESSES RELATED TO PERCOLATION THEORY
- Principal component analysis: a review and recent developments
- Finite-time stochastic reduction models
- INFORMATION-BASED ASSET PRICING
- Stochastic differential equations with reflecting boundary conditions
- A Brownian-Motion Model for the Eigenvalues of a Random Matrix
- On the Distribution of Multidimensional Reflected Brownian Motion
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- Bounding the Spectral Gap for an Elliptic Eigenvalue Problem with Uniformly Bounded Stochastic Coefficients
- Stochastic Processes and Applications
- Stochastic Equations for Diffusion Processes in a Bounded Region. II
- Dequantization of the Dirac monopole
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Captive diffusions and their applications to order-preserving dynamics