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

zbMATH Keywords

stochastic volatilityMarkov processesdegenerate processesmathematical modellingapplied mathematicsbounded diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (2)

Piecewise-tunneled captive processes and corridored random particle systems ⋮ On a family of coupled diffusions that can never change their initial order

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