Transformations of diffusions with jumps

The paper deals with some transformations of diffusions with jumps. We consider the class of diffusions with jumps that is closed with respect to composition with invertible, twice continuously differentiable functions. A special random time change gives us again a diffusion with jumps. A result on transformation of a measure is valid for this class of diffusions with jumps. Bibliographty: 6 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 351, 2007, pp. 79–100.     

Forward equations for reflected diffusions with jumps

In this paper we obtain the forward equations associated with the evolution of the density, if it exists, of reflected diffusions on the positive orthant with jumps which form a marked point process whose random jump measure possesses a stochastic intensity. These results generalize the so-called generalized Dynkin equations for piecewise deterministic jump processes due to Davis. We then consider the stationary case where the existence of a stochastic intensity is not needed. The techniques are based on local times and the use of random jump measures. We discuss the application of these results to problems arising in queuing and storage processes as well as stationary distributions of diffusions with delayed and jump reflections at the origin.This research was supported in part by the Quebec-France Cooperative Research Program and by the Natural Sciences and Engineering Research Council of Canada under Grant OGP 0042024.     

Distribution of functionals of bridges for diffusions with jumps

The paper deals with a method of calculation of distributions for functionals of bridges of a process which is a generalization of a diffusion with jumps. The approach to calculation of distributions for integral functionals of bridges is the same as for the diffusion itself. This approach is based on calculation of the Laplace transform of distributions of the integral functionals. Bibliography: 4 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 341, 2007, pp. 34–47.     

Distributions of functionals of diffusions with jumps

The paper deals with methods of computing the distributions of functionals of a process that is a diffusion with jumps occurring according to a compound Poisson process. For symmetric processes, some exact formulas for distributions related to the first exit time are derived. Bibliography: 6 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 328, 2005, pp. 27–41.     

Distributions of functionals of diffusions with jumps

The paper deals with a generalization of diffusion with jumps. One of the main points is that values of jumps depend on positions of the diffusion before the jump. The next generalization concerns moments of jumps. These moments occur in accordance with the compound Poisson process or with jumping moments constructed by inverse integral functionals of the diffusion. Bibliography: 8 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 339, 2006, pp. 15–36.     

Ergodic control of reflected diffusions with jumps

We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first-order-type jump density. The controlled process is generated via a Girsanov change of probability, and a long-run average criterion is optimized. An optimal stationary feedback is constructed by means of the Hamilton-Jacobi-Bellman equation.     

Optimal impulse control problems for degenerate diffusions with jumps

Optimal stopping and impulse control problems for degenerate diffusion with jumps are studied in this paper. Lipschitzian coefficients for the diffusion process, data with polynomial growth, and evolution in the whole space are the main assumptions on the models. Several characterizations of the optimal cost functions are given. Existence of optimal policies is obtained.This research has been supported in part by Army Research Office Contract DAAG29-83-K-0014 and by National Science Foundation Grant DMS-8601998.     

On mixed problem for parabolic variational inequalities

Summary We give an existence-uniqueness result for the parabolic variational inequality (1.3) and we apply this result to mixed problem for parabolic variational inequalities and to parabolic quasi-variational inequalities with constraints on the boundary.

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Sunto. Si dà un risultato di esistenza ed unicità per la disequazione variazionale parabolica (1.3) e si applica tale risultato al problema misto per disequazioni variazionali paraboliche e a disequazioni quasi variazionali paraboliche con vincolo sulla frontiera.

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Entrata in Redazione il 7 giugno 1976.

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Politecnico di Milano, Istituto di Matematica (Analisi); lavoro eseguito nell'ambito del gruppo G.N.A.F.A. del C.N.R.     

Stochastic variational inequalities with jumps

This work is devoted to the study of a stochastic variational inequality with a Wiener–Poisson driving term. Existence and uniqueness are proven for Lipschitz coefficients and under general conditions for the unbounded term. One of the main tools used in order to obtain the existence result is a penalization method involving Moreau–Yosida regularization.     

Transportation cost inequalities for Wasserstein diffusions

In this work we establish some types of transportation cost inequalities for two kinds of probability measure-valued processes: Wasserstein diffusions and Fleming–Viot processes. Besides, we prove that the Fleming–Viot processes generally don?t satisfy the super Poincaré inequalities.     

Transportation inequalities for stochastic differential equations with jumps

For stochastic differential equations with jumps, we prove that _W1H$W_{1}H$ transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L¹$L^1$-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given.     

Distributions of the location of maximuma and minimuma for diffusions with jumps

The paper deals with methods of computation of distributions of location for maxima and minima for diffusions with jumps. As an example, we obtain explicit formulas for distributions of location for the maximum of the process which is equal to the sum of a Brownian motion and the compound Poisson process. Bibliography: 8 titles.     

Ergodic behavior of diffusions with random jumps from the boundary

We consider a diffusion process on D⊂R^d$D\subset {\mathbb{R}}^d$, which upon hitting ∂D$\partial D$, is redistributed in D$D$ according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space.     

On double degenerate quasilinear parabolic variational inequalities

We deal with the existence of weak solutions of double degenerate quasilinear parabolic inequalities with a Signorini-Dirichlet-Neumann type mixed boundary condition, which may degenerate in certain subset of the boundary or on a segment in the interior of the domain and in time. The main tools in our study are the maximM monotone property of the derivative operator with zero-initial valued conditions and the theory of pseudomonotone perturbations of maximal monotone mappings.     

Asymptotic expansions of solutions for parabolic systems associated with transient switching diffusions

This work develops asymptotic properties for a parabolic system with two-time scales associated with a transient switching diffusion. Although the problem is motivated by stochastic systems, the techniques that we are using are purely analytic. Asymptotic expansions are constructed; their validity is justified.     

Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions

This work develops asymptotic expansions of systems of partial differential equations associated with multi-scale switching diffusions. The switching process is modeled by using an inhomogeneous continuous-time Markov chain. In the model, there are two small parameters ε and δ. The first one highlights the fast switching, whereas the other delineates the slow diffusion. Assuming that ε and δ are related in that ε = δ ^γ , our results reveal that different values of γ lead to different behaviors of the underlying systems, resulting in different asymptotic expansions. Although our motivation comes from stochastic problems, the approach is mainly analytic and is constructive. The asymptotic series are rigorously justified with error bounds provided. An example is provided to demonstrate the results.