共查询到20条相似文献,搜索用时 15 毫秒
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We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness of the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. Under the assumption that the first time τ when the moving boundaries touch after time zero is strictly positive, we derive two sets of conditions on the moving boundaries. We show that the variation of the local time of the associated reflected Brownian motion on [0,τ] is finite under the first set of conditions and infinite under the second set of conditions. We also apply these results to study the semimartingale property of a class of two-dimensional reflected Brownian motions. 相似文献
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Adam Bobrowski 《Journal of Evolution Equations》2007,7(3):555-565
Let
be a locally compact Hausdorff space. Let A and B be two generators of Feller semigroups in
with related Feller processes {X
A
(t), t ≥ 0} and {X
B
(t), t ≥ 0} and let α and β be two non-negative continuous functions on
with α + β = 1. Assume that the closure C of C
0 = αA + βB with
generates a Feller semigroup {T
C
(t), t ≥ 0} in
. It is natural to think of a related Feller process {X
C
(t), t ≥ 0} as that evolving according to the following heuristic rules. Conditional on being at a point
, with probability α(p) the process behaves like {X
A
(t), t ≥ 0} and with probability β(p) it behaves like {X
B
(t), t ≥ 0}. We provide an approximation of {T
C
(t), t ≥ 0} via a sequence of semigroups acting in
that supports this interpretation. This work is motivated by the recent model of stochastic gene expression due to Lipniacki
et al. [17]. 相似文献
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Scott N. Armstrong 《Journal of Differential Equations》2009,247(3):931-955
We generalize the Donsker-Varadhan minimax formula for the principal eigenvalue of a uniformly elliptic operator in nondivergence form to the first principal half-eigenvalue of a fully nonlinear operator which is concave (or convex) and positively homogeneous. Examples of such operators include the Bellman operator and the Pucci extremal operators. In the case that the two principal half-eigenvalues are not equal, we show that the measures which achieve the minimum in this formula provide a partial characterization of the solvability of the corresponding Dirichlet problem at resonance. 相似文献
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In this paper we study the existence and structure of the least-energy solutions for a class of singularly perturbed quasilinear elliptic equations. Using the moving plane method and a geometric lemma we show that any least-energy solution develops to a single spike-layer solution on convex domains. 相似文献
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Summary We give an upper bound for the Green functions of conditioned Brownian motion in planar domains. A corollary is the conditional gauge theorem in bounded planar domains.Supported in part by NSF grant DMS-9100244 and an AMS Centennial Fellowship 相似文献
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We prove that the process of the most visited site of Sinai's simple random walk in random environment is transient. The
rate of escape is characterized via an integral criterion. Our method also applies to a class of recurrent diffusion processes
with random potentials. It is interesting to note that the corresponding problem for the usual symmetric Bernoulli walk or
for Brownian motion remains open.
Received: 17 April 1998 相似文献
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Zoran Vondraček 《Probability Theory and Related Fields》1995,101(3):393-407
Summary LetD be a bounded domain inR
d
with regular boundary. LetX=(Xt, Px) be a standard Markov process inD with continuous paths up to its lifetime. IfX satisfies some weak conditions, then it is possible to add a non-local part to its generator, and construct the corresponding standard Markov process inD with Brownian exit distributions fromD.This work was done while the author was an Alexander von Humboldt fellow at the Universität des Saarlandes in Saarbrücken, Germany 相似文献
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A. DeSimone G. Friesecke 《Calculus of Variations and Partial Differential Equations》1996,4(3):293-304
We study the behaviour of sequences of elastic deformationsy
n
n
whose gradients approach two linearized wells, and give an application to magnetostriction.This article was processed by the author using the style filepljour1m from Springer-Verlag. 相似文献
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In this paper we consider a heat equation with nonlinear boundary condition occurring in population genetics, the selection–migration problem for alleles in a region, considering flow of genes throughout the boundary. Such a problem determines a gradient flow in a convenient phase space and then the dynamics for large times depends heavily on the knowledge of the equilibrium solutions. We address the questions of the existence of a nontrivial equilibrium solution and its regularity. 相似文献
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Markov processes Xt on (X, FX) and Yt on (Y, FY) are said to be dual with respect to the function f(x, y) if Exf(Xt, y) = Eyf(x, Yt for all x ? X, y ? Y, t ? 0. It is shown that this duality reverses the role of entrance and exit laws for the processes, and that two previously published results of the authors are dual in precisely this sense. The duality relation for the function f(x, y) = 1{x<y} is established for one-dimensional diffusions, and several new results on entrance and exit laws for diffusions, birth-death processes, and discrete time birth-death chains are obtained. 相似文献
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Wolfgang Woess 《Monatshefte für Mathematik》1995,120(1):55-72
Consider a closed subgroup of the automorphism group of a homogeneous treeT, and assume that acts transitively on the vertex set. Suppose that is a probability measure on which has continuous density with respect to Haar measure and whose support is compact open and generates as a closed semigroup. It is shown that the Martin boundary of with respect to the random walk with law coincides with the space of ends ofT. This extends known results for free groups and applies, for example, to the affine group over a non archimedean local field. 相似文献
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In this article we give the existence results for the quasilinear elliptic problem Δpu=b(x)f(u) in Ω,u(x)→∞ as x→∂Ω, where Ω⊆RN is a domain. 相似文献
17.
The correct valuation of the so-called “correlation products” in the credit risk market such as n-th-to-default swaps or CDOs requires a better understanding of higher dimensional barrier default phenomena. We introduce a reflection principle suited for the pricing of credit derivatives on two securities, paving the way for the development of new methods in the field. For that purpose, we introduce new processes, the distributions of which involve generalized Bessel functions. As an application, we derive a closed formula for second-to-default digital swaps, under the standard Black–Cox hypothesis on the conditions triggering default. 相似文献
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We prove the existence of a weak solution of the Dirichlet problem for a class of elliptic partial differential systems in separable Orlicz–Sobolev spaces. 相似文献
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