substantiation of the averaging method for differential equations with maxima is presented. two theorems on substantiates for differential equations with maxima are established.

Abstract. We study solutions of a class of higher order partial differential equations in bounded domains. These partial differential equations appeared first time in the papers of Baeumer, Meerschaert and Nane [10] and Meerschaert, Nane and Vellaisamy [31], and Nane [36]. We express the solutions by subordinating a killed Markov process by a hitting time of a stable subordinator of index 0 < β...

This contribution presents a —hopefully readable— introduction to Markov Chain Monte Carlo methods with particular emphasis on their combination with ideas from deterministic or stochastic numerical differential equations. Markov Chain Monte Carlo algorithms are widely used in many sciences, including physics, chemistry and statistics; their importance is comparable to those of the Gaussian Eli...

We shortly review the uncoupling-coupling method, a Markov chain Monte Carlo based approach to compute statistical properties of systems like medium-sized biomolecules. This technique has recently been proposed for the efficient computation of biomolecular conformations. One crucial step of UC is the decomposition of reversible nearly uncoupled Markov chains into rapidly mixing subchains. We sh...

In this paper, we study a class of risk-sensitive mean-field stochastic differential games. Under regularity assumptions, we use results from standard risk-sensitive differential game theory to show that the mean-field value of the exponentiated cost functional coincides with the value function of a Hamilton-Jacobi-Bellman-Fleming (HJBF) equation with an additional quadratic term. We provide an...