In this note we use the boundary classification of diffusions in order to derive a criterion for the convergence of perpetual integral functionals of transient real-valued diffusions. We present a second approach, based on Khas’minskii’s lemma, which is applicable also to spectrally negative Lévy processes. In the particular case of transient Bessel processes, our criterion agrees with the one ...

Asset returns have been modeled in continuous time as diffusions by Black and Scholes (1973) and Merton (1973), as pure jump processes by Cox and Ross (1976), and as jump-diffusions by Merton (1976). The jump processes studied by Cox and Ross display finite activity, while some recent research has considered some pure jump processes with infinite activity. Two examples of these infinite-activit...

Abstract We carry out a complete study on the relationship between Cox processes driven by interacting Feller diffusions and death sequences of immigration–emigration linked population networks. It is first proved that the Cox process driven by a Feller diffusion is equivalent to the death sequence of a birth and death process. The conclusion is then generalized to the case of Cox processes dri...

In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the proof of optimality through quasi-variational inequalities. The direct method uses a general theory of optimal stopping problems for one-dimensional diffusions ...

We discuss a family of time-reversible, scale-invariant diffusions with singular coefficients. In analogy with the standard Gaussian theory, a corresponding family of generalized characteristic functions provides a useful tool for proving limit theorems resulting in non-Gaussian, scale-invariant diffusions. We apply the generalized characteristic functions in combination with a martingale const...

We are interested in inhomogeneous diffusions in which the own law intervenes in the drift. This kind of diffusions corresponds to the hydrodynamical limit of some particle system. One also talks about propagation of chaos. It is well-known, for McKean-Vlasov diffusions, that such a propagation of chaos holds on finite interval. However, it has been proved that the lack of convexity of the exte...

Understanding of tissue growth is in its nature multidisciplinary, since it varies from cancer diagnostics, image processing, fractal analysis to regular and non-regular heat flows. By medical sciences it was requested to better understood the tissue grow relation to mathematical modelling (stochastic geometry, fractal growth, diffusions). It is clear, that deterministic fractal is not an appro...

in this research, the buckling and bending behaviour of smart nanocomposite plate reinforced by single- walled carbon nanotubes (swcnts) under electro-magneto-mechanical loadings is studied. the extended mixture rule approach is used to determine the elastic properties of nanocomposite plate. equilibrium equations of smart nanocomposite plate are derived using the hamilton’s principle based on ...

A construction of W-symmetries is given only in terms of the nonlocal fields (parafermions ψ α), which take values on the homogeneous space G/U (1) r , where G is a simply connected compact Lie group manifold (its accompanying Lie algebra G is a simple one of rank r). Only certain restriction of the root set of Lie algebra on which the parafermionic fields take values are satisfied, then a cons...