Masatoshi Fukushima, Ping He, Jiangang Ying
We extend the classical Douglas integral, which expresses the Dirichlet integral of a harmonic function on the unit disk in terms of its value on boundary, to the case of conservative symmetric diffusion in terms of Feller measure, by using the approach of time change of Markov processes.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
继续探索
This work focuses on a class of regime-switching jump diffusion processes, in which the switching component has countably infinite many states or regimes. The existence and uniqueness of the underlying process are obtained by an interlacing procedure. Then the Feller and strong Feller properties of such processes are derived by the coupling method and an appropriate Radon-Nikodym derivative. Finally the paper studies exponential ergodicity of regime-switching jump-diffusion processes.
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),Λ(t))$, where $Λ(t)$ is a component representing discrete events taking values in a countably infinite set. Considering the corresponding stochastic differential equations, our main focus is on treating those with non-Lipschitz coefficients. We first show that there exists a unique strong solution to the corresponding stochastic differential equation. Then Feller and strong Feller properties are investigated.
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small fluctuations as well as big spikes coexist and are intertwined. The paper provides weak sufficient conditions for Feller and strong Feller properties and irreducibility for such processes. The conditions are presented in terms of the coefficients of the associated stochastic differential equations.
We investigate the existence and uniqueness of strong solutions up to an explosion time for regime-switching diffusion processes in an infinite state space. Instead of concrete conditions on coefficients, our existence and uniqueness result is established under the general assumption that the diffusion in every fixed environment has a unique non-explosive strong solution. Moreover, non-explosion conditions for regime-switching diffusion processes are given. The strong Feller property is proved by further assuming that the diffusion in every fixed environment generates a strong Feller semigroup…
For a minimal diffusion process on $ (a,b) $, any possible extension of it to a standard process on $ [a,b] $ is characterized by the characteristic measures of excursions away from the boundary points $ a $ and $ b $. The generator of the extension is proved to be characterized by Feller's boundary condition.
We establish the existence and pathwise uniqueness of regime-switching diffusion processes in an infinite state space, which could be time-inhomogeneous and state-dependent. Then the strong Feller properties of these processes are investigated by using the theory of parabolic differential equations and dimensional-free Harnack inequalities.
We show that a one-dimensional regular continuous Markov process \(\X\) with scale function \(s\) is a Feller--Dynkin process precisely if the space transformed process \(s (X)\) is a martingale when stopped at the boundaries of its state space. As a consequence, the Feller--Dynkin and the martingale property are equivalent for regular diffusions on natural scale with open state space. By means of a counterexample, we also show that this equivalence fails for multi-dimensional diffusions. Moreover, for Itô diffusions we discuss relations to Cauchy problems.
In this work, we show that for the martingale problem for a class of degenerate diffusions with bounded continuous drift and diffusion coefficients, the small noise limit of non-degenerate approximations leads to a unique Feller limit. The proof uses the theory of viscosity solutions applied to the associated backward Kolmogorov equations. Under appropriate conditions on drift and diffusion coefficients, we will establish a comparison principle and a one-one correspondence between Feller solutions to the martingale problem and continuous viscosity solutions of the associated Kolmogorov equatio…
In this note we prove the strong Feller property of a strong Markov quasi diffusion process corresponding to an elliptic operator with merely bounded measurable coefficients. We also prove Hölder continuity of harmonic functions associated with the quasi diffusion process and Harnack inequality. As an application, we show that for such diffusion processes the probabilistic definition of a regular boundary point coincides with the 'analytic' one. The parabolic counterparts of these results are presented as well. The proofs are adaptations of arguments from \cite{KrS_79} and \cite{Kr_18}.
We give necessary and sufficient criteria for the Feller-Dynkin property of solutions to martingale problems in terms of Lyapunov functions. Moreover, we derive a Khasminskii-type integral test for the Feller-Dynkin property of multidimensional diffusions with random switching. For one dimensional switching diffusions with state-independent switching, we provide an integral-test for the Feller-Dynkin property.
A class of multidimensional nonlinear diffusions with the Feller property
本文研究一类具有不确定漂移和确定波动率的多维非线性扩散，建立了其Feller性质，并揭示了平滑效应及其与半线性Kolmogorov方程的联系。
Stochastic Hamiltonian Type Jump Diffusion Systems with Countable Regimes: Strong Feller Property and Exponential Ergodicity
本文研究切换分量具有可数无限状态的随机哈密顿型跳扩散系统，证明了解的存在唯一性、Feller性与强Feller性，并在Foster-Lyapunov漂移条件下建立了指数遍历性。
We give a new proof for a Ray-Knight representation of Feller's branching diffusion with logistic growth in terms of the local times of a reflected Brownian motion $H$ with a drift that is affine linear in the local time accumulated by $H$ at its current level. In \cite{LPW}, such a representation was obtained by an approximation through Harris paths that code the genealogies of particle systems. The present proof is purely in terms of stochastic analysis, and is inspired by previous work of Norris, Rogers and Williams \cite{NRW}.
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the unconditioned process. A martingale problem characterization is also given. Several results on the long time behavior of the conditioned mass process|the conditioned multitype Feller branching diffusion are then proved. The general case is first considered, where the mutation matrix which models the interaction between the types, is irreducible. Several two-type mode…
This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms of stochastic schemes with decreasing step can be used to build invariant measures for general Markov and Feller processes. We also propose applications in three different configurations: Approximation of Markov switching Brownian diffusion ergodic regimes using Euler scheme, approximation of Markov Brownian diffusion ergodic regimes with Milstein scheme an…
Feller Property and Absorption of Diffusions for Multi-Species Metacommunities
本文研究了多物种超群中扩散过程的Feller性质和吸收行为，通过Wright-Fisher模型和一般化交换函数，证明了在大N下过程收敛到具有Feller性质的扩散过程，并在有限时间内达到吸收状态。
We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation.
We find necessary and sufficient conditions for a finite $K$-bi-invariant measure on a compact Gelfand pair $(G, K)$ to have a square-integrable density. For convolution semigroups, this is equivalent to having a continuous density in positive time. When $(G,K)$ is a compact Riemannian symmetric pair, we study the induced transition density for $G$-invariant Feller processes on the symmetric space $X = G/K$. These are obtained as projections of $K$-bi-invariant Lévy processes on $G$, whose laws form a convolution semigroup. We obtain a Fourier series expansion for the density, in terms of sphe…
In this paper, we show that the abstract framework developed in Pages & Rey (2017) and inspired by Lamberton & Pages (2002) can be used to build invariant distributions for Brownian diffusion processes using the Milstein scheme and for diffusion processes with censored jump using the Euler scheme. Both studies rely on a weakly mean reverting setting for both cases. For the Milstein scheme we prove the convergence for test functions with polynomial (Wasserstein convergence) and exponential growth. For the Euler scheme of diffusion processes with censored jump we prove the convergence for test f…
The Feller diffusion as the limit of a coalescent point process
研究Feller扩散作为并合点过程的极限，其中节点高度分布密度偏向零，通过统一方法回顾分支过程标度极限的结果，并推广伯努利抽样到扩散极限，分析泊松抽样和k抽样Feller扩散的并合性质。
This paper presents analogous results for stochastic fast-diffusion equations. Since the fast-diffusion equation possesses weaker dissipativity than the porous medium one does, some technical difficulties appear in the study. As a compensation to the weaker dissipativity condition, a Sobolev-Nash inequality is assumed for the underlying self-adjoint operator in applications. Some concrete examples are constructed to illustrate the main results.
Genealogy-valued Feller diffusion
本文将 Feller 分支扩散的谱系表示为 $\mathbb{U}$ 值过程，证明鞅问题的适定性与 Feller 性质，并利用拼接、对偶和 Lévy-Khintchine 表示刻画其条件存活及长时间极限。
We provide a general construction scheme for $\mathcal L^p$-strong Feller processes on locally compact separable metric spaces. Starting from a regular Dirichlet form and specified regularity assumptions, we construct an associated semigroup and resolvents of kernels having the $\mathcal L^p$-strong Feller property. They allow us to construct a process which solves the corresponding martingale problem for all starting points from a known set, namely the set where the regularity assumptions hold. We apply this result to construct elliptic diffusions having locally Lipschitz matrix coefficients …
We obtain a representation of Feller's branching diffusion with logistic growth in terms of the local times of a reflected Brownian motion $H$ with a drift that is affine linear in the local time accumulated by $H$ at its current level. As in the classical Ray-Knight representation, the excursions of $H$ are the exploration paths of the trees of descendants of the ancestors at time $t=0$, and the local time of $H$ at height $t$ measures the population size at time $t$ (see e.g. \cite{LG4}). We cope with the dependence in the reproduction by introducing a pecking order of individuals: an indivi…
On the Kolmogorov-Feller weak law of large numbers for the Fréchet mean on non-compact symmetric spaces
针对非紧对称空间上的样本Fréchet均值，证明了Kolmogorov-Feller弱大数定律，适用于独立非同分布数据，并给出对称正定矩阵和乘积对称空间的例子。
Feller's test for explosions of stochastic Volterra equations
本文针对一维卷积型连续随机Volterra过程的爆炸问题提出Feller检验，推导非奇异核下过程区间内存续的充要条件，通过三类过程验证结果，并讨论Volterra CIR过程的分数核指数和近似方法。
We describe the evolution of the quantity of parasites in a population of cells which divide in continuous-time. The quantity of parasites in a cell follows a Feller diffusion, which is splitted randomly between the two daughter cells when a division occurs. The cell division rate may depend on the quantity of parasites inside the cell and we are interested in the cases of constant or monotone division rate. We first determine the asymptotic behavior of the quantity of parasites in a cell line, which follows a Feller diffusion with multiplicative jumps. We then consider the evolution of the in…
Using elliptic regularity results in weighted spaces, stochastic calculus and the theory of non-symmetric Dirichlet forms, we first show weak existence of non-symmetric distorted Brownian motion for any starting point in some domain $E$ of $\mathbb{R}^d$, where $E$ is explicitly given as the points of strict positivity of the unique continuous version of the density to its invariant measure. Non-symmetric distorted Brownian motion is a singular diffusion, i.e. a diffusion that typically has an unbounded and discontinuous drift. Once having shown weak existence, we obtain from a result of \cite…
Markov selections and Feller properties of nonlinear diffusions
本文研究了具有不确定局部特征的非线性扩散，建立了其 Feller 性质，考察了次线性 Markov 半群的线性化与平滑效应，并将其值函数与非线性 Kolmogorov 方程及 Nisio 半群建立联系。
In this paper, as a main result, we derive a Chung-Fuchs type condition for the recurrence of Feller processes associated with pseudo-differential operators. In the Lévy process case, this condition reduces to the classical and well-known Chung-Fuchs condition. Further, we also discuss the recurrence and transience of Feller processes with respect to the dimension of the state space and Pruitt indices and the recurrence and transience of Feller-Dynkin diffusions and stable-like processes. Finally, in the one-dimensional symmetric case, we study perturbations of Feller processes which do not af…
Boundary Feller-Dynkin processes associated with Laguerre processes and Pickrell diffusions
本文利用intertwiner方法构造与固定参数Laguerre过程coherent族相关的Feller-Dynkin边界过程，显式计算得到确定性动力系统，并进一步获得与Pickrell扩散coherent族相关的随机边界过程。
Using Girsanov transformations we construct from sticky reflected Brownian motion on $[0,\infty)$ a conservative diffusion on $E:=[0,\infty)^n$, $n \in \mathbb{N}$, and prove that its transition semigroup possesses the strong Feller property for a specified general class of drift functions. By identifying the Dirichlet form of the constructed process, we characterize it as sticky reflected distorted Brownian motion. In particular, the relations of the underlying analytic Dirichlet form methods to the probabilistic methods of random time changes and Girsanov transformations are presented. Our s…
In this paper, we study quasi-stationarity for a large class of Kolmogorov diffusions. The main novelty here is that we allow the drift to go to $- \infty$ at the origin, and the diffusion to have an entrance boundary at $+\infty$. These diffusions arise as images, by a deterministic map, of generalized Feller diffusions, which themselves are obtained as limits of rescaled birth--death processes. Generalized Feller diffusions take nonnegative values and are absorbed at zero in finite time with probability 1. An important example is the logistic Feller diffusion. We give sufficient conditions o…
This is a review of William Feller's important contributions to mathematical biology. The seminal paper [Feller1951] "Diffusion processes in genetics" was particularly influential on the development of stochastic processes at the interface to evolutionary biology, and interesting ideas in this direction (including a first characterization of what is nowadays known as "Feller's branching diffusion") already shaped up in the paper [Feller 1939] (written in German) "The foundations of a probabistic treatment of Volterra's theory of the struggle for life". Feller's article "On fitness and the cost…
We consider consistent diffusion dynamics, leaving the celebrated Hua-Pickrell measures, depending on a complex parameter $s$, invariant. These, give rise to Feller-Markov processes on the infinite dimensional boundary $Ω$ of the "graph of spectra", the continuum analogue of the Gelfand-Tsetlin graph, via the method of intertwiners of Borodin and Olshanski. In the particular case of $s=0$, this stochastic process is closely related to the $\mathsf{Sine_2}$ point process on $\mathbb{R}$ that describes the spectrum in the bulk of large random matrices. Equivalently, these coherent dynamics are a…
We construct Skorokhod decompositions for diffusions with singular drift and reflecting boundary behavior on open subsets of $\mathbb R^d$ with $C^2$-smooth boundary except for a sufficiently small set. This decomposition holds almost surely under the path measures of the process for every starting point from an explicitly known set. This set is characterized by the boundary smoothness and the singularities of the drift term. We apply modern methods of Dirichlet form theory and $\mathcal L^p$-strong Feller processes. These tools have been approved as useful for the pointwise analysis of stocha…
Birth-death processes are time-changed Feller's Brownian motions
本文通过特定时间变换建立 Feller 布朗运动与生灭过程的双向等价关系，并给出参数精确对应与构造性路径表示框架。
Convergence of nonhomogeneous Hawkes processes and Feller random measures
研究非齐次Hawkes过程在近不稳定极限区域的缩放极限，其激发测度可能依赖于世代，通过非线性卷积方程刻画极限随机测度，扩展了Feller扩散和分数Feller（CIR）过程，并允许一般Levy型算子的驱动噪声。
Generalised Krein-Feller operators and gap diffusions via transformations of measure spaces
该研究通过测度分布函数构造的等距同构，将广义Krein-Feller算子的特征值问题转化为经典情形，得到上谱维数新刻画，整合谱渐近结果并复原相关广义间隙扩散的性质与联系。
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the boundary. Feller's technique is restricted to diffusion processes as the corresponding differential generators allow explicit computations and the use of Hille-Yosida theory. In the present article we study exit and entrance from infinity for the most natural generalization, that is, jump diffusions of the form \[ dZ_t=σ(Z_{t-})\,dX_t, \] driven by stable Lé…
The Feller diffusion conditioned on a single ancestral founder
本文研究Feller扩散在单一创始祖先条件下的分布性质，基于泊松家族分解的新方法，给出了不同初始时间假设下祖先数量、溯祖时间及最近共同祖先相关联合分布的精确解与超临界渐近形式。
We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to Lévy-type processes in order to obtain convergence results on discrete and continuous time indexed processes, simulation methods and Euler schemes. We also apply the same theory to a slightly different situation, in order to get results of convergence of diffusions or random walks toward singular diffusions. As a consequence we deduce the convergence of random walks in random me…
Exotic B-series representation of the Feller semigroup for Itô diffusions and the MSR path integral
本文研究了一维伊藤扩散费勒半群的时间级数展开，通过异类树的扩展，推导出组合因子的显式表达，建立异类Butcher级数表示，并展示其与MSR路径积分形式的等价性。
Time change is one of the most basic and very useful transformations for Markov processes. The time changed process can also be regarded as the trace of the original process on the support of the Revuz measure used in the time change. In this paper we give a complete characterization of time changed processes of an arbitrary symmetric Markov process, in terms of the Beurling--Deny decomposition of their associated Dirichlet forms and of Feller measures of the process. In particular, we determine the jumping and killing measure (or, equivalently, the Lévy system) for the time-changed process. W…
Coalescence and sampling distributions for Feller diffusions
本文研究了 Feller 扩散过程相关的聚合过程，计算了次临界与超临界情况下样本祖先数量及聚合树的分布。
A family of Feller branching diffusions $Z^x$, $x \ge 0$, with nonlinear drift and initial value $x$ can, with a suitable coupling over the {\em ancestral masses} $x$, be viewed as a path-valued process indexed by $x$. For a coupling due to Dawson and Li, which in case of a linear drift describes the corresponding Feller branching diffusion, and in our case makes the path-valued process Markovian, we find an SDE solved by $Z$, which is driven by a random point measure on excursion space. In this way we are able to identify the infinitesimal generator of the path-valued process. We also establi…
We study the homogenization for a class of non-symmetric pure jump Feller processes. The jump intensity involves periodic and aperiodic constituents, as well as oscillating and non-oscillating constituents. This means that the noise can come both from the underlying periodic medium and from external environments, and is allowed to have different scales. It turns out that the Feller process converges in distribution, as the scaling parameter goes to zero, to a Lévy process. As special cases of our result, some homogenization problems studied in previous works can be recovered. We also generaliz…
We study the large deviation behaviour of the trajectories of empirical distributions of independent copies of time-homogeneous Feller processes on locally compact metric spaces. Under the condition that we can find a suitable core for the generator of the Feller process, we are able to define a notion of absolutely continuous trajectories of measures in terms of some topology on this core. Also, we define a Hamiltonian in terms of the linear generator and a Lagrangian as its Legendre transform. We prove the large deviation principle and show that the rate function can be decomposed as a rate …
Let $X$ be an irreducible symmetric Markov process with the strong Feller property. We assume, in addition, that $X$ is explosive and has a tightness property. We then prove the existence and uniqueness of quasi-stationary distributions of $X$.
General diffusions on the star graph as time-changed Walsh Brownian motion
本研究将星图上的一般正则扩散表示为时间变换Walsh布朗运动，据此推导粘性粘合扩散的时间变换表示、占据时间公式，还拓展了Feller相关判据并证明星图Dirichlet问题解的存在唯一性及显式形式。
We use analytical methods to construct the two-parameter Feller semigroup associated with a Markov process on a line with a moving membrane such that at the points on both sides of the membrane it coincides with the ordinary diffusion processes given there and its behavior after reaching the membrane is described by a kind of nonlocal Feller-Wentzell conjugation condition.
Chernoff approximations of Feller semigroups and the associated diffusion processes in Riemannian manifolds are studied. The manifolds are assumed to be of bounded geometry, thus including all compact manifolds and also a wide range of non-compact manifolds. Sufficient conditions are established for a class of second order elliptic operators to generate a Feller semigroup on a (generally non-compact) manifold of bounded geometry. A construction of Chernoff approximations is presented for these Feller semigroups in terms of shift operators. This provides approximations of solutions to initial v…
Using elliptic and parabolic regularity results in $L^p$-spaces and generalized Dirichlet form theory, we construct for every starting point weak solutions to SDEs in $\mathbb{R}^d$ up to their explosion times including the following conditions. For arbitrary but fixed $p>d$ the diffusion coefficient $A=(a_{ij})_{1\le i,j\le d}$ is locally uniformly strictly elliptic with functions $a_{ij}\in H^{1,p}_{loc}(\mathbb{R}^d)$ and the drift coefficient $\mathbf{G}=(g_1,\dots, g_d)$ consists of functions $g_i\in L^p_{loc}(\mathbb{R}^d)$. The solution originates by construction from a Hunt process wit…
The characteristic measure of excursions away from a regular point is studied for a class of symmetric Lévy processes without Gaussian part. It is proved that the harmonic transform of the killed process enjoys Feller property. The result is applied to prove extremeness of the excursion measure and to prove several sample path behaviors of the excursion and the $ h $-path processes.
Diffusion approximation of critical controlled multi-type branching processes
本文研究临界受控多类型分支过程，证明适当缩放的随机阶梯函数弱收敛于由后代均值与控制分布矩阵特征向量确定的平方 Bessel 过程，并给出移民、两性分支过程等应用。
In this paper, we study the long-time behavior of a fluid particle immersed in a turbulent fluid driven by a diffusion with jumps, that is, a Feller process associated with a non-local operator. We derive the law of large numbers and central limit theorem for the evolution process of the tracked fluid particle in the cases when the driving process: (i) has periodic coefficients, (ii) is ergodic or (iii) is a class of Lévy processes. The presented results generalize the classical and well-known results for fluid flows driven by elliptic diffusion processes.
A Superprocess-based Approach to Rough CIR Processes and Feller Random Measures
本文提出基于超过程的方法研究Feller随机测度，证明其为Dawson-Watanabe超过程的占据测度，并建立存在性、稳定性及噪声驱动的随机方程，刻画了有无原子两种情形下的鞅性质与密度正则性。
Motivated by models of signaling pathways in B lymphocytes, which have extremely large nuclei, we study the question of how reaction-diffusion equations in thin $2D$ domains may be approximated by diffusion equations in regions of smaller dimensions. In particular, we study how transmission conditions featuring in the approximating equations become integral parts of the limit master equation. We device a scheme which, by appropriate rescaling of coefficients and finding a common reference space for all Feller semigroups involved, allows deriving the form of the limit equation formally. The res…
We consider pattern spaces of aperiodic and repetitive Delone sets of finite local complexity. These spaces are compact metric spaces and constitute a special class of foliated spaces. We define new Sobolev spaces with respect to the unique invariant measure and prove the existence of the unitary Schrödinger semigroup, which in physics terms describe the evolution of phasons. We define and study natural leafwise diffusion processes on these pattern spaces. These processes have Feller, but lack strong Feller and hypercontractivity properties, and heat kernels do not exist. The associated Dirich…
We study the distribution of the time to explosion for one-dimensional diffusions. We relate this question to computing the expectations of suitable nonnegative local martingales, and to the distributions of related diffusions with unit variance. Moreover, we characterize the distribution function of the time to explosion as the minimal solution to a certain Cauchy problem for an appropriate parabolic differential equation; this leads to alternative characterizations of Feller's criterion for explosions. We discuss in detail several examples for which it is possible to obtain analytic expressi…
扫码添加微信好友，提出您的宝贵建议 👇
💡 备注请填写：网站反馈
发表机构由 AI 从论文文本抽取，如发现错误，欢迎反馈修正建议。