Add to ORKGInternational audienceLet X be a d-dimensional diffusion and M the running supremum of its first component. In this paper, we show that for any t > 0, the density (with respect to the d + 1-dimensional Lebesgue measure) of the pair (Mt, Xt) is a weak solution of a Fokker-Planck partial differential equation on the closed set {(m, x) ∈ R d+1, m ≥ x 1}, using an integral expansion of this density
This paper is devoted to the diffusion limit of the Fokker−Planck equation of plasma physics, in whi...
We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and...
By considering Fokker-Planck equation in the asymptotic limit, that is when strong potential act on ...
International audienceLet X be a d-dimensional diffusion and M the running supremum of its first com...
Let X be a d-dimensional diffusion process and M the running supremum of the first component. In thi...
Let X be a continuous $d$-dimensional diffusion process and M the running supremum of the first comp...
Barbu V, Röckner M. FROM NONLINEAR FOKKER-PLANCK EQUATIONS TO SOLUTIONS OF DISTRIBUTION DEPENDENT SD...
International audienceLet X be a jump-diusion process and X * its running supremum. In this paper, w...
AbstractThe paper treats the problem of obtaining numerical solutions to the Fokker-Plank equation f...
International audienceTo give physical meaning to the boundary conditions of parabolic partial diffe...
The object of this paper is the uniqueness for a $d$-dimensional Fokker-Planck type equation with no...
Consider a one dimensional diffusion process on the diffusion interval I originated in x0 ∈ I. Let a...
The known expansion of the master equation for weak diffusion in an external potential applies to bo...
20 pagesBy constructing successful couplings for degenerate diffusion processes, explicit derivative...
The Fokker-Planck equation is a second order differential equation associated with a stochastic proc...
This paper is devoted to the diffusion limit of the Fokker−Planck equation of plasma physics, in whi...
We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and...
By considering Fokker-Planck equation in the asymptotic limit, that is when strong potential act on ...
International audienceLet X be a d-dimensional diffusion and M the running supremum of its first com...
Let X be a d-dimensional diffusion process and M the running supremum of the first component. In thi...
Let X be a continuous $d$-dimensional diffusion process and M the running supremum of the first comp...
Barbu V, Röckner M. FROM NONLINEAR FOKKER-PLANCK EQUATIONS TO SOLUTIONS OF DISTRIBUTION DEPENDENT SD...
International audienceLet X be a jump-diusion process and X * its running supremum. In this paper, w...
AbstractThe paper treats the problem of obtaining numerical solutions to the Fokker-Plank equation f...
International audienceTo give physical meaning to the boundary conditions of parabolic partial diffe...
The object of this paper is the uniqueness for a $d$-dimensional Fokker-Planck type equation with no...
Consider a one dimensional diffusion process on the diffusion interval I originated in x0 ∈ I. Let a...
The known expansion of the master equation for weak diffusion in an external potential applies to bo...
20 pagesBy constructing successful couplings for degenerate diffusion processes, explicit derivative...
The Fokker-Planck equation is a second order differential equation associated with a stochastic proc...
This paper is devoted to the diffusion limit of the Fokker−Planck equation of plasma physics, in whi...
We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and...
By considering Fokker-Planck equation in the asymptotic limit, that is when strong potential act on ...