We consider a solution xt to a generic Markovian jump diffusion and show that for any t00 the law of xt0 has a C[infinity] density with respect to the Lebesgue measure under a uniform version of the Hörmander conditions. Unlike previous results in the area the result covers a class of infinite...

We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H, and we derive a rate of convergence, which becomes better when H approaches 1/2. The construction is based on the Mandelbrot-van Ness stochastic...

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limit obstacles (or barriers) when the noise is given by Brownian motion and a mutually independent Poisson random measure. The jumps of the obstacle processes could be either...

We establish a connection between the strong solution to the spatially periodic Navier-Stokes equations and a solution to a system of forward-backward stochastic differential equations (FBSDEs) on the group of volume-preserving diffeomorphisms of a flat torus. We construct representations of the...

Let be a family of (N,d)-anisotropic Gaussian random fields with generalized Hurst indices H=(H1,...,HN)[set membership, variant](0,1)N. Under certain general conditions, we prove that the local time of is jointly continuous whenever . Moreover we show that, when H approaches H0, the law of the...

In the first part of this paper, we prove the uniqueness of the solutions of SPDEs with reflection, which was left open in the paper [C. Donati-Martin, E. Pardoux, White noise driven SPDEs with reflection, Probab. Theory Related Fields 95 (1993) 1-24]. We also obtain the existence of the...

We consider the correlation structure of the random coefficients for a class of wavelet systems on the sphere (labelled Mexican needlets) which was recently introduced in the literature by [D. Geller, A. Mayeli, Nearly tight frames and space-frequency analysis on compact manifolds, Preprint,...

The Markov binomial distribution is approximated by the Poisson distribution with the same mean, by a translated Poisson distribution and by two-parametric Poisson type signed measures. Using an adaptation of Le Cam's operator technique, estimates of accuracy are proved for the total...

We prove a convergence theorem for a sequence of super-Brownian motions moving among hard Poissonian obstacles, when the intensity of the obstacles grows to infinity but their diameters shrink to zero in an appropriate manner. The superprocesses are shown to converge in probability for the law...

In this paper we give a central limit theorem for the weighted quadratic variation process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations of a two-parameter diffusion Y=(Y(s,t))(s,t)[set membership, variant][0,1]2 observed on a regular...