413 citations
- University of Rome Tor VergataIT38 papers
- Istituto di Analisi dei Sistemi ed Informatica Antonio RubertiIT19 papers
- Sapienza University of RomeIT18 papers
- University of PerugiaIT16 papers
- University of RostockDE11 papers
- National Research CouncilLK10 papers
- University of L'AquilaIT10 papers
- Centre National de la Recherche ScientifiqueFR9 papers
- Politecnico di MilanoIT9 papers
- The University of TokyoJP9 papers
- University of CagliariIT9 papers
- University of PaduaIT9 papers
15 papers · 1 filter
Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains
Cristina Costantini, Thomas G. Kurtz
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side",…
A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
Cristina Costantini, Thomas G. Kurtz
Bass and Pardoux (1987) deduce from the Krein-Rutman theorem a reverse ergodic theorem for a sub-probability transition function, which turns out to be a key tool in proving unique…
A Note on the Reduction Principle for the Nodal Length of Planar Random Waves
Anna Vidotto
Inspired by the recent work [MRW20], we prove that the nodal length of a planar random wave , i.e. the length of its zero set , is asymptotically equivalent,…
Markov selection for constrained martingale problems
Cristina Costantini, Thomas G. Kurtz
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some wa…
Existence and uniqueness of reflecting diffusions in cusps
Cristina Costantini, Thomas G. Kurtz
We consider stochastic differential equations with (oblique) reflection in a -dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the for…
Wright-Fisher construction of the two-parameter Poisson-Dirichlet diffusion
Cristina Costantini, Pierpaolo De Blasi, Stewart N. Ethier +2
The two-parameter Poisson--Dirichlet diffusion, introduced in 2009 by Petrov, extends the infinitely-many-neutral-alleles diffusion model, related to Kingman's one-parameter Poisso…