9 papers · 1 filter
Quantitative averaging of Markov-modulated additive functionals and Wentzell boundary homogenization
Alexis Anagnostakis, Fausto Colantoni
Let be a positive continuous additive functional of a strong Markov process and an independent finite-state Markov chain. For bounded , we study \[ J_\varepsilon(t)=\int…
Time-dependent Robin heat equation via Markovian switching
Fausto Colantoni
This paper investigates the heat equation on a bounded domain with a Robin boundary condition, where the reactivity parameter (or killing rate) is modeled as a continuous-time Mark…
Elastic Brownian motion with random jumps from the boundary
Fausto Colantoni, Mirko D'Ovidio
In this paper, we study elastic Brownian motion on a \(C^2\) domain. Instead of being killed at the boundary, the process restarts from a random position inside the domain. We char…
Earthquake modelling via Brownian motions on networks
Fausto Colantoni, Mirko D'Ovidio, Flavia Tavani
We provide a general model for Brownian motions on metric graphs with interactions. In a general setting, for (sticky) Brownian propagations on edges, our model provides a characte…
Time reversal of reflected Brownian motion with Poissonian resetting
Fausto Colantoni, Mirko D'Ovidio, Gianni Pagnini
In this paper, we study reflecting Brownian motion with Poissonian resetting. After providing a probabilistic description of the phenomenon using jump diffusions and semigroups, we…
Non-local skew and non-local sticky Brownian motions
Fausto Colantoni
In this paper, we present a comprehensive study on the generalization of skew Brownian motion and two-sided sticky Brownian motion by considering non-local operators at the origin…
Variance Gamma (non-local) equations
Fausto Colantoni
We provide some equations for the Variance Gamma process due to the fact that we do not consider only the definition as a time-changed Brownian motion. This brings us to a new non-…
Non-local Boundary Value Problems, stochastic resetting and Brownian motions on graphs
Stefano Bonaccorsi, Fausto Colantoni, Mirko D'Ovidio +1
We consider dynamic boundary conditions involving non-local operators. Our analysis includes a detailed description of such operators together with their relations with random time…
On the inverse gamma subordinator
Fausto Colantoni, Mirko D'Ovidio
In this paper we deal with some open problems concerned with gamma subordinators. In particular, we provide a representation for the moments of the inverse gamma subordinator. Then…