A general affine Markov semigroup is formulated as the convolution of a homogeneous one with a skew convolution semigroup. We provide some sufficient conditions for the regularities of the homogeneous affine semigroup and the skew convolution semigroup. The corresponding affine Markov process is constructed as the strong solution of a system of stochastic equations with non-Lipschitz coefficien...

We derive global analytic representations of fundamental solutions for a class of linear parabolic systems with full coupling of first order derivative terms where coefficients may depend on space and time. Pointwise convergence of the global analytic expansion is proved. This leads to analytic representations of solutions of initial-boundary problems of first and second type in terms of convol...

Ordinary differential equations(ODEs) with stochastic processes in their vector field, have lots of applications in science and engineering. The main purpose of this article is to investigate the numerical methods for ODEs with Wiener and Compound Poisson processes in more than one dimension. Ordinary differential equations with Ito diffusion which is a solution of an Ito stochastic differentia...

semilinear stochastic evolution equations with multiplicative l'evy noise are considered‎. ‎the drift term is assumed to be monotone nonlinear and with linear growth‎. ‎unlike other similar works‎, ‎we do not impose coercivity conditions on coefficients‎. ‎we establish the continuous dependence of the mild solution with respect to initial conditions and also on coefficients. ‎as corollaries of ...

A generalization of Émery’s inequality for stochastic integrals is shown for convolution integrals of the form ( ∫ t 0 g(t − s)Y (s−) dZ(s))t>0, where Z is a semimartingale, Y an adapted càdlàg process, and g a deterministic function. The function g is assumed to be absolutely continuous with a derivative that is continuous or of bounded variation or a sum of such functions. The function g may ...

Exact calculations of Feynman’s path integrals (defined on a time lattice) are mainly based on recurrence integral formulas in which the convolution of two functions having a common feature retains the same feature. Therefore, exactly soluble path integrals in quantum mechanics may be classified by their recurrence integral formula used in the calculation. According to this classification, ther...

A general analytical scheme for computing the n-fold convolution of exponentialsum distribution functions has been developed in this paper. The n-fold convolution is first expressed by multiple sums of recursive integrals. These recursive integrals are then reconstructed with a series of delta functions to avoid separations of integrations. Part of the recursive integrals has been solved analyt...

in this paper, we study the existence of generalized solutions for the infinite dimensional nonlinear stochastic differential inclusions $dx(t) in f(t,x(t))dt +g(t,x(t))dw_t$ in which the multifunction $f$ is semimonotone and hemicontinuous and the operator-valued multifunction $g$ satisfies a lipschitz condition. we define the it^{o} stochastic integral of operator set-valued stochastic pr...

A major step in the numerical solution of electromagnetic scattering problems involves the computation of the convolution based reaction integrals. In this paper a procedure based on the analytical Fourier transform is introduced which allows us to calculate the convolution-based reaction integrals in the spectral domain without evaluating any convolution products directly. A numerical evaluati...