Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

A mixture of relativistic gases of non-disparate rest masses in a Schwarzschild metric is studied on the basis of a relativistic Boltzmann equation in the presence of gravitational fields. A BGK-type model equation of the collision operator of the Boltzmann equation is used in order to compute...

We recently demonstrated that standard fixed-time lattice random-walk models cannot be modified to represent properly the biased diffusion processes in more than two dimensions. The origin of this fundamental limitation appears to be the fact that traditional Monte Carlo moves do not allow for...

An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline...

Transport properties of glass-formers near glass transition reflect the varying degrees of the sensitivity of the solid-like dynamics and structures with respect to temperature, depending on their fragility. Notably, however, most glasses resume Arrehenius transport behavior upon onset of...