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dc.contributor.authorMengütürk, L. A.
dc.contributor.authorMengütürk, Murat Cahit
dc.date.accessioned2021-02-25T13:10:56Z
dc.date.available2021-02-25T13:10:56Z
dc.date.issued2020-09-30
dc.identifier.issn1364-5021en_US
dc.identifier.urihttp://hdl.handle.net/10679/7352
dc.identifier.urihttps://royalsocietypublishing.org/doi/10.1098/rspa.2020.0294
dc.description.abstractWe propose a class of stochastic processes that we call captive diffusions, which evolve within measurable pairs of cadlag bounded functions that admit bounded right-derivatives at points where they are continuous. In full generality, such processes allow reflection and absorption dynamics at their boundaries-possibly in a hybrid manner over non-overlapping time periods-and if they are martingales, continuous boundaries are necessarily monotonic. We employ multi-dimensional captive diffusions equipped with a totally ordered set of boundaries to model random processes that preserve an initially determined rank. We run numerical simulations on several examples governed by different drift and diffusion coefficients. Applications include interacting particle systems, random matrix theory, epidemic modelling and stochastic control.en_US
dc.language.isoengen_US
dc.publisherRoyal Society Publishingen_US
dc.relation.ispartofProceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
dc.rightsopenAccess
dc.titleCaptive diffusions and their applications to order-preserving dynamicsen_US
dc.typeArticleen_US
dc.description.versionPublisher versionen_US
dc.peerreviewedyesen_US
dc.publicationstatusPublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.ozuauthorMengütürk, Murat Cahit
dc.identifier.volume476en_US
dc.identifier.issue2241en_US
dc.identifier.wosWOS:000577154000001
dc.identifier.doi10.1098/rspa.2020.0294en_US
dc.subject.keywordsMarkov processesen_US
dc.subject.keywordsBounded diffusionsen_US
dc.subject.keywordsDegenerate processesen_US
dc.subject.keywordsStochastic volatilityen_US
dc.identifier.scopusSCOPUS:2-s2.0-85093076182
dc.contributor.authorMale1
dc.relation.publicationcategoryArticle - International Refereed Journal - Institutional Academic Staff


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