We study a skew Ornstein–Uhlenbeck process with zero being a sticky reflecting boundary, which is defined as the weak solution to a stochastic differential equation (SDE) system involving local time. The main results obtained include: (i) the existence and uniqueness of solutions to the SDE system, (ii) the scale function and speed measure, and (iii) the distributional properties regarding the transition density and the first hitting times. On the application side, we apply the process to interest rate modeling and obtain the explicit pricing formula for zero-coupon bonds. Numerical examples illustrate the impacts on bond yields of skewness and stickiness parameters.

We construct new optimal $L^{p}$ Hardy-type inequalities for elliptic Schrödinger-type operators with a potential term.

We prove the existence and asymptotic behaviour of the transition density for a large class of subordinators whose Laplace exponents satisfy lower scaling condition at infinity. Furthermore, we present lower and upper bounds for the density. Sharp estimates are provided if an additional upper scaling condition on the Laplace exponent is imposed. In particular, we cover the case when the (minus) second derivative of the Laplace exponent is a function regularly varying at infinity with regularity index bigger than $-2$ .

We prove that for $0<p<+\infty $ and $-1<\alpha <+\infty ,$ a conformal map defined on the unit disk belongs to the weighted Bergman space $A_{\alpha }^p$ if and only if a certain integral involving the hyperbolic distance converges.

Investigation of SH wave scattering by inclusions in bi-material half space is an important issue in engineering. The purpose of this work is to study the dynamic response of a semi-circle inclusion embedded in bi-material half space surface by SH wave. Graf's addition theorem, Green function method and region-matching technique are used to determine the displacement fields in the bi-material half space and the inclusion. The distributions of dynamic stress concentration factor (DSCF) around the semi-circle inclusion are depicted graphically considering different material parameters. The results show that the frequency and the incidence angle of SH wave, the rigidities of the inclusion and bi-material half space, and the distance from the inclusion to the interface have a great effect on the distribution of DSCF around the inclusion.

At the ANZIAM conference in Hobart in February 2018, there were several talks on the solution of Laplace problems in multiply connected domains by means of conformal mapping. It appears to be not widely known that such problems can also be solved by the elementary method of series expansions with coefficients determined by least-squares fitting on the boundary. (These are not convergent series; the coefficients depend on the degree of the approximation.) Here we give a tutorial introduction to this method, which converges at an exponential rate if the boundary data are sufficiently well-behaved. The mathematical foundations go back to Runge in 1885 and Walsh in 1929. One of our examples involves an approximate Cantor set with up to 2048 components.

The paper is to solve the problem of the response of stratified half-space subjected to triangularly distributed time-harmonic loadings on an axial symmetric area in the stratified half-space. Since the distributed area can be very small, the solution can be employed to deal with the problems of elastodynamics using the fundamental solution method. The advantage of the presented solution over Green function is that no singularity will occur in the presented solution. Some numerical results are given and some conclusions have been made. The presented solution is very efficient in computation.

We prove that, in a setting of local Dirichlet forms on metric measure spaces, a two-sided sub-Gaussian estimate of the heat kernel is equivalent to the conjunction of the volume doubling property, the elliptic Harnack inequality, and a certain estimate of the capacity between concentric balls. The main technical tool is the equivalence between the capacity estimate and the estimate of a mean exit time in a ball that uses two-sided estimates of a Green function in a ball.

We study the biharmonic equation Δ2u = u−α, 0 < α < 1, in a smooth and bounded domain Ω ⊂ ℝn, n ≥ 2, subject to Dirichlet boundary conditions. Under some suitable assumptions on Ω related to the positivity of the Green function for the biharmonic operator, we prove the existence and uniqueness of a solution.

In this paper we prove that sub-Gaussian estimates of heat kernels of regular Dirichlet forms are equivalent to the regularity of measures, two-sided bounds of effective resistances and the locality of semigroups, on strongly recurrent compact metric spaces. Upper bounds of effective resistances imply the compact embedding theorem for domains of Dirichlet forms, and give rise to the existence of Green functions with zero Dirichlet boundary conditions. Green functions play an important role in our analysis. Our emphasis in this paper is on the analytic aspects of deriving two-sided sub-Gaussian bounds of heat kernels. We also give the probabilistic interpretation for each of the main analytic steps.

We consider a random walker on a d-regular graph. Starting from a fixed vertex, the first step is a unit step in any one of the d directions, with common probability 1/d for each one. At any later step, the random walker moves in any one of the directions, with probability q for a reversal of direction and probability p for any other direction. This model was introduced and first studied by Gillis (1955), in the case when the graph is a d-dimensional square lattice. We prove that the Gillis random walk on a d-regular graph is recurrent if and only if the simple random walk on the graph is recurrent. The Green function of the Gillis random walk will be also given, in terms of that of the simple random walk.

We investigate the asymptotical behaviour of the transition probabilities of the simple random walk on the 2-comb. In particular, we obtain space-time uniform asymptotical estimates which show the lack of symmetry of this walk better than local limit estimates. Our results also point out the impossibility of getting sub-Gaussian estimates involving the spectral and walk dimensions of the graph.

We consider in this article diagonal parabolic systems arising in the context of stochastic differential games.We address the issue of finding smooth solutions of the system. Such a regularity result is extremely important to derive an optimal feedback proving the existence of a Nash point of a certain class of stochastic differential games.Unlike in the case of scalar equation, smoothness of solutions is not achieved in general. A special structure of the nonlinear Hamiltonian seems to be the adequate one to achieve the regularity property. A key step in the theory is to prove the existence of Hölder solution.