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We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by…
Consider a large system of $N$ Brownian motions in $\R ^d$ fixed on a time interval $[0,\beta]$ with symmetrized initial and terminal conditions, under the influence of a trap potential. Such systems describe systems of bosons at positive…
Given a probability measure on a finitely generated group, its Martin boundary is a natural way to compactify the group using the Green function of the corresponding random walk. For finitely supported measures in hyperbolic groups, it is…
(i) Uncountably many synchronized reflected Brownian motions can hit the boundary of a $C^2$ domain at the same time. (ii) Measures associated to local times of two synchronized reflected Brownian motions are mutually singular until the…
Let $X$ be a compact subset of the complex plane and $x \in X$. A necessary and sufficient condition is given in terms of Hausdorff contents for the existence of a bounded point derivation at $x$ on the space of vanishing Campanato…
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its local time at zero reaches some exponential level, then…
We provide a rigorous derivation of the brownian motion as the limit of a deterministic system of hard-spheres as the number of particles $N$ goes to infinity and their diameter $\varepsilon$ simultaneously goes to $0$, in the fast…
Let $B = (B_t)_{t \in {\bf R}}$ be a symmetric Brownian motion, i.e. $(B_t)_{t \in {\bf R}_+}$ and $(B_{-t})_{t \in {\bf R}_+}$ are independent Brownian motions starting at $0$. Given $a \ge b>0$, we describe the law of the random set…
In this note we introduce and solve a soft classification version of the famous Bayesian sequential testing problem for a Brownian motion's drift. We establish that the value function is the unique non-trivial solution to a free boundary…
We prove a generalized version of the $3G$ Principle for Green's functions on bounded inner uniform domains in a wide class of Dirichlet spaces. In particular, our results apply to higher-dimensional fractals such as Sierpinski carpets in…
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
We develop a Lie group geometric framework for the motion of fluids with permeable boundaries that extends Arnold's geometric description of fluid in closed domains. Our setting is based on the classical Hamilton principle applied to fluid…
We construct a Brownian motion on complex partial flag manifolds with blocks of equal size as a matrix-valued diffusion from a Brownian motion on the unitary group. This construction leads to an explicit expression for the characteristic…
Based on an optimal rate wavelet series representation, we derive a local modulus of continuity result with a refined almost sure upper bound for fractional Brownian motion. \sloppy The obtained upper bound of the small fractional Brownian…
In this paper we argue that boundary condition may run with energy scale. As an illustrative example, we consider one-dimensional quantum mechanics for a spinless particle that freely propagates in the bulk yet interacts only at the origin.…
Introducing an interpolation method we derive lower bounds for the spectral gap for Brownian motion on general domains with sticky-reflecting boundary diffusion associated to the first nontrivial eigenvalue for the Laplace operator with…
A least action principle for damping motion has been previously proposed with a Hamiltonian and a Lagrangian containing the energy dissipated by friction. Due to the space-time nonlocality of the Lagrangian, mathematical uncertainties…
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…
We study invariant random fields of nonlinear multiplicative stochastic heat equations in the weak disorder regime. Under a natural second-moment condition, we show that positive invariant fields are in one-to-one correspondence with…