Related papers: A PDE for the multi-time joint probability of the …
Inspired by applications in sports where the skill of players or teams competing against each other varies over time, we propose a probabilistic model of pairwise-comparison outcomes that can capture a wide range of time dynamics. We…
In this paper, we establish the first large deviation bounds for the Airy point process. The proof is based on a novel approach which relies upon the approximation of the Airy point process using the Gaussian unitary ensemble (GUE) up to an…
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…
Consider non-intersecting Brownian motions on the real line, starting from the origin at t=0, with a number of particles forced to reach p distinct target points at time t=1. This work shows that the transition probability, that is the…
A synthetic study of Pitman's and L\'evy's theorems for one-dimensional Brownian bridges with arbitrary endpoints is provided.
In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
In this paper, we study backward doubly stochastic differential equations driven by Brownian motions and Poisson process (BDSDEP in short) with non-Lipschitz coefficients on random time interval. The probabilistic interpretation for the…
The tacnode process is a universal behavior arising in nonintersecting particle systems and tiling problems. For Dyson Brownian bridges, the tacnode process describes the grazing collision of two packets of walkers. We consider such a Dyson…
The results of Amir-Corwin-Quastel, Calabrese-Le Doussal-Rosso, Dotsenko, and Sasamoto-Spohn imply that the one-point distribution of the solution of the KPZ equation with the narrow wedge initial condition coincides with that for a…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
The probabilistic equivalent formulation of Dupire's PDE is the Put-Call duality equality. In local volatility models including exponential L\'{e}vy jumps, we give a direct probabilistic proof for this result based on stochastic flows…
We introduce polynomial processes taking values in an arbitrary Banach space $B$ via their infinitesimal generator $L$ and the associated martingale problem. We obtain two representations of the (conditional) moments in terms of solutions…
Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture…
The Airy process is characterized by its finite-dimensional distribution functions. We show that each finite-dimensional distribution function is expressible in terms of a solution to a system of differential equations.
We express the gap probabilities of the tacnode process as the ratio of two Fredholm determinants; the denominator is the standard Tracy-Widom distribution, while the numerator is the Fredholm determinant of a very explicit kernel…
We review the Airy processes; their formulation and how they are conjectured to govern the large time, large distance spatial fluctuations of one dimensional random growth models. We also describe formulas which express the probabilities…
This paper deals with the application of probabilistic time integration methods to semi-explicit partial differential-algebraic equations of parabolic type and its semi-discrete counterparts, namely semi-explicit differential-algebraic…
We present an alternative to the well-known Anderson's formula for the probability that a first exit time from the planar region between two slopping lines -a_1 t -b_1 and a_2 t + b_2 by a standard Brownian motion is greater than T. As the…
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of…