Related papers: A PDE for the multi-time joint probability of the …
We study the probability distribution of the value of geometric Brownian motion at the stochastic observation time. It is known that the exponentially distributed observation time yields the distribution called the double Pareto…
We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval $[0,T]$ via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class…
We consider analytic continuations of Fourier transforms and Stieltjes transforms. This enables us to define what we call complex moments for some class of probability measures which do not have moments in the usual sense. There are two…
We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for $n$-iterated Brownian motions and, more generally, for the…
In this short communication we present an original way to couple the Brownian motion and the heat equation. More in general, we suggest a way for coupling the Langevin equation for a particle, which describes a single realization of its…
New results on conditional joint probability distributions of first exit times are presented for a continuous-time stochastic process defined as the mixture of Markov jump processes moving at different speeds on the same finite state space,…
Splitting probabilities quantify the likelihood of particular outcomes out of a set of mutually-exclusive possibilities for stochastic processes and play a central role in first-passage problems. For two-dimensional Markov processes…
We develop an exact determinantal formula for the probability that the Airy$_2$ process is bounded by a function $g$ on a finite interval. As an application, we provide a direct proof that $\sup(\aip(x)-x^2)$ is distributed as a GOE random…
We compute the joint distribution of the first times a linear diffusion makes an excursion longer than some given duration above (resp. below) some fixed level. In the literature, such stopping times have been introduced and studied in the…
Using a mixture of classical and probabilistic techniques we investigate the convexity of solutions to the elliptic pde associated with a certain generalized Ornstein-Uhlenbeck process.
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
This paper establishes small ball probabilities for a class of time-changed processes $X\circ E$, where $X$ is a self-similar process and $E$ is an independent continuous process, each with a certain small ball probability. In particular,…
We exhibit some explicit co-adapted couplings for n-dimensional Brownian motion and all its Levy stochastic areas. In the two-dimensional case we show how to derive exact asymptotics for the coupling time under various mixed coupling…
We calculate the probability distribution function (PDF) of an overdamped Brownian particle moving in a periodic potential energy landscape $U(x)$. The PDF is found by solving the corresponding Smoluchowski diffusion equation. We derive the…
This paper is devoted to the study of the large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. This work is the sequel of [13] in which a probabilistic method was developped to show that the…
The asymptotic probability distribution for a Brownian particle wandering in a 2D plane with random traps to enclose the algebraic area A by time t is calculated using the instanton technique.
In this note, we present the closed form solution for the joint distribution of the range and terminal value of a Brownian motion. Based on this distribution we build a range scaled terminal value distribution and show the derivation steps…
In this paper, we show an approximation in law of the complex Brownian motion by processes constructed from a stochastic process with independent increments. We give sufficient conditions for the characteristic function of the process with…
We prove asymptotic results for 2-dimensional random matching problems. In particular, we obtain the leading term in the asymptotic expansion of the expected quadratic transportation cost for empirical measures of two samples of independent…
We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a…