Related papers: Pathwise uniqueness of the squared Bessel and CIR …
We study a class of high-frequency path functionals for diffusions with singular thresholds or boundaries, where the process exhibits either (i) skweness, oscillating coefficients, and stickiness, or (ii) sticky reflection. The functionals…
Let $(Y_n)$ be a sequence of i.i.d. real valued random variables. Reflected random walk $(X_n)$ is defined recursively by $X_0=x \ge 0$, $X_{n+1} = |X_n - Y_{n+1}|$. In this note, we study recurrence of this process, extending a previous…
We study an approximation by time-discretized geodesic random walks of a diffusion process associated with a family of time-dependent metrics on manifolds. The condition we assume on the metrics is a natural time-inhomogeneous extension of…
A detailed analysis of the wave-mode structure in a bend and its incorporation into a stable algorithm for calculation of the scattering matrix of the bend is presented. The calculations are based on the modal approach. The stability and…
Let $\mathcal{K}\subset R^d$, $d\ge2$, be a smooth, bounded domain satisfying $0\in\mathcal{K}$, and let $f(t),\ t\ge0$, be a smooth, continuous, nondecreasing function satisfying $f(0)>1$. Define $D_t=f(t)\mathcal{K}\subset R^d$. Consider…
We consider a stationary queueing process $Q_X$ fed by a centered Gaussian process $X$ with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function $f$, $\mathbb P…
Positive twisted traces are mathematical objects that could be useful in computing certain parameters of superconformal field theories. The case when $\mathcal{A}$ is a $q$-Weyl algebra and $\rho$ is a certain antilinear automorphism of…
We prove strong existence and uniqueness for a reflection process $X$ in a smooth, bounded domain $D$ that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter $S$, which…
We investigate the effects of noise reinforcement on a Bessel process of dimension $d\in(0,2)$, and more specifically on the asymptotic behavior of its additive functionals. This leads us to introduce a local time process and its inverse.…
Let $s$ be a source point and $t$ be a destination point inside an $n$-vertex simple polygon $P$. Euclidean shortest paths and minimum-link paths between $s$ and $t$ inside $P$ have been well studied. Both these kinds of paths are simple…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
In this paper the fractional Cox-Ingersoll-Ross process on $\mathbb{R}_+$ for $H<1/2$ is defined as a square of a pointwise limit of the processes $Y_{\varepsilon}$, satisfying the SDE of the form $d Y_{\varepsilon}(t)=( \frac{k}{…
A new proof of a pathwise uniqueness result of Krylov and R\"{o}ckner is given. It concerns SDEs with drift having only certain integrability properties. In spite of the poor regularity of the drift, pathwise continuous dependence on…
We construct a series of stochastic differential equations of the form $dX_t = b(t, X_t) dt + dB_t$ which exhibit nonuniqueness in the path-by-path sense while having a unique adapted solution in the sense of stochastic processes, i.e.…
We consider the fractional Cox-Ingersoll-Ross process satisfying the stochastic differential equation (SDE) $dX_t = aX_t\,dt + \sigma \sqrt{X_t}\,dB^H_t$ driven by a fractional Brownian motion (fBm) with Hurst parameter exceeding…
The real-time propagator of the symmetric Rosen-Morse, also known as the symmetric modified P\"oschl-Teller, barrier is expressed in the Picard-Lefschetz path integral formalism using real and complex classical paths. We explain how the…
We present a renewed wave-packet analysis based on the following ideas: if a quantum one-particle scattering process and the corresponding state are described by an indivisible wave packet to move as a whole at all stages of scattering,…
We consider super-Brownian motion whose historical paths reflect from each other, unlike those of the usual historical super-Brownian motion. We prove tightness for the family of distributions corresponding to a sequence of discrete…
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability…
Let $X$ and $Y$ denote two independent squared Bessel processes of dimension $m$ and $n-m$, respectively, with $n\geq 2$ and $m \in [0, n)$, making $X+Y$ a squared Bessel process of dimension $n$. For appropriately chosen function $s$, the…