Related papers: Pathwise uniqueness of the squared Bessel and CIR …
Determinantal point processes are models for regular spatial point patterns, with appealing probabilistic properties. We present their spatio-temporal counterparts and give examples of these models, based on spatio-temporal covariance…
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes equilibria under substantially weaker regularity conditions…
This work gives sufficient conditions for uniqueness in law of semimartingale, obliquely reflecting Brownian motion in a nonpolyhedral, piecewise ${\cal C}^2$ cone, with radially constant, Lipschitz continuous direction of reflection on…
A closed expression for the harmonic oscillator wave function after the passage of a linear signal with arbitrary time dependence is derived. Transition probabilities are simple to express in terms of Laguerre polynomials. Spontaneous…
In this paper we deal with the classical problem of random cover times. We investigate the distribution of the time it takes for a Poisson process of cylinders to cover a set $A \subset \mathbb{R}^d.$ This Poisson process of cylinders is…
Let $X$ be a regular one-dimensional transient diffusion and $L^y$ be its local time at $y$. The stochastic differential equation (SDE) whose solution corresponds to the process $X$ conditioned on $[L^y_{\infty}=a]$ for a given $a\geq 0$ is…
We prove strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. It is also shown that their local times are close enough to…
It is a very old and interesting open problem to characterize those collections of embedded topological types of local plane curve singularities which may appear as singularities of a projective plane curve C of degree d. The goal of the…
Consider the Skorokhod equation in the closed first quadrant: \[ X_t=x_0+ B_t+\int_0^t{\bf v}(X_s)\, dL_s,\] where $B_t$ is standard 2-dimensional Brownian motion, $X_t$ takes values in the quadrant for all $t$, and $L_t$ is a process that…
We exhibit an explicit natural isomorphism between spaces of branched and geometric rough paths. This provides a multi-level generalisation of the isomorphism of Lejay-Victoir (2006) as well as a canonical version of the It\^o-Stratonovich…
For three constrained Brownian motions, the excursion, the meander, and the reflected bridge, the densities of the maximum and of the time to reach it were expressed as double series by Majumdar, Randon-Furling, Kearney, and Yor (2008).…
We count the number of lattice paths lying under a cyclically shifting piecewise linear boundary of varying slope. Our main result extends well known enumerative formulae concerning lattice paths, and its derivation involves a classical…
We study a model of $n$ non-intersecting squared Bessel processes in the confluent case: all paths start at time $t = 0$ at the same positive value $x = a$, remain positive, and are conditioned to end at time $t = T$ at $x = 0$. In the…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
In 2008, T\'oth and Vet\H{o} defined the self-repelling random walk with directed edges as a non-Markovian random walk on $\mathbb{Z}$: in this model, the probability that the walk moves from a point of $\mathbb{Z}$ to a given neighbor…
This paper explicitly computes the transition densities of a spectrally negative stable process with index greater than one, reflected at its infimum. First we derive the forward equation using the theory of sun-dual semigroups. The…
It is shown that in the case of the one-particle one-dimensional scattering problem for a given time-independent potential, for each state of the whole quantum ensemble of identically prepared particles, there is an unique pair of…
Quantum mechanics requires a hermitian inner product <~,~> -- linear in one variable, antilinear in the other -- while the inner product (~,~) that comes most naturally from Euclidean path integrals is linear in each variable. Here we…
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the…
We prove that immersions of planar domains are uniquely specified by their Jacobian determinant, curl function, and boundary values. This settles the two-dimensional version of an outstanding conjecture related to a particular grid…