Related papers: Reflection principle and Ocone martingales
We introduce a family of two-dimensional reflected random walks in the positive quadrant and study their Martin boundary. While the minimal boundary is systematically equal to a union of two points, the full Martin boundary exhibits an…
In the setting of finite reflection groups, we prove that the projection of a Brownian motion onto a closed Weyl chamber is another Brownian motion normally reflected on the walls of the chamber. Our proof is probabilistic and the…
It is well-known that natural axiomatic theories are well-ordered by consistency strength. However, it is possible to construct descending chains of artificial theories with respect to consistency strength. We provide an explanation of this…
The martingale characterizes a kind of fairness or unbiased nature of the stochastic process which is associated with another stochastic process. If $x_t$ evolves according to the Langevin equation whose mean drift is $a_t$ as function of…
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
In this article we prove martingale type pointwise convergence theorems pertaining to tensor product splines defined on $d$-dimensional Euclidean space ($d$ is a positive integer), where conditional expectations are replaced by their…
We prove an entanglement principle for fractional Laplace operators on $\mathbb R^n$ for $n\geq 2$ as follows; if different fractional powers of the Laplace operator acting on several distinct functions on $\mathbb R^n$, which vanish on…
The martingale method is used to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the…
We show that there is a $\beta$-model of second-order arithmetic in which the choice scheme holds, but the dependent choice scheme fails for a $\Pi^1_2$-assertion, confirming a conjecture of Stephen Simpson. We obtain as a corollary that…
It was recently proven that the correlation function of the stationary version of a reflected L\'evy process is nonnegative, nonincreasing and convex. In another branch of the literature it was established that the mean value of the…
A possible mechanism leading to anomalous diffusion is the presence of long-range correlations in time between the displacements of the particles. Fractional Brownian motion, a non-Markovian self-similar Gaussian process with stationary…
We study immersed surfaces in $\mathbb{R}^3$ which are critical points of the Willmore functional under boundary constraints. The two cases considered are when the surface meets a plane orthogonally along the boundary, and when the boundary…
We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many…
We consider iterations of integer-valued functions $\phi$, which have no fixed points in the domain of positive integers. We define a local function $\phi_n$, which is a sub-function of $\phi$ being restricted to the subdomain $\{0, ..., n…
The persistence of a stochastic variable is the probability that it does not cross a given level during a fixed time interval. Although persistence is a simple concept to understand, it is in general hard to calculate. Here we consider zero…
Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…
We prove the analogue of the Martingale Convergence Theorem for polynomial spline sequences. Given a natural number $k $ and a sequence $(t_i)$ of knots in $[0,1]$ with multiplicity $\le k-1$, we let $P_n $ be the orthogonal projection onto…
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time-change are independent? We prove…
We consider in this work small random perturbations (of multiplicative noise type) of the gradient flow. We prove that under mild conditions, when the potential function is a Morse function with additional strong saddle condition, the…