Related papers: Excited Brownian Motions

The primary purpose of this article is to prove a tightness of skew random walks. The tightness result implies, in particular, that the skew Brownian motion can be constructed as the scaling limit of such random walks. Our proof of…

Nearly fifty years after the introduction of skew Brownian motion by It\^o and McKean (1963), the first passage time distribution remains unknown. In this paper, we generalize results of Pitman and Yor (2001) and Cs\'aki and Hu (2004) to…

We consider a one-dimensional Brownian motion of fixed duration $T$. Using a path-integral technique, we compute exactly the probability distribution of the difference $\tau=t_{\min}-t_{\max}$ between the time $t_{\min}$ of the global…

This paper calculates several useful statistical properties of the convex minorant process generated by random walk processes. In particular, we calculate the statistics of the longest segment in the convex minorant of a random walk of a…

We extend to the vector-valued situation some earlier work of Ciesielski and Roynette on the Besov regularity of the paths of the classical Brownian motion. We also consider a Brownian motion as a Besov space valued random variable. It…

We study continuous-time (variable speed) random walks in random environments on $\mathbb{Z}^d$, $d\ge2$, where, at time $t$, the walk at $x$ jumps across edge $(x,y)$ at time-dependent rate $a_t(x,y)$. The rates, which we assume stationary…

We establish recurrence and transience criteria for critical branching processes in random environment with immigration. These results are then applied to discuss recurrence and transience of a recurrent random walk in a random environment…

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…

We consider two dimensional random walks conditioned to stay in the positive quadrant. Assuming that the increments of the walk have finite second moments and that the drift vector is co-oriented with one of two axes, we construct positive…

This paper considers 1-dimensional generalized random walks in random scenery. That is, the steps of the walk are generated by an arbitrary stationary process, and also the scenery is a priori arbitrary stationary. Under an ergodicity…

Random walks in random scenery are processes defined by $Z_n:=\sum_{k=1}^n\xi_{X_1+...+X_k}$, where $(X_k,k\ge 1)$ and $(\xi_y,y\in\mathbb Z)$ are two independent sequences of i.i.d. random variables. We suppose that the distributions of…

Using the language of regular variation, we give a sufficient condition for a point process to be in the superposition domain of attraction of a strictly stable point process. This sufficient condition is then used to obtain an explicit…

We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…

In this paper we consider a particular version of the random walk with restarts: random reset events which bring suddenly the system to the starting value. We analyze its relevant statistical properties like the transition probability and…

We discuss the question of recurrence for persistent, or Newtonian, random walks in Z^2, i.e., random walks whose transition probabilities depend both on the walker's position and incoming direction. We use results by Toth and Schmidt-Conze…

The aim of this paper is to study the asymptotic behaviour of a class of self- attracting motions on R^d . Using stochastic approximation methods, these processes have already been studied by Bena\"im, Ledoux and Raimond (2002) in a compact…

We study biased random walks on dynamical percolation in $\mathbb{Z}^d$, which were recently introduced by Andres et al. We provide a second order expansion for the asymptotic speed and show for $d \ge 2$ that the speed of the biased random…

We derive the moments of the first passage time for Brownian motion conditioned by either the maximum value or the area swept out by the motion. These quantities are the natural counterparts to the moments of the maximum value and area of…

We give non-trivial upper and lower bounds on the range of the so-called Balanced Excited Random Walk in two dimensions, and verify a conjecture of Benjamini, Kozma and Schapira. To the best of our knowledge these are the first non-trivial…

We establish an invariance principle connecting boundary random walks on $\mathbb N$ with Feller's Brownian motions on $[0,\infty)$. A Feller's Brownian motion is a Feller process on $[0,\infty)$ whose excursions away from the boundary $0$…