Related papers: Scaling limit of d-inverse of Brownian motion with…
Many properties of Brownian motion on spaces with varying dimension (BMVD in abbreviation) have been explored in [5]. In this paper, we study Brownian motion with drift on spaces with varying dimension (BMVD with drift in abbreviation).…
For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the…
This article provides a scaling limit for a family of skew interacting Brownian motions in the context of mesoscopic interface models. Let $d\in\mathbb N$, $y_1,\dots,y_M\in\mathbb R$ and $f\in C_b(\mathbb R)$ be fixed. For each…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
We consider the median of n independent Brownian motions, and show that this process, when properly scaled, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct…
The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian…
We consider the estimation of the drift and the level sets of the stationary distri- bution of a Brownian motion with drift, reflected in the boundary of a compact set $S\subset R^d$ , departing from the observation of a trajectory of this…
We consider continuous time interlacements on Z^d, with d bigger or equal to 3, and investigate the scaling limit of their occupation times. In a suitable regime, referred to as the constant intensity regime, this brings Brownian…
We consider a standard one-dimensional Brownian motion on the time interval $[0,1]$ conditioned to have vanishing iterated time integrals up to order $N$. We show that the resulting processes can be expressed explicitly in terms of shifted…
Negative correlations in the distribution of prime numbers are found to display a scale invariance. This occurs in conjunction with a nonstationary behavior. We compare the prime number series to a type of fractional Brownian motion which…
We provide a rigorous derivation of the brownian motion as the limit of a deterministic system of hard-spheres as the number of particles $N$ goes to infinity and their diameter $\varepsilon$ simultaneously goes to $0$, in the fast…
G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a…
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit…
We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in (Knight, 2001). Interesting…
We consider stochastic differential equation $$ d X_t=b(X_t) dt +d W_t^H, $$ where the drift $b$ is either a measure or an integrable function, and $W^H$ is a $d$-dimensional fractional Brownian motion with Hurst parameter $H\in(0,1)$,…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
We consider a branching Brownian motion in $\mathbb{R}^d$. We prove that there exists a random subset $\Theta$ of $\mathbb{S}^{d-1}$ such that the limit of the derivative martingale exists simultaneously for all directions $\theta \in…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…