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The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
We study the overdetermined problem for a large family of non-local operators given by generators of subordinate Brownian motions. In particular, this family includes the fractional Laplacian, relativistic stable operators etc. We consider…
We have considered the underdamped motion of a Brownian particle in the presence of a correlated external random force. The force is modeled by an Ornstein-Uhlenbeck process. We investigate the fluctuations of the work done by the external…
We consider a family of pseudo differential operators $\{\Delta+ a^\alpha \Delta^{\alpha/2}; a\in (0, 1]\}$ on $\bR^d$ for every $d\geq 1$ that evolves continuously from $\Delta$ to $\Delta + \Delta^{\alpha/2}$, where $\alpha \in (0, 2)$.…
We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional L\'evy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral…
We consider branching Brownian motion in which initially there is one particle at $x$, particles produce a random number of offspring with mean $m+1$ at the time of branching events, and each particle branches at rate $\beta = 1/2m$.…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
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 $0$…
The Green's function method has applications in several fields in Physics, from classical differential equations to quantum many-body problems. In the quantum context, Green's functions are correlation functions, from which it is possible…
A $p$-adic Brownian motion is a continuous time stochastic process in a $p$-adic state space that has a Vladimirov operator as its infinitesimal generator. The current work shows that any such process is the scaling limit of a discrete time…
In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem.…
We explore the higher integrability of Green's functions associated with the second-order elliptic equation $a^{ij}D_{ij}u + b^i D_iu = f$ in a bounded domain $\Omega \subset \mathbb{R}^d$, and establish an enhanced version of Aleksandrov's…
Based on the generating functional method with an external source function, a useful constraint on the source function is proposed for analyzing the one- and two-loop world-line Green functions. The constraint plays the same role as the…
We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
Suppose $d\ge 2$ and $0<\beta<\alpha<2$. We consider the non-local operator $\mathcal{L}^{b}=\Delta^{\alpha/2}+\mathcal{S}^{b}$, where $$\mathcal{S}^{b}f(x):=\lim_{\varepsilon\to…
Time-changed stochastic processes have attracted great attention and wide interests due to their extensive applications, especially in financial time series, biology and physics. This paper pays attention to a special stochastic process,…
In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions $f(t);…
Motivated by the study of the convex hull of the trajectory of a Brownian motion in the unit disk reflected orthogonally at its boundary, we study inhomogeneous fragmentation processes in which particles of mass $m \in (0,1)$ split at a…
For any 0 < alpha <2, a truncated symmetric alpha-stable process is a symmetric Levy process in R^d with a Levy density given by c|x|^{-d-alpha} 1_{|x|< 1} for some constant c. In this paper we study the potential theory of truncated…