Related papers: Green function estimates for subordinate Brownian …

The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit solutions in terms of modified Bessel functions. In this paper, we…

Subordinating a multivariate L\'evy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new L\'evy process, provided the subordinator and the subordinate are independent processes. The…

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 show existence, uniqueness and positivity for the Green's function of the operator $(\Delta_g + \alpha)^k$ in a closed Riemannian manifold $(M,g)$, of dimension $n>2k$, $k\in \mathbb{N}$, $k\geq 1$, with Laplace-Beltrami operator…

We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed.…

In [BEI] we introduced a Levy process on a hierarchical lattice which is four dimensional, in the sense that the Green's function for the process equals 1/x^2. If the process is modified so as to be weakly self-repelling, it was shown that…

We present a Cameron--Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion,…

For $\alpha > 0$, the $\alpha$-Lipschitz minorant of a function $f: \mathbb{R} \to \mathbb{R}$ is the greatest function $m : \mathbb{R} \to \mathbb{R}$ such that $m \leq f$ and $|m(s)-m(t)| \le \alpha |s-t|$ for all $s,t \in \mathbb{R}$,…

Let $S_n$ be the simple random walk on the integer lattice $\mathbb{Z}^d$. For a Bernstein function $\phi$ we consider a random walk $S^\phi_n$ which is subordinated to $S_n$. Under a certain assumption on the behaviour of $\phi$ at zero we…

Consider the interior transmission problem arising in inverse boundary value problems for the diffusion equation with discontinuous diffusion coefficients. We prove the unique solvability of the interior transmission problem by constructing…

We prove a uniform boundary Harnack inequality for nonnegative harmonic functions of the fractional Laplacian on arbitrary open set $D$. This yields a unique representation of such functions as integrals against measures on $D^c\cup…

In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…

We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…

Higher Green functions are real-valued functions of two variables on the upper half plane which are bi-invariant under the action of a congruence subgroup, have logarithmic singularity along the diagonal, and satisfy the equation $\Delta f…

The Brownian motion over the space of fluid velocity configurations driven by the hydrodynamical equations is considered. The Green function is computed in the form of an asymptotic series close to the standard diffusion kernel. The high…

Through this article we will use a notation \begin{equation}\label{alfaLap} T_{\alpha}u(x)=(1-|x|^2)\Delta u(x)+2 \alpha \langle x,\nabla u(x)\rangle + (n-2-\alpha) \alpha u(x). \end{equation} Here, $|x|<1$ and $\alpha>-1$. Also, for…

We study the nonequilibrium Keldysh Green's function for an N-orbital Anderson model at high bias voltages, extending a previous work, which for the case only with the spin degrees of freedom N=2, to arbitrary N. Our approach uses an…

The Green's function, serving as a kernel function that delineates the interaction relationships of physical quantities within a field, holds significant research implications across various disciplines. It forms the foundational basis for…

In this paper we introduce and study Brownian motion on state spaces with varying dimension. Starting with a concrete case of such state spaces that models a big square with a flag pole, we construct a Brownian motion on it and study how…

We study the Green function gr_\Gamma\ for the Laplace operator on the quotient of the hyperbolic plane by a cofinite Fuchsian group \Gamma. We use a limiting procedure, starting from the resolvent kernel, and lattice point estimates for…