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We introduce a class of iterated processes called $\alpha$-time Brownian motion for $0<\alpha \leq 2$. These are obtained by taking Brownian motion and replacing the time parameter with a symmetric $\alpha$-stable process. We prove a…

We study the long-time behaviour of solutions to a class of $d$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H \in (0,1)$. The drift consists of a dissipative Lipschitz term and a…

The aim of this paper is to establish the weak convergence, in the topology of the Skorohod space, of the $\nu$-symmetric Riemann sums for functionals of the fractional Brownian motion when the Hurst parameter takes the critical value…

This paper presents a powerfull method to integrate general monomials on the classical groups with respect to their invariant (Haar) measure. The method has first been applied to the orthogonal group in [J. Math. Phys. 43, 3342 (2002)], and…

Motivated by application to quantum physics, anticommuting analogues of Wiener measure and Brownian motion are constructed. The corresponding Ito integrals are defined and the existence and uniqueness of solutions to a class of stochastic…

The solutions of the classical equations of motion on a periodic lattice are found which correspond to abelian single and double Dirac sheets. These solutions exist also in non--abelian theories. Possible applications of these solutions to…

Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this…

We prove a central limit theorem for an additive functional of the $d$-dimensional fractional Brownian motion with Hurst index $H\in(\frac{1}{1+d},\frac{1}{d})$, using the method of moments, extending the result by Papanicolaou, Stroock and…

Let $B$ be a bi-fractional Brownian motion with indices $H\in (0,1),K\in (0,1]$, $2HK=1$ and let ${\mathscr L}(x,t)$ be its local time process. We construct a Banach space ${\mathscr H}$ of measurable functions such that the quadratic…

The motion of spinning test-masses in curved space-time is described with a covariant hamiltonian formalism. A large class of hamiltonians can be used with the model- independent Poisson-Dirac brackets, to obtain equations of motion. Here…

The Stone-von Neumann Theorem is a fundamental result which unified the competing quantum mechanical models of matrix mechanics and wave mechanics. It's mechanism of proof ultimately involved the study of unitary group representations on a…

Let $\{X(t)\}_{t\geqslant0}$ be the generalized fractional Brownian motion introduced by Pang and Taqqu (2019): \begin{align*} \{X(t)\}_{t\ge0}\overset{d}{=}&\left\{ \int_{\mathbb R} \left((t-u)_+^{\alpha}-(-u)_+^{\alpha} \right)…

We study random vectors of the form $(\operatorname {Tr}(A^{(1)}V),...,\operatorname {Tr}(A^{(r)}V))$, where $V$ is a uniformly distributed element of a matrix version of a classical compact symmetric space, and the $A^{(\nu)}$ are…

We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is…

We show that the deformation theory of Fr\'echet algebras for actions of K\"ahlerian Lie groups developed by two of us, leads in a natural way to examples of non-compact locally compact quantum groups. This is achieved by constructing a…

Brownian motion of a particle with an arbitrary shape is investigated theoretically. Analytical expressions for the time-dependent cross-correlations of the Brownian translational and rotational displacements are derived from the…

For $0<\alpha \leq 2$ and $0<H<1$, an $\alpha$-time fractional Brownian motion is an iterated process $Z = \{Z(t)=W(Y(t)), t \ge 0\}$ obtained by taking a fractional Brownian motion $\{W(t), t\in \RR{R} \}$ with Hurst index $0<H<1$ and…

Let $G$ be a Lie Group with a left invariant connection such that its connection function is skew-symmetric. Our main goal is to show a version of Pluzhnikov's Theorem for this kind of connection. To this end, we use the stochastic…

A method is given of deriving the distribution of planar Brownian motion evaluated at certain stopping times using analytic functions. This method relies upon a generalization of the standard conformal invariance of harmonic measure. A…

We establish a variational formula for the exponential decay rate of the Green function of Brownian motion evolving in a random stationary and ergodic nonnegative potential. Such a variational formula is established by Schroeder in 'Green's…