Related papers: A probabilistic proof of the Open Mapping Theorem …
It has been known for some time that the Green's function of a planar domain can be defined in terms of the exit time of Brownian motion, and this definition has been extended to stopping times more general than exit times. In this paper,…
It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…
The basic results of a new theory of regular functions of a quaternionic variable have been recently stated, following an idea of Cullen. In this paper we prove the minimum modulus principle and the open mapping theorem for regular…
We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof…
We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional L\'{e}vy's modulus of continuity and many other results are its particular cases.…
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…
A number of recent new proofs of Euler's celebrated identity are presented, all of which are probabilistic in nature and depend on the conformal invariance of planar Brownian motion.
The traditional view in numerical conformal mapping is that once the boundary correspondence function has been found, the map and its inverse can be evaluated by contour integrals. We propose that it is much simpler, and 10-1000 times…
Contraction properties of transport maps between probability measures play an important role in the theory of functional inequalities. The actual construction of such maps, however, is a non-trivial task and, so far, relies mostly on the…
This note is devoted to two classical theorems: the open mapping theorem for analytic functions (OMT) and the fundamental theorem of algebra (FTA). We present a new proof of the first theorem, and then derive the second one by a simple…
This work is a numerical experiment of stochastic motion of conservative Hamiltonian system or weakly damped Brownian particles. The objective is to prove the existence of path probability and to compute its values. By observing a large…
The balance held by Brownian motion between temporal regularity and randomness is embodied in a remarkable way by Levy's forgery of continuous functions. Here we describe how this property can be extended to forge arbitrary dependences…
Capacities of generalized condensers are applied to prove a two-point distortion theorem for conformal mappings. The result is expressed in terms of the Robin function and the Robin capacity with respect to the domain of definition of the…
In this article we introduce powerful tools and techniques from invariant theory to free analysis. This enables us to study free maps with involution. These maps are free noncommutative analogs of real analytic functions of several…
Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion. As an application of a recent result of ours on exponential functionals of Brownian motion, we show in this paper that, for every fixed $t>0$, the process given by…
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
A function f is continuous iff the PRE-image f^{-1}[V] of any open set V is open again. Dual to this topological property, f is called OPEN iff the IMAGE f[U] of any open set U is open again. Several classical Open Mapping Theorems in…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
The concepts of amenable and compatible functions have been introduced in a recent work, in order to state precise mathematical theorems that guarantee that a backward stable algorithm is also forward stable, and that the composition of two…
I provide a proof of the existence of absolutely continuous invariant measures (and study their statistical properties) for multidimensional piecewise expanding systems with not necessarily bounded derivative or distortion. The proof uses…