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We explore the link between combinatorics and probability generated by the question "What does a random parking function look like?" This gives rise to novel probabilistic interpretations of some elegant, known generating functions. It…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
We apply the topology of convergence on compact sets to define unpredictable functions [5, 6]. The topology is metrizable and easy for applications with integral operators. To demonstrate the effectiveness of the approach, the existence and…
For $d \geq 2$ let $B$ be standard $d$-dimensional Brownian motion. For any $\alpha < 1/d$ we construct an $\alpha$-H\"{o}lder continuous function $f \colon [0,1] \to \mathbb{R}^d$ so that the range of $B-f$ covers an open set. This…
We review and give elementary proofs of Liouville type properties of harmonic and subharmonic functions in the plane endowed with a complete Riemannian metric, and prove a gap theorem for the possible growth of harmonic functions when this…
We extend the functional Breuer-Major theorem by Nourdin and Nualart (2020) to the space of rough paths. The proof of tightness combines the multiplication formula for iterated Malliavin divergences, due to Furlan and Gubinelli (2019), with…
We present a self-contained proof of the reflection principle for Brownian Motion.
We regard Forcing Notions P adding real numbers and the algebras of P-measurable sets. As for Cohen- and Random-Forcing we can show that each analytic set is P-measurable using Solovay's Unfolding Trick for infinite games. To show this we…
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the prices are driven by a Geometric…
We consider non-degenerate, finitely supported random walks on a free group. We show that the entropy and the linear drift vary analytically with th eprobability of constant support.
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
Brownian motion in the plane in the presence of a "trap" at which motion is stopped is studied. If the trap $T$ is a connected compact set, it is shown that the probability for planar Brownian motion to hit this set before a given time $t$…
Bernstein polynomials provide a constructive proof for the Weierstrass approximation theorem, which states that every continuous function on a closed bounded interval can be uniformly approximated by polynomials with arbitrary accuracy.…
There is a vast theory of the asymptotic behavior of orthogonal polynomials with respect to a measure on $\mathbb{R}$ and its applications to Jacobi matrices. That theory has an obvious affine invariance and a very special role for…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
We describe generalized Brownian motion related to parabolic equation systems from a logical point of view, i.e., as a generalization of Anderson's random walk. The connection to classical spaces is based on the Loeb measure. It seems that…
Analytical work probability distributions for open classical systems are scarce; they can only be calculated in a few examples. In this work, I present a new method to derive such quantities for weakly driven processes in the overdamped…
The basic mathematical properties of Green's functions used in statistical mechanics as well as the equations defining these functions and the techniques of solving these equations are reviewed. An approach is presented called the…
We show that the past and future of half-plane Brownian motion at certain cutpoints are independent of each other after a conformal transformation. Like in Ito's excursion theory, the pieces between cutpoints form a Poisson process with…
The paper concerns a new method to obtain a direct proof of the openness at linear rate/metric regularity of composite set-valued maps on metric spaces by the unification and refinement of several methods developed somehow separately in…