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We study the error in approximating the minimum of a Brownian motion on the unit interval based on finitely many point evaluations. We construct an algorithm that adaptively chooses the points at which to evaluate the Brownian path. In…
For a function defined on an arbitrary subset of a Riemann surface, we give conditions which allow the function to be extended conformally. One folkloric consequence is that two common definitions of an analytic arc in ${\mathbb C}$ are…
This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic analysis in this framework. Furthermore, the conformal…
We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…
It has been shown that a functional interpretation of proofs in mathematical analysis can be given by the product of selection functions, a mode of recursion that has an intuitive reading in terms of the computation of optimal strategies in…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
We describe in detail the history of Brownian motion, as well as the contributions of Einstein, Sutherland, Smoluchowski, Bachelier, Perrin and Langevin to its theory. The always topical importance in physics of the theory of Brownian…
We study the functorial and growth properties of closed orbits for maps. By viewing an arbitrary sequence as the orbit-counting function for a map, iterates and Cartesian products of maps define new transformations between integer…
The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…
We describe a probabilistic model involving iterated Brownian motion for constructing a random chainable continuum. We show that this random continuum is indecomposable.
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.…
We give a proof of openness of versality using coherent functors. As an application, we streamline Artin's criterion for algebraicity of a stack. We also introduce multi-step obstruction theories, employing them to produce obstruction…
We construct a Moutard-type transform for the generalized analytic functions. The first theorems and the first explicit examples in this connection are given.
In this paper we present another proof of the analytic version of the Hahn-Banach theorem in terms of convex functionals.
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…
We prove a number of results relating exit times of planar Brownian with the geometric properties of the domains in question. Included are proofs of the conformal invariance of moduli of rectangles and annuli using Brownian motion;…
We establish global universal approximation theorems on spaces of piecewise linear paths, stating that linear functionals of the corresponding signatures are dense with respect to $L^p$- and weighted norms, under an integrability condition…
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…
In this paper we present a geometric proof of the following fact. Let $D$ be a Jordan domain in $\mathbb{C}$, and let $f$ be analytic on $cl(D)$. Then there is an injective analytic map $\phi:D\to\mathbb{C}$, and a polynomial $p$, such that…
We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…