Related papers: Some explicit formulas for the Brownian bridge, Br…

A classical limit theorem of stochastic process theory concerns the sample cumulative distribution function (CDF) from independent random variables. If the variables are uniformly distributed then these centered CDFs converge in a suitable…

We investigate a class of line ensembles whose local structure is described by independent geometric random walk bridges, which have been conditioned to interlace with each other. The latter arise naturally in the context Schur processes,…

We consider certain noncolliding interacting particle systems driven by Brownian noise. A key example is drifted Brownian motions conditioned not to intersect and related models of eigenvalues of Hermitian random matrices. We establish…

We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure for the periodic derivative nonlinear Schr\"odinger equation…

Resampling from a target measure whose density is unknown is a fundamental problem in mathematical statistics and machine learning. A setting that dominates the machine learning literature consists of learning a map from an easy-to-sample…

In this paper, we develop a general machinery for finding explicit uniform probability and moment bounds on sub-additive positive functionals of random processes. Using the developed general technique, we derive uniform bounds on the…

In this paper we introduce a method which allows us to study properties of the random uniform simplicial complex. That is, we assign equal probability to all simplicial complexes with a given number of vertices and then consider properties…

We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger…

We prove strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. It is also shown that their local times are close enough to…

Smoothness and asymptotic behaviors are studied for the densities of the law of the occupation time on the positive line for Bessel bridges and the normalized excursion of strictly stable processes. The key role is played by these…

A classic result on the 1-dimensional Brownian motion shows that conditionally on its first hitting time of 0, it has the distribution of a 3-dimensional Bessel bridge. By applying a certain time-change to this result, Matsumoto and Yor…

Let $\{\eta_i\}_{i\ge 1}$ be a sequence of dependent Bernoulli random variables. While the Poisson approximation for the distribution of $\sum_{i=1}^n\eta_i$ has been extensively studied in the literature, this paper establishes new…

Given a deterministically time-changed Brownian motion $Z$ starting from 1, whose time-change $V(t)$ satisfies $V(t) > t$ for all $t > 0$, we perform an explicit construction of a process $X$ which is Brownian motion in its own filtration…

The three arcsine laws for Brownian motion are a cornerstone of extreme-value statistics. For a Brownian $B_t$ starting from the origin, and evolving during time $T$, one considers the following three observables: (i) the duration $t_+$ the…

First we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we prove that the law of the radial part of…

The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…

A reinforcement algorithm introduced by H.A. Simon \cite{Simon} produces a sequence of uniform random variables with memory as follows. At each step, with a fixed probability $p\in(0,1)$, $\hat U_{n+1}$ is sampled uniformly from $\hat U_1,…

We seek to connect ideas in the theory of bridge trisections with other well-studied facets of classical knotted surface theory. First, we show how the normal Euler number can be computed from a tri-plane diagram, and we use this to give a…

Functionals of Brownian bridge arise as limiting distributions in nonparametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. Only the…

We study the probability distribution, $P_N(T)$, of the coincidence time $T$, i.e. the total local time of all pairwise coincidences of $N$ independent Brownian walkers. We consider in details two geometries: Brownian motions all starting…