Related papers: A note on a Poissonian functional and a $q$-deform…
Given a random walk $(S_n)$ with typical step distributed according to some fixed law and a fixed parameter $p \in (0,1)$, the associated positively step-reinforced random walk is a discrete-time process which performs at each step, with…
The aim of this paper is to investigate discrete approximations of the exponential functional $\int_0^{\infty} \exp(B(t) - \nu t) \di t$ of Brownian motion (which plays an important role in Asian options of financial mathematics) by the…
For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the…
We examine a new path transform on 1-dimensional simple random walks and Brownian motion, the quantile transform. This transformation relates to identities in fluctuation theory due to Wendel, Port, Dassios and others, and to discrete and…
The exponential functional of simple, symmetric random walks with negative drift is an infinite polynomial $Y = 1 + \xi_1 + \xi_1 \xi_2 + \xi_1 \xi_2 \xi_3 + ...$ of independent and identically distributed non-negative random variables. It…
Consider a one dimensional simple random walk $X=(X_n)_{n\geq0}$. We form a new simple symmetric random walk $Y=(Y_n)_{n\geq0}$ by taking sums of products of the increments of $X$ and study the two-dimensional walk…
We find certain functional identities for the Gauss q-power function of a sum of q-commuting variables. Then we use these identities to obtain two-parameter twists of the quantum affine algebra U_q (\hat{sl}_2) and of the Yangian Y(sl_2).…
This paper is concerned with Random walk approximations of the Brownian motion on the Affine group Aff(R). We are in particular interested in the case where the innovations are discrete. In this framework, the return probability of the walk…
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…
Spitzer's identity describes the position of a reflected random walk over time in terms of a bivariate transform. Among its many applications in probability theory are congestion levels in queues and random walkers in physics. We present a…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
We study the behavior of the random walk in a continuum independent long-range percolation model, in which two given vertices $x$ and $y$ are connected with probability that asymptotically behaves like $|x-y|^{-\alpha}$ with $\alpha>d$,…
We demonstrate a quantum walk with time-dependent coin bias. With this technique we realize an experimental single-photon one-dimensional quantum walk with a linearly-ramped time-dependent coin flip operation and thereby demonstrate two…
We prove that for any non-trivial product-type action of SUq(n) (0<q<1) on an ITPFI factor N, the relative commutant of the fixed point algebra in N is isomorphic to the algebra of bounded measurable functions on the quantum flag manifold.…
We study an inverse problem on a finite connected graph G = (X, E), on whose vertices a conductivity {\gamma} is defined. Our data consists in a sequence of partial observations of a fractional random walk on G. The observations are partial…
A multivariate fractional Poisson process was recently defined in Beghin and Macci (2016) by considering a common independent random time change for a finite dimensional vector of independent (non-fractional) Poisson processes; moreover it…
On the basis of the non-commutative q-calculus, we investigate a q-deformation of the classical Poisson bracket in order to formulate a generalized q-deformed dynamics in the classical regime. The obtained q-deformed Poisson bracket appears…
We construct admissible circulant Laplacian matrix functions as generators for strictly increasing random walks on the integer line. These Laplacian matrix functions refer to a certain class of Bernstein functions. The approach has…
In this paper we focus our attention on a particle that follows a unidirectional quantum walk, an alternative version of the nowadays widespread discrete-time quantum walk on a line. Here the walker at each time step can either remain in…
We study different fractional extensions of the Poisson process and generalized counting processes by introducing time-change represented by the inverse to the sums of stable and tempered stable subordinators. We state the governing…