Related papers: Conformal Restriction and Brownian Motion
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
Using the estimate of the difference between the discrete harmonic function and its corresponding continuous version we derive a rate of convergence of the Loewner driving function for the harmonic explorer to the Brownian motion with speed…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
We investigate first and second order fluctuations of additive functionals of a fractional Brownian motion (fBm) of the form \begin{align}\label{eq:abstractmain} Z_n=\left\{\int_{0}^{t}f(n^{H}(B_{s}-\lambda))ds\ ; t\geq 0 \right\}…
Based upon the formalism of conformal field theory with a boundary, we give a description of the boundary effect on fully developed two dimensional turbulence. Exact one and two point velocity correlation functions and energy power spectrum…
A well-known result with respect to the one dimensional nearest-neighbor symmetric simple exclusion process is the convergence to fractional Brownian motion with Hurst parameter 1/4, in the sense of finite-dimensional distributions, of the…
This paper gives an accessible (but still technical) self-contained proof to the fact that the intersection probabilities for planar Brownian motion are given in terms of the intersection exponents, up to a bounded multiplicative error, and…
We give the correct condition for existence of the $k$-th derivative of the intersection local time for fractional Brownian motion, which was originally discussed in [Guo, J., Hu, Y., and Xiao, Y., Higher-order derivative of intersection…
Using the explicit representations of the Brownian motions on the hyperbolic spaces, we show that their almost sure convergence and the central limit theorems for the radial components as time tends to infinity are easily obtained. We also…
Consider p independent Brownian motions in R^d, each running up to its first exit time from an open domain B, and their intersection local time l as a measure on B. We give a sharp criterion for the finiteness of exponential moments,…
This work deals with the conformal transformations in six-dimensional spinorial formalism. Several conformally invariant equations are obtained and their geometrical interpretation are worked out. Finally, the integrability conditions for…
This paper studies a stochastic functional differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2, constrained to be reflected at 0. We prove the existence of solutions using the Euler method. However,…
In this paper we investigate the class of grey Brownian motions $B_{\alpha,\beta}$ ($0<\alpha<2$, $0<\beta\leq1$). We show that grey Brownian motion admits different representations in terms of certain known processes, such as fractional…
From conformal field theory on the Riemann sphere, we implement its boundary version in a simply-connected domain using the Schottky double construction. We consider the statistical fields generated by background charge modification of the…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…
In this paper we study the constraints imposed by conformal invariance on extended objects a.k.a defects in a conformal field theory. We identify a particularly nice class of defects that is closed under conformal transformations.…
We use the coupling technique to prove that there exists a loop-erasure of a plane Brownian motion stopped on exiting a simply connected domain, and the loop-erased curve is the reversal of a radial SLE$_2$ curve.