Related papers: Set estimation from reflected Brownian motion
We consider the estimation of the drift and the level sets of the stationary distri- bution of a Brownian motion with drift, reflected in the boundary of a compact set $S\subset R^d$ , departing from the observation of a trajectory of this…
The analysis of animal movement has gained attention recently. New continuous-time models and statistical methods have been developed to estimate some sets related to their movements, such as the home-range and the core-area among others,…
We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…
We describe and analyze a class of positive recurrent reflected Brownian motions (RBMs) in $\mathbb{R}^d_+$ for which local statistics converge to equilibrium at a rate independent of the dimension $d$. Under suitable assumptions on the…
We use reflecting Brownian motion (RBM) to prove the well known Gauss-Bonnet-Chern theorem for a compact Riemannian manifold with boundary. The boundary integrand is obtained by carefully analyzing the asymptotic behavior of the boundary…
We consider a super-Brownian motion $X$. Its canonical measures can be studied through the path-valued process called the Brownian snake. We obtain the limiting behavior of the volume of the $\epsilon$-neighborhood for the range of the…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
The complete representation of the Martin compactification for reflected random walks on a half-space $\Z^d\times\N$ is obtained. It is shown that the full Martin compactification is in general not homeomorphic to the ``radial''…
Short-range repulsion governs the dynamics of matter from atoms to animals. Using theory, simulations, and experiments, we find that an ensemble of repulsive particles spreads compactly with a sharp boundary, in contrast to the diffusive…
In this paper, we show that reflecting Brownian motion in any bounded domain D can be approximated, as $k\to\infty$, by simple random walks on "maximal connected" subsets of $(2^{-k}\mathbb{Z}^d)\cap D$ whose filled-in interiors are inside…
It is classical to approximate the distribution of fractional Brownian motion by a renormalized sum $ S_n $ of dependent Gaussian random variables. In this paper we consider such a walk $ Z_n $ that collects random rewards $ \xi_j $ for $ j…
An ongoing challenge in animal ecology is developing movement models that account for the autocorrelation, and often temporal irregularity, in telemetry data. Continuous-time Langevin diffusion models have been proposed to model temporally…
We derive the asymptotic behavior of hitting probability at small target of size $O(\epsilon)$ for reflected Brownian motion in domains with suitable smooth boundary conditions, where the boundary of domain contains both reflecting part,…
We introduce a family of two-dimensional reflected random walks in the positive quadrant and study their Martin boundary. While the minimal boundary is systematically equal to a union of two points, the full Martin boundary exhibits an…
Excursion reflected Brownian motion (ERBM) is a strong Markov process defined in a finitely connected domain $D \subset \mathbb{C}$ that behaves like a Brownian motion away from the boundary of $D$ and picks a point according to harmonic…
We discuss the compact support property of the rough super-Brownian motion constructed as a scaling limit of a branching random walk in static random environment. The semi-linear equation corresponding to this measure-valued process is the…
In proving large deviation estimates, the lower bound for open sets and upper bound for compact sets are essentially local estimates. On the other hand, the upper bound for closed sets is global and compactness of space or an exponential…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We consider an n-dimensional Brownian Motion trapped inside a bounded convex set by normally-reflecting boundaries. It is well-known that this process is uniformly ergodic. However, the rates of this ergodicity are not well-understood,…