Related papers: Continuity of Local Time: An applied perspective
This article is a guide to the literature on existence theorems for the Einstein equations which also draws attention to open problems in the field. The local in time Cauchy problem, which is relatively well understood, is treated first.…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
Exact generalized stochastic representation of deterministic interaction between two dynamical (quantum or classical) systems is derived which helps when considering one of them to replace another by equivalent commutative ($c$-number…
Brownian motion has played important roles in many different fields of science since its origin was first explained by Albert Einstein in 1905. Einstein's theory of Brownian motion, however, is only applicable at long time scales. At short…
Building on an analogy with conformal invariance, local scale transformations consistent with dynamical scaling are constructed. Two types of local scale invariance are found which act as dynamical space-time symmetries of certain non-local…
A many particle Hamiltonian, where the interaction term conserves the number of particles, is considered. A master equation for the populations of the different levels is derived in an exact way. It results in a local equation with…
Physical scenarios that require a relativistic treatment are ubiquitous in nature, ranging from cosmological objects to charge carriers in Dirac materials. Interestingly all of these situations have in common that the systems typically…
We define a simple model of conformal field theory in random space-time environments, which we refer to as stochastic conformal field theory. This model accounts for the effects of dilute random impurities in strongly interacting critical…
In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem.…
We show that, simultaneous local scaling of coordinate and time keeping the velocity unaltered is a symmetry of an It\^o-process. Using this symmetry, any It\^o-process can be mapped to a universal additive Gaussian-noise form. We use this…
In this note, by an elementary use of Girsanov's transform we show that the exit time for either a biased random walk or a drifted Brownian motion on a symmetric interval is stochastically monotone with respect to the drift parameter. In…
A simple random walk and a Brownian motion are considered on a spider that is a collection of half lines (we call them legs) joined in the origin. We give a strong approximation of these two objects and their local times. For fixed number…
Nonlocal constants are functions that are constant along motion but whose value depends on the past history of the motion itself. They are a powerful tool to provide first integrals in classical mechanics and, in this respect, a new…
We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are…
The main result is a counterpart of the theorem of Monroe [\emph{Ann. Probability} \textbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Brownian motion if and only if it is a…
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…
We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $\varepsilon ^2$. When $\varepsilon =0$ such equations have an unstable non-hyperbolic fixed point and the drift…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…