Related papers: Weak Convergence of Obliquely Reflected Diffusions
In this paper we shall prove the weak convergence of the associated diffusion processes of regular subspaces with monotone characteristic sets for a fixed Dirichlet form. More precisely, given a fixed 1-dimensional diffusion process and a…
We generalize the coalescing Brownian flow, aka the Brownian web, considered as a weak flow to allow varying drift and diffusivity in the constituent diffusion processes and call these flows coalescing diffusive flows. We then identify the…
Bass and Pardoux (1987) deduce from the Krein-Rutman theorem a reverse ergodic theorem for a sub-probability transition function, which turns out to be a key tool in proving uniqueness of reflecting Brownian Motion in cones in Kwon and…
In this paper, we prove a large deviation principle for the empirical measures of a system of weakly interacting diffusion with reflection. We adopt the weak convergence approach. To make this approach work, we show that the sequence of…
This work gives sufficient conditions for uniqueness in law of semimartingale, obliquely reflecting Brownian motion in a nonpolyhedral, piecewise ${\cal C}^2$ cone, with radially constant, Lipschitz continuous direction of reflection on…
As a continuation to \cite{MRW} where the Poincar\'e and log-Sobolev inequalities were studied for the sticky-reflected Brownian motion on Riemannian manifolds with boundary, this paper establishes the super and weak Poincar\'e inequalities…
We give general conditions for the central limit theorem and weak convergence to Brownian motion (the weak invariance principle / functional central limit theorem) to hold for observables of compact group extensions of nonuniformly…
Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…
This work provides some general theorems about unconditional and conditional weak convergence of empirical processes in the case of Poisson sampling designs. The theorems presented in this work are stronger than previously published…
In this paper, we study discrete approximation of reflected Brownian motions on domains in Euclidean space. Our approximation is given by a sequence of Markov chains on partitions of the domain, where we allow uneven or random partitions.…
The present paper establishes a discrete version of the result obtained by P. Carr and S. Nadtochiy (2011) for 1-dimensional diffusion processes. Our result is for Markov chains on $\mathbf{Z}^d$.
In this paper, we prove first that the iterates of a mean nonexpansive map defined on a weakly compact, convex set converge weakly to a fixed point in the presence of Opial's property and asymptotic regularity at a point. Next, we prove the…
Let $X_n(k)$ be the number of vertices at level $k$ in a random recursive tree with $n+1$ vertices. We are interested in the asymptotic behavior of $X_n(k)$ for intermediate levels $k=k_n$ satisfying $k_n\to\infty$ and $k_n=o(\log n)$ as…
In L.W. Flinn's PhD thesis published in 1972, the author conjectured that weakly expansive flows are also expansive flows. In this paper we use the horocycle flow on compact Riemann surfaces of constant negative curvature to show that…
We establish a novel convergent iteration framework for a weak approximation of general switching diffusion. The key theoretical basis of the proposed approach is a restriction of the maximum number of switching so as to untangle and…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including non-smooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main…
We consider the motion of a particle governed by a weakly random Hamiltonian flow. We identify temporal and spatial scales on which the particle trajectory converges to a spatial Brownian motion. The main technical issue in the proof is to…
We consider contractivity for diffusion semigroups w.r.t. Kantorovich ($L^1$ Wasserstein) distances based on appropriately chosen concave functions. These distances are inbetween total variation and usual Wasserstein distances. It is shown…
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…