Related papers: Analytic approach for reflected Brownian motion in…
In this note, we consider random walks in the quarter plane with arbitrary big jumps. We announce the extension to that class of models of the analytic approach of [G. Fayolle, R. Iasnogorodski, and V. Malyshev, Random walks in the quarter…
Brownian motion in R 2 + with covariance matrix $\Sigma$ and drift $\mu$ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found…
We consider a continuous-time random walk in the quarter plane for which the transition intensities are constant on each of the four faces $(0,\infty)^2$, $F_1=\{0\}\times(0,\infty)$, $F_2=(0,\infty)\times\{0\}$ and $\{(0,0)\}$. We show…
The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…
Random walks in cones have the double interest of being at the heart of many probabilistic problems and of being related to many mathematical fields, such as spectral theory, combinatorics, or discrete complex analysis. In this article, we…
Enumeration of planar lattice walks is a classical topic in combinatorics, at the cross-roads of several domains (e.g., probability, statistical physics, computer science). The aim of this paper is to propose a new approach to obtain some…
Consider a generic triangle in the upper half of the complex plane with one side on the real line. This paper presents a tailored construction of a discrete random walk whose continuum limit is a Brownian motion in the triangle, reflected…
We investigate reflected random walks in the quarter plane, with particular emphasis on the time spent along the reflection boundary axes. Assuming the drift of the random walk lies within the cone, the local time converges -- without the…
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…
Nearest neighbor random walks in the quarter plane that are absorbed when reaching the boundary are studied. The cases of positive and zero drift are considered. Absorption probabilities at a given time and at a given site are made…
Two-dimensional (random) walks in cones are very natural both in combinatorics and probability theory: they are interesting for themselves and also because they are strongly related to other discrete structures. While walks restricted to…
In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
Enumeration of walks with small steps in the quadrant has been a topic of great interest in combinatorics over the last few years. In this article, it is shown how to compute exact asymptotics of the number of such walks with fixed start-…
The fractional Brownian motion is a generalization of ordinary Brownian motion, used particularly when long-range dependence is required. Its explicit introduction is due to B.B. Mandelbrot and J.W. van Ness (1968) as a self-similar…
Random walk is a fundamental concept with applications ranging from quantum physics to econometrics. Remarkably, one specific model of random walks appears to be ubiquitous across many fields as a tool to analyze transport phenomena in…
This paper is the first application of the compensation approach to counting problems. We discuss how this method can be applied to a general class of walks in the quarter plane $Z_{+}^{2}$ with a step set that is a subset of…
We consider discrete (time and space) random walks confined to the quarter plane, with jumps only in directions $(i,j)$ with $i+j \geq 0$ and small negative jumps, i.e., $i,j \geq -1$. These walks are called singular, and were recently…
The first general analytic solutions for the one-dimensional walk in position and momentum space are derived. These solutions reveal, among other things, new symmetry features of quantum walk probability densities and further insight into…