Related papers: Boundary crossing probabilities for $(q,d)$-Slepia…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…
Consider the Slepian process $S$ defined by $ S(t)=B(t+1)-B(t),t\in [0,1]$ with $B(t),t\in \R$ a standard Brownian motion.In this contribution we analyze the joint distribution between the maximum $m_{s}=\max_{0\leq u\leq s}S(u)$ certain…
This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a finite time interval. A non-explicit formula is first obtained…
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…
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…
For arrays $(S_{i,j})_{1\leq i\leq j}$ of random variables that are stationary in an appropriate sense, we show that the fluctuations of the process $(S_{1,n})_{n=1}^{\infty}$ can be bounded in terms of a measure of the ``mean…
Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…
The main purpose of this paper is to investigate the strong approximation of the integrated empirical process. More precisely, we obtain the exact rate of the approximations by a sequence of weighted Brownian bridges and a weighted Kiefer…
In this paper, we study the problem of finding the probability that the two-dimensional (biased) monotonic random walk crosses the line $y=\alpha x+d$, where $\alpha,d \geq 0$. A $\beta$-biased monotonic random walk moves from $(a,b)$ to…
Consider non-intersecting Brownian motions on the real line, starting from the origin at t=0, with a number of particles forced to reach p distinct target points at time t=1. This work shows that the transition probability, that is the…
Let $W_i=\{W_i(t_i), t_i\in \R_+\}, i=1,2,\ldots,d$ are independent Wiener processes. $W=\{W(\mathbf{t}),t\in \R_+^d\}$ be the additive Wiener field define as the sum of $W_i$. For any trend $f$ in $\kHC$ (the reproducing kernel Hilbert…
We consider parametric exponential families of dimension $K$ on the real line. We study a variant of \textit{boundary crossing probabilities} coming from the multi-armed bandit literature, in the case when the real-valued distributions form…
We establish the scaling limit of a class of boundary random walks to the full spectrum of Brownian-type processes on the half-line. By solving the associated martingale problem and employing weak convergence techniques, we prove that under…
We investigate time-dependent probability for a Brownian particle passing over the barrier to stay at a metastable potential pocket against escaping over the barrier. This is related to whole fusion-fission dynamical process and can be…
We consider $n$ independent, identically distributed one-dimensional Brownian motions, $B_j(t)$, where $B_j(0)$ has a rapidly decreasing, smooth density function $f$. The empirical quantiles, or pointwise order statistics, are denoted by…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work,…
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…
Efficient computation of trajectories of switched affine systems becomes possible, if for any such hybrid system, we can manage to efficiently compute the sequence of switching times. Once the switching times have been computed, we can…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
We reveal a shape transition for a transient simple random walk forced to realize an excess $q$-norm of the local times, as the parameter $q$ crosses the value $q_c(d)=\frac{d}{d-2}$. Also, as an application of our approach, we establish a…