Related papers: Conformal transforms and Doob's h-processes on Hei…

This paper provides the time-dependent $L^2$-martingale representation of the forward stochastic integral where the driving noise is the Riemann-Liouville fractional Brownian motion with parameter $\frac{1}{2} < H < 1$ and the integrand is…

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H…

Noncommutative quantum mechanics on the plane has been widely studied in the literature. Here, we consider the problem using Isham's canonical group quantization scheme for which the primary object is the symmetry group that underlies the…

We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…

We consider in this work a one parameter family of hypoelliptic diffusion processes on the unit tangent bundle $T^1 \mathcal M$ of a Riemannian manifold $(\mathcal M,g)$, collectively called kinetic Brownian motions, that are random…

We study the critical energy and magnetization profiles for the Ising quantum chain with a marginal extended surface perturbation of the form A/y, y being the distance from the surface (Hilhorst-van Leeuwen model). For weak local couplings,…

Under some weak conditions, the first-passage time of the Brownian motion to a continuous curved boundary is an almost surely finite stopping time. Its probability density function (pdf) is explicitly known only in few particular cases.…

Distribution of a Brownian motion conditioned to start from the boundary of an open set $G$ and to stay in $G$ for a finite period of time is studied. Characterizations of such distributions in terms of certain singular stochastic…

The aim of this paper is to study some properties of left translates of a square integrable function on the Heisenberg group. First, a necessary and sufficient condition for the existence of the canonical dual to a function $\varphi\in…

In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions $f(t);…

We consider Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index $H\geq \frac12$. We show the convergence of these schemes at first and second order. The processes obtained in the limit…

We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a…

The Levy transform of a Brownian motion B is the Brownian motion B't, the integral over (O,t) of sign of Bs with respect to dBs. Call T the corresponding transformation on the Wiener space W. We establish that a.s. the orbit of w in W under…

Pathwise constructions of Brownian motions which satisfy all possible boundary conditions at the vertex of single vertex graphs are given.

We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in (Knight, 2001). Interesting…

Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…

The problem of diagonalization of Hamiltonians of N-dimensional boson systems by means of time-dependent canonical transformations (CT) is considered, the case of quadratic Hamiltonians being treated in greater detail. The unitary generator…

In this paper, we consider oscillating convolution operotors on the Heisenberg group $H^n_a$ with respect to the norm $\rho(x,t) = \rho_1(b x, b t)$ with $\rho_1(x,t)= (|x|^4 + t^2)^{1/4}$. We obtain $L^2$ boundedness properties using the…

The covariantization procedure is usually referred to the translation operator, that is the derivative. Here we introduce a general method to covariantize arbitrary differential operators, such as the ones defining the fundamental group of…

Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…