Related papers: Conditional measure on the Brownian path and other…

In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…

In this note we construct a measure $\mu$ on a $\sigma$-algebra $\mathcal{M}$ of subsets of the positive real axis, $\mathbb{R}_{>0}$, with the following multiplicative property: \[ \mu \left( \bigcup_j E_j \right) = \prod_j \mu(E_j) \] for…

As was noted already by A. N. Kolmogorov, any random variable has a Bernoulli component. This observation provides a tool for the extension of results which are known for Bernoulli random variables to arbitrary distributions. Two…

We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution…

Suppose that the (normalised) partial sum of a stationary sequence converges to a standard normal random variable. Given sufficiently moments, when do we have a rate of convergence of $n^{-1/2}$ in the uniform metric, in other words, when…

In this article we study the convex hull spanned by the union of trajectories of a standard planar Brownian motion, and an independent standard planar Brownian bridge. We find exact values of the expectation of perimeter and area of such a…

Inspired by coarea formula in geometric measure theory, an occupation time formula for continuous semimartingales in $\mathbb{R}^{N}$ is proven. The occupation measure of a semimartingale, for $N\geq2$, is singular with respect to Lebesgue…

Let $E$ be a Moran set on $\mathbb{R}^1$ associated with a closed interval $J$ and two sequences $(n_k)_{k=1}^\infty$ and $(\mathcal{C}_k=(c_{k,j})_{j=1}^{n_k})_{k\geq1}$. Let $\mu$ be the infinite product measure (Moran measure) on $E$…

We extend the results obtained in \cite{Dov22} by introducing a new class of boundary value problems involving non-local dynamic boundary conditions. We focus on the problem to find a solution to a local problem on a domain $\Omega$ with…

In this paper we study 2D Fourier expansions for a general class of planar measures $\mu$, generally singular, but assumed compactly supported in $\mathbb{R}^2$. We focus on the following question: When does $L^2(\mu)$ admit a 2D system of…

We study the probability distribution of the value of geometric Brownian motion at the stochastic observation time. It is known that the exponentially distributed observation time yields the distribution called the double Pareto…

Let $f:M\to M$ be a homeomorphism over a compact Riemannian manifold, ergodic with respect to a measure $\mu$ defined on the completion of the Borel $\sigma$-algebra and $\mathcal F$ a $f$-invariant one dimensional continuous foliation of…

In this paper we present a martingale related to the exit measures of super-Brownian motion. By changing measure with this martingale in the canonical way we have a new process associated with the conditioned exit measure. This measure is…

Let $\{U^N_t\}_{t\ge 0}$ be a standard Brownian motion on $\mathbb{U}(N)$. For fixed $N\in\mathbb{N}$ and $t>0$, we give explicit bounds on the $L_1$-Wasserstein distance of the empirical spectral measure of $U^N_t$ to both the…

We study the Dvoretzky covering problem for random covering sets driven by general Borel probability measures. As our main result, we solve the problem of covering analytic sets by random covering sets generated by arbitrary Borel…

We study the usual stochastic order between probability measures on preordered topological abelian groups, focusing on asymptotic and catalytic versions of the order. In the asymptotic version, a measure $\mu$ dominates a measure $\nu$ if…

We study the dynamics of polynomial-like mappings in several variables. A special case of our results is the following theorem. Let f be a proper holomorphic map from an open set U onto a Stein manifold V, $U\subset\subset V$. Assume f is…

Assume that $(X,d,\mu)$ is a metric space endowed with a non-negative Borel measure $\mu$ satisfying the doubling condition and the additional condition that $\mu(B(x,r))\gtrsim r^n$ for any $x\in X, \,r>0$ and some $n\geq1$. Let $L$ be a…

We find a simple expression for the probability density of $\int \exp (B_s - s/2) ds$ in terms of its distribution function and the distribution function for the time integral of $\exp (B_s + s/2)$. The relation is obtained with a change of…

The purpose of this paper is to construct a Brownian motion $X := (X_t)_{t\geq 0}$ taking values in a Riemannian manifold $M$, together with a compact valued process $D:= (D_t)_{t\geq 0}$ such that, at least for small enough ${\mathscr…