Related papers: Hilbert-valued self-intersection local times for p…

Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…

In the first part of the paper we provide a survey of recent results concerning the problem of pointwise convergence of integral kernels in Feynman path integral, obtained by means of time-frequency analysis techniques. We then focus on…

We show that local times of super-Brownian motion, or of Brownian motion indexed by the Brownian tree, satisfy an explicit stochastic differential equation. Our proofs rely on both excursion theory for the Brownian snake and tools from the…

The first passage time problem for Brownian motions hitting a barrier has been extensively studied in the literature. In particular, many incarnations of integral equations which link the density of the hitting time to the equation for the…

This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed…

We obtain a two weight local Tb theorem for any elliptic and gradient elliptic fractional singular integral operator T on the real line, and any pair of locally finite positive Borel measures on the line. This includes the Hilbert transform…

We prove a property of Brownian bridges whose certain time-equidistant sequences of points are pairwise coupled by an interaction. Roughly saying, if the total time span $t$ of the bridge tends to infinity while the distance of its end…

Let $W$ be a one-dimensional Brownian motion starting from 0. Define $Y(t)= \int_0^t{\d s \over W(s)} := \lim_{\epsilon\to0} \int_0^t 1_{(|W(s)|> \epsilon)} {\d s \over W(s)} $ as Cauchy's principal value related to local time. We prove…

This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…

This paper deals with Poisson processes on an arbitrary measurable space. Using a direct approach, we derive formulae for moments and cumulants of a vector of multiple Wiener-It\^o integrals with respect to the compensated Poisson process.…

This paper studies for a class of Z-extensions of dynamical systems including Z-periodic Lorentz gas the asymptotic behavior of the number of self-intersections of the trajectory of the flow. It concludes on a functional limit theorem for…

Let $L_n^{X}(x)$ denote the number of visits to $x \in {\bf Z}^2$ of the simple planar random walk $X$, up till step $n$. Let $X'$ be another simple planar random walk independent of $X$. We show that for any $0<b<1/(2 \pi)$, there are…

Following previous investigations by {\"U}st{\"u}nel [22] about the invertibility of some transformations on the Wiener space, we find some entropic conditions under which a random change of time is invertible on the Poisson space. As a…

This paper provides results for eigencurves associated with self-adjoint linear elliptic boundary value problems. The elliptic problems are treated as a general two-parameter eigenproblem for a triple (a, b, m) of continuous symmetric…

We study the existence and regularity of local times for general $d$-dimensional stochastic processes. We give a general condition for their existence and regularity properties. To emphasize the contribution of our results, we show that…

For Paley-Wiener functions on weighted combinatorial finite or infinite graphs we develop a weighted sampling theory in which samples are defined as inner products with weight functions (measuring devices). Three reconstruction methods are…

This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In…

We study systems of Brownian particles on the real line, which interact by splitting the local times of collisions among themselves in an asymmetric manner. We prove the strong existence and uniqueness of such processes and identify them…

The so-called Hadamard fractional Brownian motion, as defined in Beghin et al. (2025) by means of Hadamard fractional operators, is a Gaussian process which shares some properties with standard Brownian motion (such as the one-dimensional…

We consider the De Donder-Weyl (DW) Hamiltonian formulation of the Palatini action of vielbein gravity formulated in terms of the solder form and spin connection, which are treated as independent variables. The basic geometrical…