Related papers: Hilbert-valued self-intersection local times for p…
It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…
We study $\gamma_{k}(x_2,...,x_k;t)$, the k-fold renormalized self-intersection local time for Brownian motion in $R^1$. Our main result says that $\gamma_{k}(x_2,...,x_k;t)$ is continuously differentiable in the spatial variables, with…
In this paper, we study the local time spent by an Ornstein-Uhlenbeck particle at some location till time t. Using the Feynman-Kac formalism, the computation of the moment generating function of the local time can be mapped to the problem…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schr\"odinger's equation with linear potential, and (d) heat equation problems…
Wormhole boundary conditions for the Wheeler--DeWitt equation can be derived from the path integral formulation. It is proposed that the wormhole wave function must be square integrable in the maximal analytic extension of minisuperspace.…
Based on a version of Dudley's Wiener process on the mass shell in the momentum Minkowski space of a massive point particle, a model of a relativistic Ornstein--Uhlenbeck process is constructed by addition of a specific drift term. The…
If $L^x$ is the total occupation local time of $d$-dimensional super-Brownian motion, $X$, for $d=2$ and $d=3$, we construct a random measure $\mathcal{L}$, called the boundary local time measure, as a rescaling of $L^x e^{-\lambda L^x} dx$…
We construct the action of a relativistic spinning particle from a non-linear realization of a space-time odd vector extension of the Poincar\'e group. For particular values of the parameters appearing in the lagrangian the model has a…
We use geometric microlocal methods to compute an asymptotic expansion of mean first arrival time for Brownian particles on Riemannian manifolds. This approach provides a robust way to treat this problem, which has thus far been limited to…
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
We prove a general result on a relationship between a limit of normalized numbers of interval crossings by a c\`adl\`ag path and an occupation measure associated with this path. Using this result we define local times of fractional Brownian…
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability…
The integrable time-dependent central potentials that admit linear and quadratic first integrals other than those constructed from the angular momentum are determined. It is shown explicitly that previous answers to this problem are…
Several stochastic processes related to transient L\'evy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of…
In this contribution, we extend the methodology proposed in Abry and Didier (2017) to obtain the first joint estimator of the real parts of the Hurst eigenvalues of $n$-variate OFBM. The procedure consists of a wavelet regression on the…
Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…
We relate Hilbert schemes of points and Fulton-MacPherson compactifications by an interpolating stability condition. We then derive wall-crossings formulas and some applications for the enumerative geometry of Hilbert schemes.
Learning from non-independent and non-identically distributed data poses a persistent challenge in statistical learning. In this study, we introduce data-dependent Bernstein inequalities tailored for vector-valued processes in Hilbert…
We have formulated higher-order integration by parts formulae on the path space restricted between two curves, with respect to pinned/ordinary Wiener measures. The higher-order integration by parts formulae introduce nontrivial boundary…