Related papers: Simultaneous boundary hitting by coupled reflected…
We consider a Markov-modulated Brownian motion $\{Y(t), \rho(t)\}$ with two boundaries at $0$ and $b > 0$, and allow for the controlling Markov chain $\{\rho(t)\}$ to instantaneously undergo a change of phase upon hitting either of the two…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
The possibility of treating boundary conditions in terms of a bilocal dynamical field is formalized in terms of a boundary action. This allows for a simple path-integral perturbation theory approach to physical effects such as radiation…
Quantum integrable models that possess $N=2$ supersymmetry are investigated on the half-space. Conformal perturbation theory is used to identify some $N=2$ supersymmetric boundary integrable models, and the effective boundary…
The t-Martin boundary of a random walk on a half-space with reflected boundary conditions is identified. It is shown in particular that the t-Martin boundary of such a random walk is not stable in the following sense : for different values…
This article is concerned with modulus of continuity of Brownian local times. Specifically, we focus on 3 closely related problems: (a) Limit theorem for a Brownian modulus of continuity involving Riesz potentials, where the limit law is an…
We prove an equality-in-law relating the maximum of GUE Dyson's Brownian motion and the non-colliding systems with a wall. This generalizes the well known relation between the maximum of a Brownian motion and a reflected Brownian motion.
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…
Quantum integrable models that possess $N=2$ supersymmetry are investigated on the half-space. Conformal perturbation theory is used to identify some $N=2$ supersymmetric boundary integrable models, and the effective boundary…
We study the Brownian motion of a charged test particle coupled to electromagnetic vacuum fluctuations near a perfectly reflecting plane boundary. The presence of the boundary modifies the quantum fluctuations of the electric field, which…
We show that the distribution of the square of the supremum of reflected fractional Brownian motion up to time a, with Hurst parameter-H greater than 1/2, is related to the distribution of its hitting time to level $1,$ using the self…
We investigate the "hot--spots" property for the survival time probability of Brownian motion with killing and reflection in planar convex domains whose boundary consists of two curves, one of which is an arc of a circle, intersecting at…
We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provide necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem…
Pathwise constructions of Brownian motions which satisfy all possible boundary conditions at the vertex of single vertex graphs are given.
Asymptotic behavior of the one-dimensional Brownian motion in general random environments has been investigated by many researchers. However, many of the methods used in the argument are available only for the one-dimensional case. In this…
We introduce a family of two-dimensional reflected random walks in the positive quadrant and study their Martin boundary. While the minimal boundary is systematically equal to a union of two points, the full Martin boundary exhibits an…
Brownian motion in the plane in the presence of a "trap" at which motion is stopped is studied. If the trap $T$ is a connected compact set, it is shown that the probability for planar Brownian motion to hit this set before a given time $t$…
Through a regularization procedure, few approximation schemes of the local time of a large class of one dimensional processes are given. We mainly consider the local time of continuous semimartingales and reversible diffusions, and the…
Consider a finite system of competing Brownian particles on the real line. Each particle moves as a Brownian motion, with drift and diffusion coefficients depending only on its current rank relative to the other particles. A triple…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…