Related papers: Revisiting integral functionals of geometric Brown…

The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…

Planar run-and-tumble walks with orthogonal directions of motion are considered. After formulating the problem with generic transition probabilities among the orientational states, we focus on the symmetric case, giving general expressions…

Let $Z_N$ be a Ginibre ensemble and let $A_N$ be a Hermitian random matrix independent from $Z_N$ such that $A_N$ converges in distribution to a self-adjoint random variable $x_0$. For each $t>0$, the random matrix $A_N+\sqrt{t}Z_N$…

The Laplace transforms of the transition probability density and distribution functions for the Ornstein-Uhlenbeck process contain the product of two parabolic cylinder functions, namely D_{v}(x)D_{v}(y) and D_{v}(x)D_{v-1}(y),…

We will consider the following stochastic differential equation (SDE): \begin{equation} X_t=X_0+\int_0^tb(X_s,\theta_0)ds+\sigma B_t,~~~t\in(0,T], \end{equation} where $\{B_t\}_{t\ge 0}$ is a fractional Brownian motion with Hurst index…

Let $(U_t)_{t \geq 0}$ be a Brownian motion valued in the complex projective space $\mathbb{C}P^{N-1}$. Using unitary spherical harmonics of homogeneous degree zero, we derive the densities of $|U_t^{1}|^2$ and of $(|U_t^{1}|^2,…

Given a Brownian Motion $W$, in this paper we study the asymptotic behavior, as $\eps \to 0$, of the quadratic covariation between $f (\eps W)$ and $W$ in the case in which $f$ is not smooth. Among the main features discovered is that the…

This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional…

We consider critical dense polymers ${\cal L}(1,2)$. We obtain for this model the eigenvalues of the local integrals of motion of the underlying Conformal Field Theory by means of Thermodynamic Bethe Ansatz. We give a detailed description…

Let $(Z,\kappa)$ be a Walsh Brownian motion with spinning measure $\kappa$. Suppose $\mu$ is a probability measure on $\mathbb{R}^n$. We characterize all the $\kappa$ such that $\mu$ is a stopping distribution of $(Z,\kappa)$. If we further…

Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion, to which we associate the exponential additive functional $A_{t}=\int _{0}^{t}e^{2B_{s}}ds,\,t\ge 0$. Starting from a simple observation of generalized inverse…

Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…

We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…

We study the gap processes in a degenerate system of three particles interacting through their ranks. We obtain the Laplace transform of the invariant measure of these gaps, and an explicit expression for the corresponding invariant…

In this paper we investigate the energy functions for a class of non Gaussian processes. These processes are characterized in terms of the Mittag-Leffler function. We obtain closed analytic form for the energy function, in particular we…

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…

Simultaneous diffusive and inertial motion of Brownian particles in laminar Couette flow is investigated via Lagrangian and Eulerian descriptions to determine the effect of particle inertia on diffusive transport in the long-time. The…

The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form $X_t = \theta G(t) + B_t$, where $B$ is a Gaussian process, $G(t)$ is a known function,…

For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $\{(\lambda_{1}^{(n)}(t),\dots, \lambda_{n}^{(n)}(t)); t\ge 0\}$ as well as its corresponding process of empirical…

Consider $Z^f_t(u)=\int_0^{tu}f(N_s) ds$, $t>0$, $u\in[0,1]$, where $N=(N_t)_{t\in\mathbb{R}}$ is a normal process and $f$ is a measurable real-valued function satisfying $Ef(N_0)^2<\infty$ and $Ef(N_0)=0$. If the dependence is sufficiently…