Related papers: Integrated Wishart bridge processes and generalise…
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these representations of the Wiener bridge are equal…
We study the asymptotic behaviour of a properly normalized time-changed multidimensional Wiener process; the time change is given by an additive functional of the Wiener process itself. At the level of generators, the time change means that…
Tied-down renewal processes are generalisations of the Brownian bridge, where an event (or a zero crossing) occurs both at the origin of time and at the final observation time $t$. We give an analytical derivation of the two-time…
This paper introduces Generalized Fourier transform (GFT) that is an extension or the generalization of the Fourier transform (FT). The Unilateral Laplace transform (LT) is observed to be the special case of GFT. GFT, as proposed in this…
We consider an outward degenerate drifted Brownian motion in the quarter plane with oblique reflections on the boundaries. In this article, we explicitly compute the Laplace transforms of the Green's functions associated with the process.…
Continuous-time random walks (CTRW) play important role in understanding of a wide range of phenomena. However, most theoretical studies of these models concentrate only on stationary-state dynamics. We present a new theoretical approach,…
Original Whitham's method of derivation of modulation equations is applied to systems whose dynamics is described by a perturbed Korteweg-de Vries equation. Two situations are distinguished: (i) the perturbation leads to appearance of…
We find an expression for the joint Laplace transform of the law of $(T_{[x,+\infty[},X_{T_{[x,+\infty[}})$ for a L\'evy process $X$, where $T_{[x,+\infty[}$ is the first hitting time of $[x,+\infty[$ by $X$. When $X$ is an $\alpha$-stable…
We introduce a simple technique for proving the transience of certain processes defined on the random tree $\mathcal{G}$ generated by a supercritical branching process. We prove the transience for once-reinforced random walks on…
Veestraeten [1] recently derived inverse Laplace transforms for Laplace transforms that contain products of two parabolic cylinder functions by exploiting the link between the parabolic cylinder function and the transition density and…
The infinite two-sided loop-erased random walk (LERW) is a measure on infinite self-avoiding walks that can be viewed as giving the law of the `middle part' of an infinite LERW loop going through 0 and infinity. In this note we derive…
The first part of this paper completes the classification of Whitney towers in the 4-ball that was started in three related papers. We provide an algebraic framework allowing the computations of the graded groups associated to geometric…
Irreducible interval exchange transformations are studied with regard to whirly property, a condition for non-trivial spatial factor. Uniformly whirly transformation is defined and to be further studied. An equivalent condition is…
We give an alternative proof of the fact that the vertex reinforced jump process on Galton- Watson tree has a phase transition between recurrence and transience as a function of c, the initial local time, see [3]. Further, applying the…
The determination of the time averages of continuous functions, or discrete time sequences is important for various problems in physics and engineering, and the generalized final-value theorems of the Laplace and z-transforms, relevant to…
Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…
We consider Kallenberg's hypothesis on the characteristic function of a L\'{e}vy process and show that it allows the construction of weakly continuous bridges of the L\'{e}vy process conditioned to stay positive. We therefore provide a…
We establish a general sufficient condition for a sequence of Galton Watson branching processes in varying environment to converge weakly. This condition extends previous results by allowing offspring distributions to have infinite…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
This article develops a general framework for Laplace duality between positive Markov processes in which the one-dimensional Laplace transform of one process can be represented through that of another. We show that a process admits a…