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The Liouville Brownian motion which was introduced in \cite{GRV} is a natural diffusion process associated with a random metric in two dimensional Liouville quantum gravity. In this paper we construct the Liouville Brownian motion via…
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le…
On a compact Riemannian manifold $M,$ we show that the Riemannian distance function $d(x,y)$ can be explicitly reconstructed from suitable asymptotics of the expected signature of Brownian bridge from $x$ to $y$. In addition, by looking…
We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H\"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with…
Consider a d-dimensional Brownian motion in a random potential defined by attaching a nonnegative and polynomially decaying potential around Poisson points. We introduce a repulsive interaction between the Brownian path and the Poisson…
In this paper, we determine the Poisson boundary of the relativistic Brownian motion in two classes of Lorentzian manifolds, namely model manifolds of constant scalar curvature and Robertson--Walker space-times, the latter constituting a…
We study the radial part of sub-Riemannian Brownian motion in the context of totally geodesic foliations. It\^o's formula is proved for the radial processes associated to Riemannian distances approximating the Riemannian one. We deduce very…
Anderson's nonstandard construction of brownian motion as an infinitesimal random walk on the euclidean line is generalized to an Hausdorff riemannian manifold. A nonstandard Feynman-Kac formula holding on such an Hausdorff riemannian…
Martin boundaries and integral representations of positive functions which are harmonic in a bounded domain $D$ with respect to Brownian motion are well understood. Unlike the Brownian case, there are two different kinds of harmonicity with…
Brownian motions on star graphs in the sense of It\^o-McKean, that is, Walsh processes admitting a generalized boundary behavior including stickiness and jumps and having an angular distribution with finite support, are examined. Their…
Many studies on microscopic systems deal with Brownian particles embedded in media whose densities are different from that of the particles, causing them either to sink or float. The proximity to a wall modifies the friction force the…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
The Liouville Brownian motion was introduced in \cite{GRV} as a time changed process $B_{A_t^{-1}}$ of a planar Brownian motion $(B_t)_{t \ge 0}$, where $(A_t)_{t \ge 0}$ is the positive continuous additive functional of $(B_t)_{t \ge 0}$…
We introduce the (path-valued) Brownian frame process whose evaluation at time t is the sample path of the underlying Brownian motion run from time t-1 to t. Due to its connections with Gaussian Volterra processes and SDDEs this is an…
Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
In this paper we study the asymptotic behavior of Brownian motion in both comb-shaped planar domains, and comb-shaped graphs. We show convergence to a limiting process when both the spacing between the teeth \emph{and} the width of the…
We investigate the first-passage properties and extreme-value statistics of an overdamped Brownian particle confined by an external linear potential $V(x)=\mu |x-x_0|$, where $\mu>0$ is the strength of the potential and $x_0>0$ is the…
Many properties of Brownian motion on spaces with varying dimension (BMVD in abbreviation) have been explored in [5]. In this paper, we study Brownian motion with drift on spaces with varying dimension (BMVD with drift in abbreviation).…
We establish high probability estimates on the eigenvalue locations of Brownian motion on the $N$-dimensional unitary group, as well as estimates on the number of eigenvalues lying in any interval on the unit circle. These estimates are…
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model…