Related papers: Variance Gamma (non-local) equations
Continuity of local time for Brownian motion ranks among the most notable mathematical results in the theory of stochastic processes. This article addresses its implications from the point of view of applications. In particular an extension…
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 review the main features of the Weyl-Wigner formulation of noncommutative quantum mechanics. In particular, we present a $\star$-product and a Moyal bracket suitable for this theory as well as the concept of noncommutative Wigner…
We establish the convergence of the densities of a sequence of nonlinear functionals of an underlying Gaussian process to the density of a Gamma distribution. The key idea of our work is a new density formula for random variables in the…
We study traveling wave solutions of the nonlinear variational wave equation. In particular, we show how to obtain global, bounded, weak traveling wave solutions from local, classical ones. The resulting waves consist of monotone and…
We consider a new type of lookdown processes where spatial motion of each individual is influenced by an individual noise and a common noise, which could be regarded as an environment. Then a class of probability measure-valued processes on…
We construct a family of processes, from a single Poisson process, that converges in law to a complex Brownian motion. Moreover, we find realizations of these processes that converge almost surely to the complex Brownian motion, uniformly…
We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…
We study a general non-homogeneous Skellam-type process with jumps of arbitrary fixed size. We express this process in terms of a linear combination of Poisson processes and study several properties, including the summation of independent…
We consider the dynamical evolution of a Brownian particle undergoing stochastic resetting, meaning that after random periods of time it is forced to return to the starting position. The intervals after which the random motion is stopped…
We construct the conditional version of $k$ independent and identically distributed random walks on $\R$ given that they stay in strict order at all times. This is a generalisation of so-called non-colliding or non-intersecting random…
We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…
Random flights (also called run-and-tumble walks or transport processes) represent finite velocity random motions changing direction at any Poissonian time. These models in d-dimension, can be studied giving a general formulation of the…
The detection of continuous gravitational-wave signals requires to account for the motion of the detector with respect to the solar system barycenter in the data analysis. In order to search efficiently for such signals by means of the fast…
The article contains an overview over locally stationary processes. At the beginning time varying autoregressive processes are discussed in detail - both as as a deep example and an important class of locally stationary processes. In the…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
We consider non-parametric Bayesian estimation of the drift coefficient of a one-dimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions that are…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
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 consider a system of diffusing particles on the real line in a quadratic external potential and with repulsive electrostatic interaction. The empirical measure process is known to converge weakly to a deterministic measure-valued process…