Related papers: Local Statistics and Concentration for Non-interse…
We analyze the rate of convergence of the local statistics of Dyson Brownian motion to the GOE/GUE for short times $t=o(1)$ with deterministic initial data V . Our main result states that if the density of states of $V$ is bounded both…
Let $\{X_j\}$ be independent, identically distributed random variables. It is well known that the functional CUSUM statistic and its randomly permuted version both converge weakly to a Brownian bridge if second moments exist. Surprisingly,…
We introduce and study Brownian bridges to submanifolds. Our method involves proving a general formula for the integral over a submanifold of the minimal heat kernel on a complete Riemannian manifold. We use the formula to derive lower…
This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned…
Consider a system of $N$ non-intersecting Brownian bridges in $[0,1]$, and let $\mathcal M_N(p)$ be the maximal height attained by the top path in the interval $[0,p]$, $p\in[0,1]$. It is known that, under a suitable rescaling, the…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
We study the line ensembles of non-crossing Brownian bridges above a hard wall, each tilted by the area of the region below it with geometrically growing pre-factors. This model, which mimics the level lines of the $(2+1)$D SOS model above…
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work,…
We consider a directed random walk making either 0 or $+1$ moves and a Brownian bridge, independent of the walk, conditioned to arrive at point $b$ on time $T$. The Hamiltonian is defined as the sum of the square of increments of the bridge…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
The infinite Brownian loop on a Riemannian manifold is the limit in distribution of the Brownian bridge of length $T$ around a fixed origin when $T \rightarrow +\infty$. The aim of this note is to study its long-time asymptotics on…
The invariant measure of a one-dimensional Allen-Cahn equation with an additive space-time white noise is studied. This measure is absolutely continuous with respect to a Brownian bridge with a density which can be interpreted as a…
We provide a representation of the maximal difference between a standard Brownian bridge and its concave majorant on the unit interval, from which we deduce expressions for the distribution and density functions and moments of this…
We consider finite collections of $N$ non-intersecting Brownian paths on the line and on the half-line with both absorbing and reflecting boundary conditions (corresponding to Brownian excursions and reflected Brownian motions) and compute…
We study the problem of stopping an $\alpha$-Brownian bridge as close as possible to its global maximum. This extends earlier results found for the Brownian bridge (the case $\alpha=1$). The exact behavior for $\alpha$ close to $0$ is…
We consider pairs of 3-dimensional Brownian paths, started at the origin and conditioned to have no intersections after time zero. We show that there exists a unique measure on pairs of paths that is invariant under this conditioning, while…
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS…
Suppose that a sequence of data points follows a distribution of a certain parametric form, but that one or more of the underlying parameters may change over time. This paper addresses various natural questions in such a framework. We…