Related papers: A coupling strategy for Brownian motions at fixed …
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other…
We construct and describe the extremal process for variable speed branching Brownian motion, studied recently by Fang and Zeitouni, for the case of piecewise constant speeds; in fact for simplicity we concentrate on the case when the speed…
Dynamics of a one-dimensional system of Brownian particles with short-range repulsive interaction (diameter sigma) is studied with a liquid-theoretical approach. The mean square displacement, the two-particle displacement correlation, and…
In this note, we prove an $L^p$ uniform approximation of the fractional Brownian motion with Hurst exponent $0 < H < \frac{1}{2}$ by means of a family of continuous-time random walks imbedded on a given Brownian motion. The approximation is…
In this article, we study the extremal processes of branching Brownian motions conditioned on having an unusually large maximum. The limiting point measures form a one-parameter family and are the decoration point measures in the extremal…
We provide an elementary proof of the support of the law of a hypoelliptic Brownian motion on the Heisenberg group $\mathbb{H}$. We consider a control norm associated to left-invariant vector fields on $\mathbb{H}$, and describe the support…
In this paper we will consider the LAN property for both the Hurst parameter $H>3/4$ and the variance of the fractional Brownian motion plus an independent standard Brownian motion (called mixed fractional Brownian motion) with…
We introduce a class of time dependent random fields on compact Riemannian monifolds. These are represented by time-changed Brownian motions. These processes are time-changed diffusion, or the stochastic solution to the equation involving…
Treatment of a singular Lagrangian with constraints using the canonical Hamiltonian approach is studied. We investigate Landau-Ginzburg theory as a constrained system using the Euler-Lagrange equation for the field system and the canonical…
We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $\gamma$-H\"older rough path for $\gamma > \frac{1}{3}$. We prove well-posedness of these systems and establish a…
We study continuous mappings on the Heisenberg group that up to a time change preserve horizontal Brownian motion. It is proved that only harmonic morphisms possess this property.
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H>1/2$, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find…
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 recent years, interest in approximation methods for stochastic differential equations (SDEs) with non-Lipschitz continuous coefficients has increased. We show lower bounds for the $L^p$-error of such methods in the case of approximation…
In this paper, the theory of smooth action-dependent Lagrangian mechanics (also known as contact Lagrangians) is extended to a non-smooth context appropriate for collision problems. In particular, we develop a Herglotz variational principle…
We study the sub-Riemannian structure determined by a left-invariant distribution of rank 2 on a step 3 Carnot group of dimension 5. We prove the conjectured cut times of Y. Sachkov for the sub-Riemannian Cartan problem. Along the proof, we…
We construct the canonical Brownian motion on the gasket of conformal loop ensembles (CLE$_\kappa$) for $\kappa \in (4,8)$ (which is the range of parameter values in which loops of the CLE$_\kappa$ can intersect themselves, each other, and…
We obtain the uniform convergence rate for the Gaussian fluctuation of the radial part of the Brownian motion on a hyperbolic space. We also show that this result is sharp if the dimension of the hyperbolic space is two or general odd. Our…
We consider certain one dimensional ordinary stochastic differential equations driven by additive Brownian motion of variance $\varepsilon ^2$. When $\varepsilon =0$ such equations have an unstable non-hyperbolic fixed point and the drift…
We use the method of sliding paraboloids to establish a Harnack inequality for linear, degenerate and singular elliptic equation with unbounded lower order terms. The equations we consider include uniformly elliptic equations and linearized…