Related papers: Orthogonal polynomials on path-space
We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can…
We show in a unified manner that the factorization method describes completely the $L^2$-eigenspaces associated to the discrete part of the spectrum of the twisted Laplacian on constant curvature Riemann surfaces. Subclasses of two variable…
We give a proof of a result on the growth of the number of particles along chosen paths in a branching Brownian motion. The work follows the approach of classical large deviations results, in which paths in $C[0,1]$ are rescaled onto…
The paper has three parts. In the first part we apply the theory of commuting pairs of (pseudo) difference operators to the (formal) asymptotics of orthogonal polynomials: using purely geometrical arguments we show heuristically that the…
We show that for all positive beta the semigroups of beta-Dyson Brownian motions of different dimensions are intertwined. The proof relates beta-Dyson Brownian motions directly to Jack symmetric polynomials and omits an approximation of the…
Orthogonally invariant functions of symmetric matrices often inherit properties from their diagonal restrictions: von Neumann's theorem on matrix norms is an early example. We discuss the example of "identifiability", a common property of…
It is shown that if $\gamma$ is a path of finite $p$ variation ($1\leq p< 2$) in a euclidean vector space and $f,g,h$ are Lipschitz functions on the trace of $\gamma$ then $s\mapsto F(s)=\int_\gamma f^sg dh$ defines an entire holomorphic…
We introduce sequences of functions orthogonal on a finite interval: proper orthogonal rational functions, orthogonal exponential functions, orthogonal logarithmic functions, and transmuted orthogonal polynomials
We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…
We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a…
The paper gives a new representation for the fractional Brownian motion that can be applied to simulate this self-similar random process in continuous time. Such a representation is based on the spectral form of mathematical description and…
We provide a geometric representation of the Poisson and Martin boundaries of a transient, bounded degree triangulation of the plane in terms of its circle packing in the unit disc. (This packing is unique up to M\"obius transformations.)…
In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of…
An approach to analysis on path spaces of Riemannian manifolds is described. The spaces are furnished with `Brownian motion' measure which lies on continuous paths, though differentiation is restricted to directions given by tangent paths…
We first prove the L^p-convergence (p\geq 1) and a Fernique-type exponential integrability of divergence functionals for all Cameron-Martin vector fields with respect to the pinned Wiener measure on loop spaces over a compact Riemannian…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
This work gives sufficient conditions for uniqueness in law of semimartingale, obliquely reflecting Brownian motion in a nonpolyhedral, piecewise ${\cal C}^2$ cone, with radially constant, Lipschitz continuous direction of reflection on…
This paper complements the recent investigation of \cite{DM} on the asymptotic behavior of polynomials orthogonal over the interior of an analytic Jordan curve $L$. We study the specific case of $L=\{z= w-1 +(w-1)^{-1},\ |w|=R\}$, for some…
Orthogonal polynomials on quadratic curves in the plane are studied. These include orthogonal polynomials on ellipses, parabolas, hyperbolas, and two lines. For an integral with respect to an appropriate weight function defined on any…
The conformal invariance of Brownian motion is used to give a short proof of the Open Mapping Theorem for analytic functions.