Related papers: On some exponential integral functionals of BM($\m…

In this paper, we derive a Laplace-type integral representations for both the generalized Bessel function and the Dunkl kernel associated with the rank-two root system of type B_2. The derivation of the first one elaborates on the integral…

As to the Bessel integrals of type \begin{equation*} \int_0^x \left(x^\mu-t^\mu\right)^\lambda t^\alpha J_\beta(t)dt\qquad(x>0), \end{equation*} we improve known positivity results by making use of new positivity criteria for ${}_1F_2$ and…

We establish that Laplace transforms of the posterior Dirichlet process converge to those of the limiting Brownian bridge process in a neighbourhood about zero, uniformly over Glivenko-Cantelli function classes. For real-valued random…

Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge…

We consider a process $(X_t)_{t\in[0,T)}$ given by the SDE $dX_t = \alpha b(t)X_t dt + \sigma(t) dB_t$, $t\in[0,T)$, with initial condition $X_0=0$, where $T\in(0,\infty]$, $\alpha\in R$, $(B_t)_{t\in[0,T)}$ is a standard Wiener process,…

The Lamperti transform offers a powerful bridge between self-similar processes and stationary dynamics, making it especially useful for analyzing anomalous diffusion models that lack stationary increments. In this paper we examine the…

Let $\mathcal{L}\{f(t)\} = \int_{0}^{\infty}e^{-st}f(t)dt$ denote the Laplace transform of $f$. It is well-known that if $f(t)$ is a piecewise continuous function on the interval $t:[0,\infty)$ and of exponential order for $t > N$; then…

An important class of fractional differential and integral operators is given by the theory of fractional calculus with respect to functions, sometimes called $\Psi$-fractional calculus. The operational calculus approach has proved useful…

By applying an integral representation for $q^{k^{2}}$ we systematically derive a large number of new Fourier and Mellin transform pairs and establish new integral representations for a variety of $q$-functions and polynomials that…

We present analytic all-order results for the highest three threshold logarithms of the space-like and time-like off-diagonal splitting functions and the corresponding coefficient functions for inclusive deep-inelastic scattering (DIS) and…

Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…

Let $\{B_H(t):t\ge 0\}$ be a fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$. For the storage process $Q_{B_H}(t)=\sup_{-\infty\le s\le t} \left(B_H(t)-B_H(s)-c(t-s)\right)$ we show that, for any $T(u)>0$ such that…

We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof…

We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger…

We consider a transient Brownian motion reflected obliquely in a two-dimensional wedge. A precise asymptotic expansion of Green's functions is found in all directions. To this end, we first determine a kernel functional equation connecting…

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 examine convergent representations for the sum of Bessel functions \[\sum_{n=1}^\infty \frac{J_\mu(na) J_\nu(nb)}{n^{\alpha}}\] for $\mu$, $\nu\geq0$ and positive values of $a$ and $b$. Such representations enable easy computation of the…

Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture…

Recently, Hong, Mertens, Ono and Zhang proved a conjecture of C\u{a}ld\u{a}raru, He, and Huang that expresses the Taylor series of the modular $j$-function around the elliptic points $i$ and $\rho=e^{\pi i/3}$ as rational functions arising…

In this paper we study the integral of the supremum process of standard Brownian motion. We present an explicit formula for the moments of the integral (or area) A(T), covered by the process in the time interval [0,T]. The Laplace transform…