Related papers: On some exponential integral functionals of BM($\m…
An analytical result is given for the exact evaluation of an integral which arises in the analysis of acoustic radiation from wave packet sources: $ I_{mn}(\beta,q) = \int_{-\infty}^{\infty} e^{-\beta^{2}x^{2}-i q x}x^{m+1/2}J_{n+1/2}(x)…
We consider the conventional Laplace transform of $f(x)$, denoted by $\mathcal{L}[f(x); p]~\equiv~F(p)=\int_{0}^{\infty} e^{-p x} f(x) dx$ with ${\rm \mathfrak{Re}}(p) > 0$. For $0 < \alpha < 1$ we furnish the closed form expressions for…
The Laplace transform is a useful and powerful analytic tool with applications to several areas of applied mathematics, including differential equations, probability and statistics. Similarly to the inversion of the Fourier transform,…
This paper is part of a series aiming at proving that the $\limsup$ and $\liminf$ variants of Voiculescu's free entropy coincide. This is based on a Laplace principle (implying a large deviation principle) for hermitian brownian motion on…
Let $A$ be the generator of a strongly continuous cosine family $(\cos (tA))_{t\in {\bf R}}$ on a complex Banach space $E$. The paper develops an operational calculus for integral transforms and functions of $A$ using the generalized…
Let $B_H=\{B_H(t):t\in\mathbb R\}$ be a fractional Brownian motion with Hurst parameter $H\in(0,1)$. For the stationary storage process $Q_{B_H}(t)=\sup_{-\infty<s\le t}(B_H(t)-B_H(s)-(t-s))$, $t\ge0$, we provide a tractable criterion for…
In this paper we study the following Bessel series $\sum _{l=1}^{\infty } {J_{l+m'}(r)J_{l+m}(r)}{(l+\beta)^\alpha}$ for any $m,m'\in\mathbb{Z}$, $\alpha\in\mathbb{R}$ and $\beta>-1$. They are a particular case of the second type Neumann…
We are concerned with an harmonic analysis in Hilbert spaces $L^2(\mu)$, where $\mu$ is a probability measure on $\br^n$. The unifying question is the presence of families of orthogonal (complex) exponentials $e_\lambda(x) = \exp(2\pi i…
We study the problem of differentiation of integrals for certain bases in the infinite-dimensional torus $\mathbb{T}^\omega$. In particular, for every $p_0 \in [1,\infty)$, we construct a basis $\mathcal{B}$ which differentiates…
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative…
In this paper, we investigate a Brownian motion (BM) with purely time dependent drift and difusion by suggesting and examining several Brownian functionals which characterize the lifetime and reactivity of such stochastic processes. We…
In this paper, we prove the exponential convergence of the multipole and local expansions, shifting and translation operators used in fast multipole methods (FMMs) for 3-dimensional Laplace equations in layered media. These theoretical…
We consider parameterized exponential integrals coming from the time evolution of the probability distribution of Brownian motion on globally subanalytic sets. We establish definability results and asymptotic expansions.
Let $(U_t)_{t \geq 0}$ be a Brownian motion valued in the complex projective space $\mathbb{C}P^{N-1}$. Using unitary spherical harmonics of homogeneous degree zero, we derive the densities of $|U_t^{1}|^2$ and of $(|U_t^{1}|^2,…
In this paper, sums represented in (3) are studied. The expressions are derived in terms of Bessel functions of the first and second kinds and their integrals. Further, we point out the integrals can be written as a Meijer G function.
In this paper we solve the following problems: (i) find two differential operators P and Q satisfying [P,Q]=P, where P flows according to the KP hierarchy \partial P/\partial t_n = [(P^{n/p})_+,P], with p := \ord P\ge 2; (ii) find a matrix…
We construct 3 finite systems of $4-F-3$ hypergeometric orthogonal polynomials. The weights are 1) the weight defined by the $5-H-5$ Dougall summation formula; 2) the integrand in the Askey beta-integral; 3) the weight $w(s)=|p(s)/q(s)|^2$,…
In this article we are interested in the differentiability property of the Markovian semi-group corresponding to the Bessel processes of nonnegative dimension. More precisely, for all $\delta \geq 0$ and $T>0$, we compute the derivative of…
Let $A_t=\sum_{s\le t} F(X_{s-},X_s)$ be a purely discontinuous additive functional of a subordinate Brownian motion $X=(X_t, \mathbb P_x)$. We give a sufficient condition on the non-negative function $F$ that guarantees that finiteness of…
We study inequalities of the form \begin{equation*} \rho ( \lvert \hat{f} \rvert) \leq C \sigma(f) < \infty, \end{equation*} with $f \in L_{1}(\mathbb{R}^n)$, the Lebesgue-integrable functions on $\mathbb{R}^n$ and \begin{equation*}…