Related papers: Some explicit Krein representations of certain sub…
We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions. We provide a short probabilistic argument leading to this…
The classical Kramer sampling theorem establishes general conditions that allow the reconstruction of functions by mean of orthogonal sampling formulae. One major task in sampling theory is to find concrete, non trivial realizations of this…
The present paper provides exact expressions for the probability distributions of linear functionals of the two-parameter Poisson--Dirichlet process $\operatorname {PD}(\alpha,\theta)$. We obtain distributional results yielding exact forms…
Generalized (non-Markovian) diffusion equations with different memory kernels and subordination schemes based on random time change in the Brownian diffusion process are popular mathematical tools for description of a variety of non-Fickian…
This paper establishes a real integral representation of the reciprocal $\Gamma$ function in terms of a regularized hypersingular integral. The equivalence with the usual complex representation is demonstrated. A regularized complex…
We prove the existence of the reflected diffusion on a complex of an arbitrary size for a large class of planar simple nested fractals. Such a process is obtained as a folding projection of the free Brownian motion from the unbounded…
We present some results on Bernstein processes which are Brownian diffusions that appear in Euclidean Quantum Mechanics: We express the distributions of these processes with the help of those of Bessel processes. We then determine two…
Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
The concept of a L\'evy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the…
We introduce a family of regularized functionals $g_n(x)$ that generalize the Euler--Mascheroni constant $\gamma$. They arise from a weighted regularization of Clausen-type trigonometric sums, and admit explicit integral representations,…
This paper introduces a generalization of the so-called space-fractional Poisson process by extending the difference operator acting on state space present in the associated difference-differential equations to a much more general form. It…
We discuss applications of the M. G. Kre\u{\i}n theory of the spectral shift function to the multi-dimensional Schr\"odinger operator as well as specific properties of this function, for example, its high-energy asymptotics. Trace…
We consider two fractional versions of a family of nonnegative integer valued processes. We prove that their probability mass functions solve fractional Kolmogorov forward equations, and we show the overdispersion of these processes. As…
The parametric correlations of the transmission eigenvalues $T_i$ of a $N$-channel quantum scatterer are calculated assuming two different Brownian motion ensembles. The first one is the original ensemble introduced by Dyson and assumes an…
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an…
A compound Poisson process whose randomized time is an independent Poisson process is called compound Poisson process with Poisson subordinator. We provide its probability distribution, which is expressed in terms of the Bell polynomials,…
The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its…
In this paper we give a new example of duality between fragmentation and coagulation operators. Consider the space of partitions of mass (i.e., decreasing sequences of nonnegative real numbers whose sum is 1) and the two-parameter family of…
This paper explores the possibility of establishing an analytic form of the distribution of the order parameter fluctuations in a two-dimensional critical spin wave model, or width fluctuations of a two dimensional Edwards-Wilkinson…