Related papers: A Capture Problem in Brownian Motion and Eigenvalu…

We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…

Using a capacity approach, and the theory of measure's perturbation of Dirichlet forms, we give the probabilistic representation of the General Robin boundary value problems on an arbitrary domain $\Omega$, involving smooth measures, which…

We study the mixing properties of a Brownian motion whose movements are hindered by semipermeable barriers. Our setting assumes that the process takes values in a smooth planar domain and that the barriers are one-dimensional closed curves.…

Given a planar domain $D$, the harmonic measure distribution function $h_D(r)$, with base point $z$, is the harmonic measure with pole at $z$ of the parts of the boundary which are within a distance $r$ of $z$. Equivalently it is the…

Since the introduction of Dyson's Brownian motion in early 1960's, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their…

In this paper, we consider pursuit-evasion and probabilistic consequences of some geometric notions for bounded and suitably regular domains in Euclidean space that are CAT(kappa) for some kappa > 0. These geometric notions are useful for…

This paper is the sequel to another with the same name (Buttigieg et al., Comput. Methods Funct. Theory, 2023), and is concerned with results of the same type. We deduce a result on the moments of the exit time of Brownian motion from…

We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…

We introduce a class of interesting stochastic processes based on Brownian-time processes. These are obtained by taking Markov processes and replacing the time parameter with the modulus of Brownian motion. They generalize the iterated…

Throughout physics Brownian dynamics are used to describe the behaviour of molecular systems. When the Brownian particle is confined to a bounded domain, a particularly important question arises around determining how long it takes the…

We show that local times of super-Brownian motion, or of Brownian motion indexed by the Brownian tree, satisfy an explicit stochastic differential equation. Our proofs rely on both excursion theory for the Brownian snake and tools from the…

We present a new simple method for rounding a semidefinite programming relaxation of a constraint satisfaction problem. We apply it to the problem of approximate angular synchronization. Specifically, we are given directed distances on a…

We derive the moments of the first passage time for Brownian motion conditioned by either the maximum value or the area swept out by the motion. These quantities are the natural counterparts to the moments of the maximum value and area of…

(i) Uncountably many synchronized reflected Brownian motions can hit the boundary of a $C^2$ domain at the same time. (ii) Measures associated to local times of two synchronized reflected Brownian motions are mutually singular until the…

Using the explicit representations of the Brownian motions on the hyperbolic spaces, we show that their almost sure convergence and the central limit theorems for the radial components as time tends to infinity are easily obtained. We also…

For domains in $\mathbb{R}^d$, $d\geq 2$, we prove universal upper and lower bounds on the product of the bottom of the spectrum for the Laplacian to the power $p>0$ and the supremum over all starting points of the $p$-moments of the exit…

For classical finite time horizon stopping problems driven by a Brownian motion \[V(t,x) = \sup_{t\leq\tau\leq0}E_{(t,x)}[g(\tau,W_{\tau})],\] we derive a new class of Fredholm type integral equations for the stopping set. For large problem…

We establish the scaling limit of a class of boundary random walks to the full spectrum of Brownian-type processes on the half-line. By solving the associated martingale problem and employing weak convergence techniques, we prove that under…

We study the problem of when a Brownian motion in the unit ball has a positive probability of avoiding a countable collection of spherical obstacles. We give a necessary and sufficient integral condition for such a collection to be…

In this paper we address the question of finding the point which maximizes the $p$-th moment of the exit time of planar Brownian motion from a given domain. We present a geometrical method of excluding parts of the domain from consideration…