Related papers: Exponential functionals of Brownian motion, I: Pro…
A method is given of deriving the distribution of planar Brownian motion evaluated at certain stopping times using analytic functions. This method relies upon a generalization of the standard conformal invariance of harmonic measure. A…
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about…
This work is a numerical experiment of stochastic motion of conservative Hamiltonian system or weakly damped Brownian particles. The objective is to prove the existence of path probability and to compute its values. By observing a large…
We study the persistence probability for some two-sided discrete-time Gaussian sequences that are discrete-time analogs of fractional Brownian motion and integrated fractional Brownian motion, respectively. Our results extend the…
We provide a deep connection between elastic drifted Brownian motions and inverses to tempered subordinators. Based on this connection, we establish a link between multiplicative functionals and dynamical boundary conditions given in terms…
The potential applications of boundary functionals of random processes, such as the extreme values of these processes, the moment of first reaching a fixed level, the value of the process at the moment of reaching the level, the moment of…
In this short article, we will focus on the different links between some stochastic processes resulting from Brownian motion and two notions of probability theory (proportional increments and last hitting times).
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
The paper discusses and surveys some aspects of the potential theory of subordinate Brownian motion under the assumption that the Laplace exponent of the corresponding subordinator is comparable to a regularly varying function at infinity.…
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is…
Let $M_r$ be the maximum value of an one-dimensional Brownian motion on the (time) interval $[0, r]$. We derive an explicit formula for the distribution of the time required (after $r$) for the Brownian motion to exceed $M_r$.
We ask if it is possible to find some particular continuous paths of unit length in linear Brownian motion. Beginning with a discrete version of the problem, we derive the asymptotics of the expected waiting time for several interesting…
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…
Lower and upper estimates are given for the probability that the epsilon-enlargement of planar Brownian motion to time 1 (the epsilon sausage) contains a unit line segment. The estimates imply that Brownian motion to time 1 itself contains…
We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…
The fractional Brownian motion can be considered as a Gaussian field indexed by $(t,H)\in {\mathbb{R}_{+}\times (0,1)}$, where $H$ is the Hurst parameter. On compact time intervals, it is known to be almost surely jointly H\"older…
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large…
We prove an invariance principle for Brownian motion in Gaussian or Poissonian random scenery by the method of characteristic functions. Annealed asymptotic limits are derived in all dimensions, with a focus on the case of dimension $d=2$,…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…