Related papers: Time change approach to generalized excursion meas…

Let $\{B(t), t \geq 0\}$ be a standard Brownian motion in $\mathbb{R}$. Let $T$ be the first return time to 0 after hitting 1, and $\{L(T,x), x \in \mathbb{R}\}$ be the local time process at time $T$ and level $x$. The distribution of…

We prove CLTs for biased randomly trapped random walks in one dimension. In particular, we will establish an annealed invariance principal by considering a sequence of regeneration times under the assumption that the trapping times have…

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is…

Exponential averages that appear in integral fluctuation theorems can be recast as a sum over moments of thermodynamic observables. We use two examples to show that such moment series can exhibit non-uniform convergence in certain singular…

Determining the work which is supplied to a system by an external agent, provides a crucial step in any experimental realization of transient fluctuation relations. This, however, poses a problem for quantum systems, where the standard…

We prove an invariance principle for continuous-time random walks in a dynamically averaging environment on $\mathbb Z$. In the beginning, the conductances may fluctuate substantially, but we assume that as time proceeds, the fluctuations…

Let $(g_n)_{n\geq 1}$ be a sequence of independent and identically distributed random elements with law $\mu$ on the general linear group $\textrm{GL}(V)$, where $V=\mathbb R^d$. Consider the random walk $G_n : = g_n \ldots g_1$, $n \geq…

We consider Dyson Brownian motion for classical values of $\beta$ with deterministic initial data $V$. We prove that the local eigenvalue statistics coincide with the GOE/GUE in the fixed energy sense after time $t \gtrsim 1/N$ if the…

We study the Benjamin-Ono equation, posed on the torus. We prove that an infinite sequence of weighted gaussian measures, constructed in our previous work, are invariant by the flow of the equation. These measures are supported by Sobolev…

In this note, by an elementary use of Girsanov's transform we show that the exit time for either a biased random walk or a drifted Brownian motion on a symmetric interval is stochastically monotone with respect to the drift parameter. In…

We derive a functional central limit theorem for the excursion of a random walk conditioned on sweeping a prescribed geometric area. We assume that the increments of the random walk are integer-valued, centered, with a third moment equal to…

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…

We consider homogeneous random walks in the quarter-plane. The necessary conditions which characterize random walks of which the invariant measure is a sum of geometric terms are provided in [2,3]. Based on these results, we first develop…

We prove an inverse Pitman's theorem for a space-time Brownian motion conditioned in Doob's sense to remain in an affine Weyl chamber. Our theorem provides a way to recover an unconditioned space-time Brownian motion from a conditioned one…

Let $S(n)$ be a centered random walk with finite second moment. We consider the integrated random walk $T(n) = S(0)+S(1)+\dots+S(n)$. We prove invariance principles for the meander and for the bridge of this process, under the condition…

Using the time-dependent non-crossing approximation, we calculate the transient response of the current through a quantum dot subject to a finite bias when the dot level is moved suddenly into a regime where the Kondo effect is present.…

In this work we consider a one-dimensional Brownian motion with constant drift moving among a Poissonian cloud of obstacles. Our main result proves convergence of the law of processes conditional on survival up to time $t$ as $t$ converges…

Time it takes to travel from one position to another, devoid of any quantum mechanical description, has been modeled variously, especially for quantum tunneling. The model time, if universally valid, must be subluminal, must hold everywhere…

We prove an invariance principle for the bridge of a random walk conditioned to stay positive, when the random walk is in the domain of attraction of a stable law, both in the discrete and in the absolutely continuous setting. This includes…

We prove a conjecture of Lalley and Sellke [Ann. Probab. 15 (1987)] asserting that the empirical (time-averaged) distribution function of the maximum of branching Brownian motion converges almost surely to a double exponential, or Gumbel,…