Related papers: A combinatorial method for calculating the moments…

This article provides an overview of recent work on descriptions and properties of the convex minorant of random walks and L\'evy processes which summarize and extend the literature on these subjects. The results surveyed include point…

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 provide a new and elementary proof of Levy's second arcsine law for Brownian motion. The only tools required are basic properties of Brownian motion and Poisson processes, and the ballot theorem. Our proof is readily extended to Brownian…

We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed.…

The problem of Brownian motion in a periodic potential, under the influence of external forcing, which is either random or periodic in time, is studied in this paper. Multiscale techniques are used to derive general formulae for the steady…

We define a L\'evy process on a smooth manifold $M$ with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of $M$, driven by a holonomy-invariant L\'evy process on a Euclidean…

Let $B$ be a bi-fractional Brownian motion with indices $H\in (0,1),K\in (0,1]$, $2HK=1$ and let ${\mathscr L}(x,t)$ be its local time process. We construct a Banach space ${\mathscr H}$ of measurable functions such that the quadratic…

The asymptotic probability distribution for a Brownian particle wandering in a 2D plane with random traps to enclose the algebraic area A by time t is calculated using the instanton technique.

We present a new method for computing the impedance matrix elements in the method of moments for geometries described by bilinear quadrilaterals (BQ) and for higher-order basis functions (HOBF). Our method is restricted to the Magnetic…

We show how to build an immersion coupling of a two-dimensional Brownian motion $(W_1, W_2)$ along with $\binom{n}{2} + n= \tfrac12n(n+1)$ integrals of the form $\int W_1^iW_2^j \circ dW_2$, where $j=1,\ldots,n$ and $i=0, \ldots, n-j$ for…

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.

A synthetic study of Pitman's and L\'evy's theorems for one-dimensional Brownian bridges with arbitrary endpoints is provided.

In this paper we study the problem of statistical inference for a continuous-time moving average L\'evy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}$$ with a deterministic kernel (\K\) and a…

We consider secular perturbations of nearly Keplerian two-body motion under a perturbing potential that can be approximated to sufficient accuracy by expanding it to second order in the coordinates. After averaging over time to obtain the…

We derive a product formula for the multiple stochastic integrals with respect to Levy process. The idea is to use exponential vectors and the polarization technique which greatly simplify the argument.

Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by…

We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…

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…

We compute the moment of order n of the Poisson stochastic integral of a random process u over a metric space X as a sum that runs over all partitions of {1,...,n} and involves the addition of points to Poisson configurations. This formula…

We study the composition of bivariate L\'evy process with bivariate inverse subordinator. The explicit expressions for its dispersion and auto correlation matrices are obtained. Also, the time-changed two parameter L\'evy processes with…