Related papers: Some function spaces related to the Brownian motio…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We describe the Dirichlet spectrum structure for the Fichera layers and crosses in any dimension $n\ge3$. Also the application of the obtained results to the classical Brownian exit times problem in these domains.
In this paper we explore two constructions of the same family of metric measure spaces. The first construction was introduced by Laakso in 2000 where he used it as an example that Poincar\'e inequalities can hold on spaces of arbitrary…
We show that the fractional wave operator, which is usually studied in the context of hypersingular integrals but had not yet appeared in mathematical physics, can be constructed as the Dirichlet-to-Neumann map associated with the…
By appropriate choices of elements in the underlying iterated function system, methodology of fractal interpolation entitles one to associate a family of continuous self-referential functions with a prescribed real-valued continuous…
Brownian motion may be embedded in the Fock space of bosonic free field in one dimension.Extending this correspondence to a family of creation and annihilation operators satisfying a q-deformed algebra, the notion of q-deformation is…
We rigorously derive non-equilibrium space-time fluctuation for the particle density of a system of reflected diffusions in bounded Lipschitz domains in $\mathbb R^d$. The particles are independent and are killed by a time-dependent…
In \cite{GRV}, a Feller process called Liouville Brownian motion on $\R^2$ has been introduced. It can be seen as a Brownian motion evolving in a random geometry given formally by the exponential of a (massive) Gaussian Free Field…
It is well known that for standard Brownian motion $ \{B(t), \;t \geq 0\}$ with values in $\mathbb{R}^d$ its convex hull $ V(t)=\conv \{\{\,B(s),\;s \leq t \}$ with probability 1 contains 0 as an interior point for each $t > 0$ (see…
We construct a deformed Fock space and a Brownian motion coming from Coxeter groups of type D. The construction is analogous to that of the $q$-Fock space (of type A) and the $(\alpha,q)$-Fock space (of type B).
In this paper, we study Dirichlet problems of fractional Laplace (Poisson) equations on a general bounded domain in $\mathbb{R}^n$. Green's functions and Poisson kernels are important tools needed in our study. We first establish the…
We study estimates involving the principal Dirichlet eigenvalue associated to a smoothly bounded domain in a complete Riemannian manifold and L1-norms of exit time moments of Brownian motion. Our results generalize a classical inequality of…
The Stretched Sierpinski Gasket (or Hanoi attractor) was subject of several prior works. In this work we use this idea of stretching self-similar sets to obtain non-self-similar ones. We are able to do this for a subset of the connected…
We construct and analyze the Jacobi process - in mathematical biology referred to as Wright-Fisher diffusion - using a Dirichlet form. The corresponding Dirichlet space takes the form of a Sobolev space with different weights for the…
The annihilation operators on Bernoulli functionals (Bernoulli annihilators, for short) and their adjoint operators satisfy a canonical anti-commutation relation (CAR) in equal-time. As a mathematical structure, Dirichlet forms play an…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…
In this paper, we will focus - in dimension one - on the SDEs of the type dX_t=s(X_t)dB_t+b(X_t)dt where B is a fractional Brownian motion. Our principal motivation is to describe one of the simplest theory - from our point of view -…
We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on…
We prove that the Sierpi\'nski gasket is non-removable for quasiconformal maps, thus answering a question of Bishop. The proof involves a new technique of constructing an exceptional homeomorphism from $\mathbb R^2$ into some non-planar…