相关论文: Potential Theory of Subordinate Brownian Motions R…

Motivated by tug-of-war games and asymptotic analysis of certain variational problems, we consider a gradient constraint problem involving the infinity Laplace operator. We prove that this problem always has a solution that is unique if a…

We show that with probability 1, the trace B[0,1] of Brownian motion in space, has positive capacity with respect to exactly the same kernels as the unit square. More precisely, the energy of occupation measure on B[0,1] in the kernel…

Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…

We survey the results in Nane (E. Nane, Higher order PDE's and iterated processes, Trans. American Math. Soc. (to appear)) and Baeumer, Meerschaert, and Nane (B. Baeumer, M.M. Meerschaert and E. Nane, Brownian subordinators and fractional…

In previous work J. Backhoff-Veraguas, M. Beiglb\"ock and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measures on Euclidean space coincide if and only if these two…

For every bounded planar domain $D$ with a smooth boundary, we define a `Lyapunov exponent' $\Lambda(D)$ using a fairly explicit formula. We consider two reflected Brownian motions in $D$, driven by the same Brownian motion (i.e., a…

The problem of separation of variables in some coordinate systems obtained with the use of $L$-transformations is studied. Potentials are shown that allow separation of regular variables in a perturbed two-body problem. The potential…

We revisit the Markov approximation necessary to derive ordinary Brownian motion from a model widely adopted in literature for this specific purpose. We show that this leads to internal inconsistencies, thereby implying that further search…

We review probabilistic approaches to the Gross-Pitaevskii theory describing interacting dilute systems of particles. The main achievement are large deviations principles for the mean occupation measure of a large system of interacting…

We describe a probabilistic model involving iterated Brownian motion for constructing a random chainable continuum. We show that this random continuum is indecomposable.

We solve the problem of formulating Brownian motion in a relativistically covariant framework in 1+1 and 3+1 dimensions. We obtain covariant Fokker-Planck equations with (for the isotropic case) a differential operator of invariant…

We investigate polyharmonic functions associated to Brownian motion and random walks in cones. These are functions which cancel some power of the usual Laplacian in the continuous setting and of the discrete Laplacian in the discrete…

We investigate Lyapunov exponents of Brownian motion in a nonnegative Poissonian potential $V$. The Lyapunov exponent depends on the potential $V$ and our interest lies in the decay rate of the Lyapunov exponent if the potential $V$ tends…

The Dominative $p$-Laplace Operator is introduced. This operator is a relative to the $p$-Laplacian, but with the distinguishing property of being sublinear. It explains the superposition principle in the $p$-Laplace Equation.

Brownian particles in random potentials show an extended regime of subdiffusive dynamics at intermediate times. The asymptotic diffusive behavior is often established at very long times and thus cannot be accessed in experiments or…

In this note, we study the asymptotical frontier behavior of a branching reflected Brownian motion. There is essentially no difference in maximal displacement between a branching Brownian motion and its reflected counterpart. We provide two…

In this paper we introduce a very general setting dealing with the superposition of operators of any positive order and provide a systematic study of them. We also provide examples and counterexamples, as well as characterizing properties…

We study random uniform permutations in an important class of pattern-avoiding permutations: the separable permutations. We describe the asymptotics of the number of occurrences of any fixed given pattern in such a random permutation in…

We extend P\'olya's indicator diagram theory to encompass entire functions of order at most 1, allowing functions of maximal type. To do so, we introduce an extension of the complex plane in which indicator diagrams may be unbounded or even…

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…