相关论文: Potential Theory of Subordinate Brownian Motions R…
We investigate the persistence probability of a Brownian particle in a harmonic potential, which decays to zero at long times -- leading to an unbounded motion of the Brownian particle. We consider two functional forms for the decay of the…
In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and…
The aim of this paper is to continue the study of asymptotic expansions and summability in a monomial in any number of variables. In particular we characterize these expansions in terms of bounded derivatives and we develop tauberian…
We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely…
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…
We define bi-monotone independence, prove a bi-monotone central limit theorem and use it to study the distribution of bi-monotone Brownian motion, which is defined as the two-dimensional operator process with monotone and antimonotone…
The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential…
These notes are written up after my lectures at the University of Pittsburgh in March 2014 and at Tsinghua University in May 2014. My objective is the $\infty$-Laplace Equation, a marvellous kin to the ordinary Laplace Equation. The…
In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale…
In this paper we prove matching upper and lower bounds for the transition density function of the subordinate reflected Brownian motion on fractals.
We consider the persistence probability for the integrated fractional Brownian motion and the fractionally integrated Brownian motion with parameter $H,$ respectively. For the integrated fractional Brownian motion, we discuss a conjecture…
We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and…
Let $N(t)$ be the collection of particles alive at time $t$ in a branching Brownian motion in $\mathbb{R}^d$, and for $u\in N(t)$, let $\mathbf{X}_u(t)$ be the position of particle $u$ at time $t$. For $\theta\in \mathbb{R}^d$, we define…
We introduce a technique to obtain pointwise upper and lower bounds for the Green's function of elliptic operators whose principal part is the Laplacian and that include a drift term diverging near the boundary like a power of the inverse…
We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof…
We consider local singular perturbations of a one-dimensional Laplace operator from the point of view of semigroup theory. Under certain assumptions, we prove the convergence of the corresponding semigroups to the heat semigroup with…
We obtain necessary and sufficient conditions on a function in order that it be the Laplace transform of an absolutely monotonic function. Several closely related results are also given.
In this paper we examine the existence of bicomplexied inverse Laplacetransform as an extension of its complexied inverse version within theregion of convergence of bicomplex Laplace transform. In this course weuse the idempotent…
We are given two martingales on the filtration of the two dimensional Brownian motion. One is subordinated to another. We want to give an estimate of $L^p$-norm of a subordinated one via the same norm of a dominating one. In this setting…
We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with…