相关论文: Marginal densities of the "true" self-repelling mo…

The true self-repelling motion is a continuous-time random process which was introduced by T\'oth and Werner in 1998 to be a limit for the "true" self-avoiding random walk defined by T\'oth in 1995. The construction of the true…

We derive the following property of the "true self-repelling motion", a continuous real-valued self-interacting process (X_t, t \ge 0) introduced by Balint Toth and Wendelin Werner. Conditionally on its occupation time measure at time one…

Let $X=(X_t)_{t\geq 0}$ be a known process and $T$ an unknown random time independent of $X$. Our goal is to derive the distribution of $T$ based on an iid sample of $X_T$. Belomestny and Schoenmakers (2015) propose a solution based the…

The paper deals with the fast-slow motions setups in the discrete time $X^\epsilon((n+1)\epsilon)=X^\epsilon(n\epsilon)+\epsilon B(X^\epsilon(n\epsilon),\xi(n))$, $n=0,1,...,[T/\epsilon]$ and the continuous time $\frac…

We investigate the statistics of the local time $\mathcal{T} = \int_0^T \delta(x(t)) dt$ that a run and tumble particle (RTP) $x(t)$ in one dimension spends at the origin, with or without an external drift. By relating the local time to the…

The self-repelling random walk with directed edges was introduced by T\'oth and Vet\H{o} in 2008 as a nearest-neighbor random walk on $\mathbb{Z}$ that is non-Markovian: at each step, the probability to cross a directed edge depends on the…

We study the extreme value statistics of a run and tumble particle (RTP) in one dimension till its first passage to the origin starting from the position $x_0~(>0)$. This model has recently drawn a lot of interest due to its biological…

Let (B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t + \mu t) be a three-dimensional Brownian motion with drift \mu, starting at the origin. Then X_t = ||(B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t +\mu t)||, its distance from the starting point, is a diffusion with…

Let $X=\{X(t),t\in\mathrm{R}^N\}$ be a centered real-valued operator-scaling Gaussian random field with stationary increments, introduced by Bierm\'{e}, Meerschaert and Scheffler (Stochastic Process. Appl. 117 (2007) 312-332). We prove that…

We derive some large deviation bounds for events related to the "true self-repelling motion", a one-dimensional self-interacting process introduced by Toth and Werner, that has very different path properties than usual diffusion processes.…

We calculate analytically the probability density $P(t_m)$ of the time $t_m$ at which a continuous-time Brownian motion (with and without drift) attains its maximum before passing through the origin for the first time. We also compute the…

We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…

Linear Multifractional Stable Motion (LMSM), denoted by $\{Y(t):t\in\R\}$, has been introduced by Stoev and Taqqu in 2004-2005, by substituting to the constant Hurst parameter of a classical Linear Fractional Stable Motion (LFSM), a…

The self-repelling Brownian polymer model (SRBP) initiated by Durrett and Rogers in [Durrett-Rogers (1992)] is the continuous space-time counterpart of the myopic (or 'true') self-avoiding walk model (MSAW) introduced in the physics…

In this article, we study high-dimensional behavior of empirical spectral distributions $\{L_N(t), t\in[0,T]\}$ for a class of $N\times N$ symmetric/Hermitian random matrices, whose entries are generated from the solution of stochastic…

Let $\{B_{t}\}_{t\geq0}$ be a fractional Brownian motion with Hurst parameter $\frac{2}{3}<H<1$. We prove that the approximation of the derivative of self-intersection local time, defined as \begin{align*} \alpha_{\varepsilon} &=…

In this paper, we develop local expansions for the ratio of the centered matrix-variate $T$ density to the centered matrix-variate normal density with the same covariances. The approximations are used to derive upper bounds on several…

Let B_1,B_2, ... be independent one-dimensional Brownian motions defined over the whole real line such that B_i(0)=0. We consider the nth iterated Brownian motion W_n(t)= B_n(B_{n-1}(...(B_2(B_1(t)))...)). Although the sequences of…

The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a…

We solve explicitly the following problem: for a given probability measure mu, we specify a generalised martingale diffusion X which, stopped at an independent exponential time T, is distributed according to mu. The process X is specified…