相关论文: On the time inhomogeneous skew Brownian motion

For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…

Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…

We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…

It has been conjectured since the work of Lalley and Sellke (1987) that the branching Brownian motion seen from its tip (e.g. from its rightmost particle) converges to an invariant point process. Very recently, it emerged that this can be…

We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…

We prove a fundamental change of measure theorem for the Brownian-time Brownian motion and its associated Brownian-time processes class introduced by Allouba and Zheng in 2001. This result, together with Allouba's prior work on (1)…

We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $\gamma$-H\"older rough path for $\gamma > \frac{1}{3}$. We prove well-posedness of these systems and establish a…

We present a systematic expansion of Kramers equation in the high friction limit. The latter is expanded within an operator continued fraction scheme. The relevant operators include both temporal and spatial derivatives and a covariant…

A stochastic Langevin equation is derived, describing the thermal motion of a molecule immersed in a rested fluid of identical molecules. The fluctuation-dissipation theorem is proved and a number of correlation characteristics of the…

We analyse the behaviour of supercritical super-Brownian motion with a barrier through the pathwise backbone embedding of Berestycki et al. (2011). In particular, by considering existing results for branching Brownian motion due to Harris…

We prove the convergence of the extremal processes for variable speed branching Brownian motions where the "speed functions", that describe the time-inhomogeneous variance, lie strictly below their concave hull and satisfy a certain weak…

This paper concerns the so-called diffusion in the curl of the 2d Gaussian free field, and its generalization to higher dimensions $n \geq 2$, building on the scale-by-scale homogenization approach developed recently by Chatzigeorgiou,…

Let $Q$ be a Riemannian $G$-manifold. This paper is concerned with the symmetry reduction of Brownian motion in $Q$ and ramifications thereof in a Hamiltonian context. Specializing to the case of polar actions we discuss various versions of…

We present a Cameron--Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion,…

The classical inverse first passage time problem asks whether, for a Brownian motion $(B_t)_{t\geq 0}$ and a positive random variable $\xi$, there exists a barrier $b:\mathbb{R}_+\to\mathbb{R}$ such that $\mathbb{P}\{B_s>b(s), 0\leq s \leq…

In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this…

The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…

In Hern\'andez-del-Valle (2010) the author studies the connection between Schr\"odinger's equation and first hitting densities of Brownian motion. Although the author is able to find solutions of a Schr\"odinger type pde he fails---except…

In this paper, the three-dimensional stochastic nonhomogeneous incompressible Navier-Stokes equations driven by L\'evy process consisting of the Brownian motion, the compensated Poisson random measure and the Poisson random measure are…

We consider one-dimensional diffusions, with polynomial drift and diffusion coefficients, so that in particular the motion can be space-inhomogeneous, interacting via one-sided reflections. The prototypical example is the well-known model…