相关论文: Oscillation of harmonic functions for subordinate …

The existence of a smooth, nonnegative, compactly supported function with monotone (on the half-line) Fourier transform satisfying two-sided decay bounds is demonstrated.

In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…

We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…

We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…

Let $X$ be a (two-sided) fractional Brownian motion of Hurst parameter $H\in (0,1)$ and let $Y$ be a standard Brownian motion independent of $X$. Fractional Brownian motion in Brownian motion time (of index $H$), recently studied in…

This paper is concerned with the numerical computation of the harmonic-measure distribution function, or $h$-function for short, associated with a particular planar domain. This function describes the hitting probability of a Brownian…

We consider non oscillatory functions and prove an everywhere Fourier Inversion Theorem for functions of very moderate decrease. The proofs rely on some ideas in nonstandard analysis.

We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…

Extending the notion of bounded variation, a function $u \in L_c^1(\mathbb R^n)$ is of bounded fractional variation with respect to some exponent $\alpha$ if there is a finite constant $C \geq 0$ such that the estimate \[ \biggl|\int u(x)…

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…

A free non-relativistic particle moving in two dimensions on a half-plane can be described by self-adjoint Hamiltonians characterized by boundary conditions imposed on the systems. The most general boundary condition is parameterized in…

We consider a family of free multiplicative Brownian motions $b_{s,\tau}$ parametrized by a real variance parameter $s$ and a complex covariance parameter $\tau.$ We compute the Brown measure $\mu_{s,\tau}$ of $ub_{s,\tau },$ where $u$ is a…

This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martingale setting. We establish three consistent feasible…

Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst…

Using the Onsager-Machlup functional integral approach, we obtain the work distribution function and the distribution of the dissipated heat of a Brownian particle subjected to a confining harmonic potential and an oscillatory driving…

We consider a multiscale system of stochastic differential equations in which the slow component is perturbed by a small fractional Brownian motion with Hurst index $H>1/2$ and the fast component is driven by an independent Brownian motion.…

In this paper we study a class of functions that appear naturally in some equidistribution problems and that we call $F$-harmonic. These are functions of the universal cover of a closed and negatively curved which possess an integral…

We develop the functional It\^o/path-dependent calculus with respect to fractional Brownian motion with Hurst parameter $H> \frac{1}{2}$. Firstly, two types of integrals are studied. The first type is Stratonovich integral, and the second…

In this paper, we consider a product of a symmetric stable process in $\mathbb{R}^d$ and a one-dimensional Brownian motion in $\mathbb{R}^+$. Then we define a class of harmonic functions with respect to this product process. We show that…

In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide a log-normal upper bound for the density.