相关论文: The Slepian zero set, and Brownian bridge embedded…

The standard functional central limit theorem for a renewal process with finite mean and variance, results in a Brownian motion limit. This note shows how to obtain a Brownian bridge process by a direct procedure that does not involve…

We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is…

We study the local-in-time regularity of the Brownian motion with respect to localized variants of modulation spaces M^{p, q}_s and Wiener amalgam spaces W^{p, q}_s. We show that the periodic Brownian motion belongs locally in time to M^{p,…

We consider the continuous time symmetric random walk with a slow bond on $\mathbb Z$, which rates are equal to $1/2$ for all bonds, except for the bond of vertices $\{-1,0\}$, which associated rate is given by $\alpha n^{-\beta}/2$, where…

We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…

The inverse first passage time problem asks whether, for a Brownian motion $B$ and a nonnegative random variable $\zeta$, there exists a time-varying barrier $b$ such that $\mathbb{P}\{B_s>b(s),0\leq s\leq t\}=\mathbb{P}\{\zeta>t\}$. We…

We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the…

For a one-dimensional super-Brownian motion with density $X(t,x)$, we construct a random measure $L_t$ called the boundary local time which is supported on $\partial \{x:X(t,x) = 0\} =: BZ_t$, thus confirming a conjecture of Mueller, Mytnik…

In this paper we introduce a new method for the simulation of the exit time and position of a $\delta$-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion…

In this paper we find a pathwise decomposition of a certain class of Brownian semistationary processes ($\mathcal{BSS}$) in terms of fractional Brownian motions. To do this, we specialize in the case when the kernel of the $\mathcal{BSS}$…

Consider the motion of a Brownian particle in $n$ dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, exactly $k$ of the coordinate processes get a…

It is well known that for a standard Brownian motion (BM) $ \{B(t), \;t \geq 0\}$ with values in $\mathbb{R}^d$, its convex hull $ V(t)=\conv \{\{\,B(s),\;s \leq t \}$ with probability $1$ for each $t > 0$ contains $0$ as an interior point…

In this paper we consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion related to the underlying Brownian motion. Special cases of…

We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…

Anomalous diffusion is frequently described by scaled Brownian motion (SBM), a Gaussian process with a power-law time dependent diffusion coefficient. Its mean squared displacement is $\langle x^2(t)\rangle\simeq\mathscr{K}(t)t$ with…

For the one-dimensional Brownian motion $B=(B_t)_{t\ge 0}$, started at $x>0$, and the first hitting time $\tau=\inf\{t\ge 0:B_t=0\}$, we find the probability density of $B_{u\tau}$ for a $u\in(0,1)$, i.e. of the Brownian motion on its way…

We consider the symmetric inclusion process on a general finite graph. Our main result establishes universal upper and lower bounds for the spectral gap of this interacting particle system in terms of the spectral gap of the random walk on…

Motivated by Kesten's bridge decomposition for two-dimensional self-avoiding walks in the upper half plane, we show that the conjectured scaling limit of the half-plane SAW, the SLE(8/3) process, also has an appropriately defined bridge…

The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time…

We present schemes for simulating Brownian bridges on complete and connected Lie groups and homogeneous spaces. We use this to construct an estimation scheme for recovering an unknown left- or right-invariant Riemannian metric on the Lie…