相关论文: A direct construction of the Standard Brownian Mot…
This paper is the sequel to another with the same name (Buttigieg et al., Comput. Methods Funct. Theory, 2023), and is concerned with results of the same type. We deduce a result on the moments of the exit time of Brownian motion from…
Based on analytical and numerical calculations we study the dynamics of an overdamped colloidal particle moving in two dimensions under time-delayed, non-linear feedback control. Specifically, the particle is subject to a force derived from…
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 study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of…
We consider a particular (exactly soluble) model of the one discussed in a previous work. We show numerical results for the time evolution of the main dynamical quantities and compare them with analytical results.
The main objective of the work is to provide sharp two-sided estimates of $\lambda$-Green function of hyperbolic Brownian motion of a half-space. We strongly rely on recent results obtained by K. Bogus and J. Malecki [3], regarding precise…
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 construct the analogue of Gaussian multiplicative chaos measures for the local times of planar Brownian motion by exponentiating the square root of the local times of small circles. We also consider a flat measure supported on points…
The regular Dirichlet extension is the dual concept of regular Dirichlet subspace. The main purpose of this paper is to characterize all the regular Dirichlet extensions of one-dimensional Brownian motion and to explore their structures. It…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
The main purpose of this paper is to explore the structure of regular subspaces of 1-dim Brownian motion. As outlined in \cite{FMG} every such regular subspace can be characterized by a measure-dense set $G$. When $G$ is open, $F=G^c$ is…
In this paper, we present and prove a boundary limit theorem for Brownian motions for the Hardy space $\mathbf{h}^{p}$ of harmonic functions on the unit ball in $R^m$, where $p\geq1$ and $m\geq2$ are arbitrary. Our proof is constructive in…
A uniform dimensional result for normally reflected Brownian motion (RBM) in a large class of non-smooth domains is established. Exact Hausdorff dimensions for the boundary occupation time and the boundary trace of RBM are given. Extensions…
Let $B$ be a bifractional Brownian motion with parameters $H\in (0, 1)$ and $K\in(0,1]$. For any $n\geq1$, set $Z_n =\sum_{i=0}^{n-1}\big[n^{2HK}(B_{(i+1)/n}-B_{i/n})^2-\E((B_{i+1}-B_{i})^2)\big]$. We use the Malliavin calculus and the…
Nearly fifty years after the introduction of skew Brownian motion by It\^o and McKean (1963), the first passage time distribution remains unknown. In this paper, we generalize results of Pitman and Yor (2001) and Cs\'aki and Hu (2004) to…
Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture…
The Liouville Brownian motion which was introduced in \cite{GRV} is a natural diffusion process associated with a random metric in two dimensional Liouville quantum gravity. In this paper we construct the Liouville Brownian motion via…
The Ray--Knight theorems show that the local time processes of various path fragments derived from a one-dimensional Brownian motion $B$ are squared Bessel processes of dimensions $0$, $2$, and $4$. It is also known that for various…
Brownian motion with stochastic resetting-a process combining standard diffusion with random returns to a fixed position-has emerged as a powerful framework with applications spanning statistical physics, chemical kinetics, biology, and…
This case study proposes robustness quantifications of many classical sample path properties of Brownian motion in terms of the (mean) deviation frequencies along typical a.s.~approximations. This includes L\'evy's construction of Brownian…