相关论文: Strong approximations of three-dimensional Wiener …

In this paper, we show an approximation in law of the complex Brownian motion by processes constructed from a stochastic process with independent increments. We give sufficient conditions for the characteristic function of the process with…

In this paper we study the local times of Brownian motion from the point of view of algorithmic randomness. We introduce the notion of effective local time and show that any path which is Martin-L\"of random with respect to the Wiener…

Complex signed measures of finite total variation are a powerful signal model in many applications. Restricting to the $d$-dimensional torus, finitely supported measures allow for exact recovery if the trigonometric moments up to some order…

The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path…

We consider randomized computation of continuous data in the sense of Computable Analysis. Our first contribution formally confirms that it is no loss of generality to take as sample space the Cantor space of infinite FAIR coin flips. This…

We study a (relativistic) Wiener process on a complexified (pseudo-)Riemannian manifold. Using Nelson's stochastic quantization procedure, we derive three equivalent descriptions for this problem. If the process has a purely real quadratic…

We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…

Lower and upper estimates are given for the probability that the epsilon-enlargement of planar Brownian motion to time 1 (the epsilon sausage) contains a unit line segment. The estimates imply that Brownian motion to time 1 itself contains…

In this article we establish some estimates related to the Gaussian densities and to Hermite polynomials in order to obtain an almost sure estimate for each term of the It\^{o}-Wiener expansion of the self-intersection local times of the…

A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding L\'{e}vy areas driven by a multidimensional Brownian motion is proposed. The algorithm is based on a truncated…

In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related…

We construct a family of processes, from a single Poisson process, that converges in law to a complex Brownian motion. Moreover, we find realizations of these processes that converge almost surely to the complex Brownian motion, uniformly…

We establish $L^p$-type universal approximation theorems for general and non-anticipative functionals on suitable rough path spaces, showing that linear functionals acting on signatures of time-extended rough paths are dense with respect to…

Inspired by subsequential ergodic theorems, we study the validity of Wiener's lemma and the extremal behavior of a measure $\mu$ on the unit circle via the behavior of its Fourier coefficients $\hat\mu(k_n)$ along subsequences $(k_n)$. We…

In this article we propose a new explicit Euler-type approximation method for stochastic differential equations (SDEs). In this method, Brownian increments in the recursion of the Euler method are replaced by suitable bounded functions of…

The times of Brownian local minima, maxima and their union are three distinct examples of local, stationary, dense, random countable sets associated with classical Wiener noise. Being local means, roughly, determined by the local behavior…

We prove that random walks on a family of tilings of d-dimensional Euclidean space, with a canonical choice of conductances, converge to Brownian motion modulo time parameterization. This class of tilings includes Delaunay triangulations…

The Wiener measure induces a measure of closed, convex, (d-1)-dimensional, Euclidean (hyper-)surfaces that are the convex hulls of closed d-dimensional Brownian bridges. I present arguments and numerical evidence that this measure, for odd…

We study Brownian loop soup clusters in $\mathbb{R}^3$ for an arbitrary intensity $\alpha>0$. We show the existence of a phase transition for the presence of unbounded clusters and study its basic properties. In particular, we show that,…

We have formulated higher-order integration by parts formulae on the path space restricted between two curves, with respect to pinned/ordinary Wiener measures. The higher-order integration by parts formulae introduce nontrivial boundary…