相关论文: Quelques approximations du temps local brownien

Let $M$ and $\tau$ be the supremum and its time of a L\'evy process $X$ on some finite time interval. It is shown that zooming in on $X$ at its supremum, that is, considering $((X_{\tau+t\varepsilon}-M)/a_\varepsilon)_{t\in\mathbb R}$ as…

In this work we present expansions of intersection local times of fractional Brownian motions in $\R^d$, for any dimension $d\geq 1$, with arbitrary Hurst coefficients in $(0,1)^d$. The expansions are in terms of Wick powers of white noises…

We obtain the convergence in law of a sequence of excited (also called cookies) random walks toward an excited Brownian motion. This last process is a continuous semi-martingale whose drift is a function, say $\phi$, of its local time. It…

We consider a one-dimensional diffusion in a stable L\'evy environment. We show that the normalized local time process refocused at the bottom of the standard valley with height $\log t$, $(L_X(t,\mathfrak m_{\log t}+x)/t,x\in \R)$,…

We consider the model of Brownian motion indexed by the Brownian tree, which has appeared in a variety of different contexts in probability, statistical physics and combinatorics. For this model, the total occupation measure is known to…

Let $T_1^{(\mu)}$ be the first hitting time of the point 1 by the Bessel process with index $\mu\in \R$ starting from $x>1$. Using an integral formula for the density $q_x^{(\mu)}(t)$ of $T_1^{(\mu)}$, obtained in Byczkowski, Ryznar (Studia…

We consider the last zero crossing time $T_{\mu,t}$ of a Brownian motion, with drift $\mu \neq 0$ in the time interval $[0, t]$. We prove the large deviation principle of $\{T_{\mu \sqrt r t} : r > 0 \}$ as $r$ tends to infinity. Moreover,…

This paper studies time changes of Brownian motions by positive continuous additive functionals. Under a certain regularity condition on the associated Revuz measures, we prove that the resolvents of the time-changed Brownian motions are…

We study the long-time asymptotics of the probability P_t that the Riemann-Liouville fractional Brownian motion with Hurst index H does not escape from a fixed interval [-L,L] up to time t. We show that for any H \in ]0,1], for both…

We show that the past and future of half-plane Brownian motion at certain cutpoints are independent of each other after a conformal transformation. Like in Ito's excursion theory, the pieces between cutpoints form a Poisson process with…

We prove that when a sequence of L\'evy processes $X^{(n)}$ or a normed sequence of random walks $S^{(n)}$ converges a.s. on the Skorokhod space toward a L\'evy process $X$, the sequence $L^{(n)}$ of local times at the supremum of $X^{(n)}$…

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…

In this paper, we study the law of the local time processes $(L_T^x(X),x\in \mathbb{R})$ associated to a spectrally negative L\'evy process $X$, in the cases $T=\tau_a^+$, the first passage time of $X$ above $a>0$ and $T=\tau(c)$, the first…

Depuis le tout d\'ebut du XX${}^\text{e}$ si\`ecle, l'\'etude des processus stochastiques est un domaine tr\`es actif de la recherche en math\'ematiques. Parmi ces processus, le mouvement brownien --- dont l'\'etude math\'ematique a \'et\'e…

Denote by $H(t)=(H_1(t),...,H_N(t))$ a function in $t\in{\mathbb{R}}_+^N$ with values in $(0,1)^N$. Let $\{B^{H(t)}(t)\}=\{B^{H(t)}(t),t\in{\mathbb{R}}^N_+\}$ be an $(N,d)$-multifractional Brownian sheet (mfBs) with Hurst functional $H(t)$.…

Let $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hurst index $\alpha\in (0,1/4)$. Using an analytic approximation $B(\eta)$ of $B$ introduced in \cite{Unt08}, we prove that the rescaled L\'evy area process…

In this paper, we study the existence and (H\"older) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the…

We consider the integral of fractional Brownian motion (IFBM) and its functionals $\xi_T$ on the intervals $(0,T)$ and $(-T,T)$ of the following types: the maximum $M_T$, the position of the maximum, the occupation time above zero etc. We…

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H…

We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter $H$ ($1/4<H<1/2$), we prove the Laplace-type…