Vadim Kostrykin, Jürgen Potthoff, Robert Schrader
Pathwise constructions of Brownian motions which satisfy all possible boundary conditions at the vertex of single vertex graphs are given.
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Consider a negatively drifted one dimensional Brownian motion starting at positive initial position, its first hitting time to 0 has the inverse Gaussian law. Moreover, conditionally on this hitting time, the Brownian motion up to that time has the law of a 3- dimensional Bessel bridge. In this paper, we give a generalization of this result to a family of Brownian motions with interacting drifts, indexed by the vertices of a conductance network. The hitting times are equal in law to the inverse of a random potential that appears in the analysis of a self-interacting process called the Vertex R…
The construction of the paths of all possible Brownian motions (in the sense of Knight) on a half line or a finite interval is reviewed.
We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.
We study the fluctuations of the power variation of fractional Brownian motion in Brownian time
By using the law of the excursions of Brownian motion with drift, we find the distribution of the $n-$th passage time of Brownian motion through a straight line $S(t)= a + bt.$ In the special case when $b = 0,$ we extend the result to a space-time transformation of Brownian motion.
We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.
We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and $n$-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for Gaussian processes is obtained as a byproduct. As an application, we give a statistical estimator for the self-similarity index of trifractional Brownian motion. These theorems extend results of Baxter, Gladyshev, and Norvaiša.
We consider the persistence probability for the integrated fractional Brownian motion and the fractionally integrated Brownian motion with parameter $H,$ respectively. For the integrated fractional Brownian motion, we discuss a conjecture of Molchan and Khokhlov and determine the asymptotic behavior of the persistence exponent as $H\to 0$ and $H\to 1,$ which is in accordance with the conjecture. For the fractionally integrated Brownian motion, also called Riemann-Liouville process, we find the asymptotic behavior of the persistence exponent as $H\to 0$.
In this paper we apply the spectral theory of linear diffusions to study the one-dimensional Liouville Brownian Motion and Liouville Brownian excursions from a given point. As an application we estimate the fractal dimensions of level sets of one-dimensional Liouville Brownian motion as well as various probabilistic asymptotic behaviours of Liouville Brownian motion and Liouville Brownian excursions.
Large deviation for slow-fast McKean-Vlasov stochastic differential equations driven by fractional Brownian motions and Brownian motions
本文研究了由布朗运动和分数布朗运动驱动的慢-快McKean-Vlasov随机微分方程，提出乘积空间上的大偏差原理新定义，并在适当假设下利用弱收敛方法证明了该方程的LDP。
The signature of Brownian motion in $\mathbb{R}^{d}$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $d\geq 2$, almost all Brownian motion sample paths (running up to time $T$) are determined by its signature over $[0,T]$
Approximation of skew Brownian motion by snapping-out Brownian motions
本文证明并讨论 snapping-out Brownian motions 在渗透系数趋于无穷且比值恒定时收敛到斜布朗运动，并给出相关半群、余弦族及投影的收敛结果。
Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
证明了由Hurst参数H> 1/2的多维分数布朗运动和多维标准布朗运动同时驱动的多维时变随机微分方程解的存在唯一性定理.证明依赖于一些先验估计，这是使用分数积分的方法，和经典的伊藤随机分析。存在性结果基于Yamada-Watanabe定理。
We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.
Dyson's Brownian motions, intertwining and interlacing
利用一族反射布朗运动构造了非碰撞布朗运动的Dyson过程。给出了一些显式公式，包括一个家庭的合并布朗运动的分布。
The $n$th order fractional Brownian motion was introduced by Perrin et al. It is the (upto a multiplicative constant) unique self-similar Gaussian process with Hurst index $H \in (n-1,n)$, having $n$th order stationary increments. We provide a transfer principle for the $n$th order fractional Brownian motion, i.e., we construct a Brownian motion from the $n$the order fractional Brownian motion and then represent the $n$the order fractional Brownian motion by using the Brownian motion in a non-anticipative way so that the filtrations of the $n$the order fractional Brownian motion and the associ…
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 relaxed. Relations with the Levy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no "really nice" set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, …
Consider the $d$ dimensional lattice $\mathbb{Z}^d$ where each vertex is open or closed with probability $p$ or $1-p$ respectively. An open vertex $\mathbb{u} := (\mathbb{u}(1), \mathbb{u}(2),...,\mathbb{u}(d))$ is connected by an edge to another open vertex which has the minimum $L_1$ distance among all the open vertices with $\mathbb{x}(d)>\mathbb{u}(d)$. It is shown that this random graph is a tree almost surely for $d=2$ and 3 and it is an infinite collection of disjoint trees for $d\geq 4$. In addition for $d=2$, we show that when properly scaled, family of its paths converges in distribu…
The Lévy-Ciesielski Construction of Brownian motion is used to determine non-asymptotic estimates for the maximal deviation of increments of a Brownian motion process $(W_{t})_{t\in \left[ 0,T\right] }$ normalized by the global modulus function, for all positive $\varepsilon $ and $δ$. Additionally, uniform results over $δ$ are obtained. Using the same method, non-asymptotic estimates for the distribution function for the standard Brownian motion normalized by its local modulus of continuity are obtained. Similar results for the truncated Brownian motion are provided and play a crucial role in…
Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by means of transport processes. In this paper we prove a similar type of approximation for sub-fractional Brownian motion.
We prove a non-central limit theorem for the symmetric weighted odd-power variations of the fractional Brownian motion with Hurst parameter H< 1/2. As applications, we study the asymptotic behavior of the trapezoidal weighted odd-power variations of the fractional Brownian motion and the fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0, where X is a fractional Brownian motion and Y is an independent Brownian motion.
Small value probabilities of additive and derivative martingales in supercritical branching Brownian motions and super Brownian motions
该研究建立了超临界分支布朗运动和超布朗运动中两类鞅小值概率的渐近结果，推广了相关分支过程的已有结论，且与已有文献结果吻合。
Wellposedness and averaging principle for conditional distribution dependent SDEs driven by standard Brownian motions and fractional Brownian motions
本文研究了由标准Brown运动和分数阶Brown运动驱动的条件分布依赖型随机微分方程，通过不动点定理证明了解的存在唯一性，并建立了其解可由平均方程逼近的平均原理。
The Multiparameter Fractional Brownian Motion
定义并研究了多参数分数布朗运动。当放松独立性条件时，该过程是经典分数布朗运动和多参数布朗运动的推广。讨论了它与Lévy分数布朗运动和分数布朗单的关系。研究了多参数过程增量平稳性的不同概念，并将其应用于分式性质。利用自相似性，我们提出了这样的过程的表征。最后，分析了多参数分数布朗运动沿增路径的行为。
Generalizations of tempered fractional Brownian from single index to two indices and variable index or tempered multifractional Brownian motion are studied. Tempered fractional Brownian motion and tempered multifractional Brownian motion with variable tempering parameter are considered.
Coalescence of skew Brownian motions
本文证明了两个具有相同偏度参数（不等于0）的、由同一布朗运动驱动的斜布朗运动a.s.
We derive several explicit distributions of functionals of Brownian motion indexed by the Brownian tree. In particular, we give a direct proof of a result of Bousquet-Mélou and Janson identifying the distribution of the density at 0 of the integrated super-Brownian excursion.
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation. Moreover, the distribution of the time-changed Brownian motion by an inverse stable process solves the same equation, hence both processes have the same one dimensional distribution. In this paper we show the mutual singularity of the probability measures on the path space which are induced by generalized grey Brownian motion and the time-changed Brownian motio…
We discuss the escape rate of the Brownian motion on a hyperbolic space. We point out that the escape rate is determined by using the Brownian expression of the radial part and a generalized Kolmogorov's test for the one dimensional Brownian motion.
We prove that, both for the Brownian snake and for super-Brownian motion in dimension one, the historical path corresponding to the minimal spatial position is a Bessel process of dimension -5. We also discuss a spine decomposition for the Brownian snake conditioned on the minimizing path.
We establish the large deviation principle (LDP) for stochastic flows of interacting Brownian motions. In particular, we consider smoothly correlated flows, coalescing flows and Brownian motion stopped at a hitting moment.
Firstly, we shall introduce the so-called snapping out Walsh's Brownian motion and present its relation with Walsh's Brownian motion. Then the stiff problem related to Walsh's Brownian motion will be described and we shall build a phase transition for it. The snapping out Walsh's Brownian motion corresponds to the so-called semi-permeable pattern of this stiff problem.
Unitary Brownian motions are linearizable
在强连续性而非范数连续性的假设下，研究了所有酉算子的无穷维群中的布朗运动.每一个这样的运动都可以用独立的一维布朗运动的可数集合来描述。证明涉及连续的张量积和连续的量子测量。一个副产品：可分F空间（非局部凸）中的布朗运动是高斯过程。
The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory. As the starting point, we show that quasi-surely, sample paths of G-Brownian motion can be enhanced to the second level in a canonical way so that they become geometric rough paths of roughness 2 < p < 3. This result enables us to introduce the notion of rough differential equations (RDEs) driven by G-Brownian motion in the pathwise sense under the general framework of rough paths. Next we establish the funda…
Game-theoretic Brownian motion
本文提出了一种完全信息博弈，沿着列维的布朗运动的特征线，形式化的过程中的布朗运动在博弈论的概率。这也许是概率在非随机环境中出现的最简单的情况。
In this paper, stability theorems for stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion are obtained. We show the existence and uniqueness of solutions to forward-backward stochastic differential equations driven by G-Brownian motion. Stability theorem for forward-backward stochastic differential equations driven by G-Brownian motion is also presented.
Let ${S_t^H, t \geq 0} $ be a linear combination of a Brownian motion and of an independent sub-fractional Brownian motion with Hurst index $0 < H < 1$. Its main properties are studied and it is shown that $S^H $ can be considered as an intermediate process between a sub-fractional Brownian motion and a mixed fractional Brownian motion. Finally, we determine the values of $H$ for which $S^H$ is not a semi-martingale.
Estimating dynamic correlation between a pair of time series is of importance in many applications. We present new estimators for the dynamic correlation between a pair of correlated Brownian motions and separately for dynamic correlation between a pair of correlated Geometric Brownian motions. We show that, as the sample size increases, all estimators presented in this paper converge in probability to the underlying true dynamic correlation.
We present a Cameron--Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion, and we obtain some canonical Dirichlet forms. These findings extend the corresponding classical results for Brownian motion.
The probability that Brownian motion almost covers a line
给出了平面布朗运动到时间1的ε-扩大（香肠）包含单位线段的概率的上下估计。估计意味着布朗运动到时间1本身不包含线段。
We consider the model of Brownian motion indexed by the Brownian tree. For every $r\geq 0$ and every connected component of the set of points where Brownian motion is greater than $r$, we define the boundary size of this component, and we then show that the collection of these boundary sizes evolves when $r$ varies like a well-identified growth-fragmentation process. We then prove that the same growth-fragmentation process appears when slicing a Brownian disk at height $r$ and considering the perimeters of the resulting connected components.
Maximal inequalities for bifractional Brownian motion
本文研究双分数布朗运动的极大不等式问题，核心方法是借助高斯过程比较定理，得出若干相关极大不等式。
A stochastic differential equation for local times of super-Brownian motion
本文证明了超布朗运动或由Brownian tree索引的Brownian motion的局部时间满足显式随机微分方程，其证明结合了Brownian snake的excursion theory与超过程理论工具。
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingale of $G$-Brownian motion are important for our arguments.
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic collisions.
This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.
A decomposition of the bifractional Brownian motion and some applications
本文给出了具有参数H，K的双分式布朗运动分解为具有Hurst参数HK的分式布朗运动与具有绝对连续轨迹的随机过程之和.讨论了这种分解的一些应用。
(i) Uncountably many synchronized reflected Brownian motions can hit the boundary of a $C^2$ domain at the same time. (ii) Measures associated to local times of two synchronized reflected Brownian motions are mutually singular until the time when the normal vectors at the reflection locations become identical. (iii) Mirror coupled reflected Brownian motions can simultaneously hit opposite sides of a wedge at different distances from the origin.
In a recent work J. Pitman and W. Tang defined the Vervaat's transform for a Brownian bridge with two different endpoints and for a Brownian motion between times $0$ and $1$. They proved some path decomposition properties for these Vervaat's transforms and raised open questions on their semi-martingale decomposition. In this paper we give an alternative proof for the path decomposition and answer the open questions.
In this paper we prove matching upper and lower bounds for the transition density function of the subordinate reflected Brownian motion on fractals.
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate density of position, local time and occupation time of this diffusion is obtained explicitly. Furthermore, we give a construction of two Brownian motions with drift and scaling whose difference is an oscillating sticky Brownian motion, up to a multiplicative constant.
In this paper, we consider a two-dimensional sticky Brownian motion. Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find applications in many areas including queueing theory and mathematical finance. For example, a sticky Brownian motion can be used to model a storage system.with exceptional services. In this paper, we focus on stationary distributions for sticky Brownian motions. The main results obtained here include tail asymptotic properties in boundary stationary distributions, marginal distributions, and joint distributions. The ke…
From N-parameter fractional Brownian motions to N-parameter multifractional Brownian motions
多分数布朗运动是著名的分数布朗运动的推广，其中Holder正则性允许沿路径变化。本文研究了mBm的两类多参数扩张：一类是迷向的，另一类不是迷向的。对于这些过程中的每一个，一个移动平均表示，一个和谐的表示，和协方差结构。然后研究了Holder正则性。特别是，一个不规则的指数函数H的情况下进行了研究。在这种情况下，证明了多参数mBm的几乎必然点态和局部Holder指数等于H的相应指数.最后，证明了局部渐近自相似性。极限过程可以是不同于fBm的另一个过程。
Convex hull of Brownian motion and Brownian bridge
本文研究平面布朗运动与独立布朗桥轨迹并集的凸包，给出其周长与面积期望的精确值及联合最大值时刻密度，并推广到多个独立过程。
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 Dirichlet form theory. By showing that the Liouville measure is smooth in the strict sense, the positive continuous additive functional $(F_t)_{t \ge 0}$ of the Liouville measure in the strict sense w.r.t. the planar Brownian motion $(B_t)_{t \ge 0}$ is obtained. Then the Liouville Brownian motion can be defined as a time changed process of the planar Brownian mo…
Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy process that required sampling from an independent Brownian motion process. We show that such a procedure works equally well without any additional source of randomness if one uses normal quantiles instead of the ordered increments of the auxiliary Brownian motion process.
We consider two dependent Brownian motions with (possibly) different drift, and apply a result by le Gall on cone points of two dimensional Brownian motion to show that with probability one, there will not be a time that is a local maximum for both processes.
On the distribution of the integral of the exponential Brownian motion
指数布朗运动积分的密度分布函数以快速收敛级数的形式显式确定。
In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to $G$-Brownian motion. The roughness of $G$-Brownian Motion is estimated and then the pathwise Norris lemma in $G$-framework is obtained.
The Most General Brownian Motion on the Line and on Two Closed Half-Lines
本文研究了直线及两个闭合半轴上最一般的布朗运动，提出并证明了零点杀死斜粘性布朗运动及其扩展形式。
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