We establish the singularity with respect to Lebesgue measure as a function of time of the conditional probability that the sum of two one-dimensional Brownian motions will exit from the unit interval before time $t$, given the trajectory of the second Brownian motion up to the same time. On the way of doing so we show that if one solves the one-dimensional heat equation with zero condition on a trajectory of a one-dimensional Brownian motion, which is the lateral boundary, then for each moment of time with probability one the normal derivative of the solution is zero, provided that the diffusion of the Brownian motion is sufficiently large.
Let $U$ be a domain, convex in $x$ and symmetric about the y-axis, which is contained in a centered and oriented rectangle $R$. \linebreak If $τ_A$ is the first exit time of Brownian motion from $A$ and $A^+=A\cap \{(x,y):x>0\}$, it is proved that $P^z(τ_{U^+}>s\mid τ_{R^+}>t)\leq P^z(τ_{U}>s\mid τ_{R}>t)$ for every $s,t>0$ and every $z\in U^+$.
In this paper we study the fluctuations from the limiting behavior of small noise random perturbations of diffusions with multiple scales. The result is then applied to the exit problem for multiscale diffusions, deriving the limiting law of the joint distribution of the exit time and exit location. We apply our results to the first order Langevin equation in a rough potential, studying both fluctuations around the typical behavior and the conditional limiting exit law, conditional on the rare event of going against the underlying deterministic flow.
For a spectrally positive strictly stable process with index in (1,2), the paper obtains i) the density of the time when the process makes first exit from an interval by hitting the interval's lower end point before jumping over its upper end point, and ii) the joint distribution of the time, the undershoot, and the jump of the process when it makes first exit the other way around. For i), the density of the time of first exit is expressed as an infinite sum of functions, each the product of a polynomial and an exponential function, with all coefficients determined by the roots of a Mittag-Lef…
The goal of this paper is to supplement the large deviation principle of the Freidlin--Wentzell theory on exit problems for diffusion processes with results of classical central limit theorem kind. We describe a class of situations where conditioning on exit through unlikely locations leads to a Gaussian scaling limit for the exit distribution. Our results are based on Doob's h-transform and new asymptotic convergence gradient estimates for elliptic nonlinear equations that allow to reduce the problem to the Levinson case. We devote a separate section to a rigorous and general discussion of h-…
New results on conditional joint probability distributions of first exit times are presented for a continuous-time stochastic process defined as the mixture of Markov jump processes moving at different speeds on the same finite state space, while the mixture occurs at a random time. Such mixture was first proposed by Frydman \cite{Frydman2005} and Frydman and Schuermann \cite{Frydman2008} as a generalization of the mover-stayer model of Blumen et at. \cite{Blumen}, and was recently extended by Surya \cite{Surya2018}, in which explicit distributional identities of the process are given, in part…
In this article the almost semi-continuous step-process $ξ(t)$ is considered. The conditional characteristic functions of the jumps of $ξ(t)$ have the form $\mathrm{E} [ e^{iαξ_k}/ξ_k>0 ]=c(c-iα)^{-1}$. For such processes the boundary functionals connected with the exit from the finite interval are investigated.
We consider exit problems for small white noise perturbations of a dynamical system generated by a vector field, and a domain containing a critical point with all positive eigenvalues of linearization. We prove that, in the vanishing noise limit, the probability of exit through a generic set on the boundary is asymptotically polynomial in the noise strength, with exponent depending on the mutual position of the set and the flag of the invariant manifolds associated with the top eigenvalues. Furthermore, we compute the limiting exit distributions conditioned on atypical exit events of polynomia…
The fundamental solution of a pseudo-differential equation for functions defined on the $d$-fold product of the $p$-adic numbers, $\mathbb{Q}_p$, induces an analogue of the Wiener process in $\mathbb{Q}_p^d$. As in the real setting, the components are $1$-dimensional $p$-adic Brownian motions with the same diffusion constant and exponent as the original process. Asymptotic analysis of the conditional probabilities shows that the vector components are dependent for all time. Exit time probabilities for the higher dimensional processes reveal a concrete effect of the component dependency.
We extend earlier results on conditioning of super-Brownian motion to general branching rules. We obtain representations of the conditioned process, both as an $h$-transform, and as an unconditioned superprocess with immigration along a branching tree. Unlike the finite-variance branching setting, these trees are no longer binary, and strictly positive mass can be created at branch points. This construction is singular in the case of stable branching. We analyze this singularity first by approaching the stable branching function via analytic approximations. In this context the singularity of t…
The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for conditional probability density functions of Ito processes being killed on the boundary. In addition, a maximum principle and a contraction property are established for SPDEs in bounded domains.
This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, $u$, starting from 0, both as $u$ becomes large and as $u$ becomes small. Our main focus is on the time, $τ_u$, it takes the process to transit above the level, and in particular, on the {\it stability} of this passage time; thus, essentially, whether or not $τ_u$ behaves linearly as $u\dto 0$ or $u\to\infty$. We also consider conditional stability of $τ_u$ when the process drifts to $-\infty$, a.s. This provides information relevant to quantities associated with the ruin of an insurance risk pr…
We condition super-Brownian motion on "boundary statistics" of the exit measure $X_D$ from a bounded domain $D$. These are random variables defined on an auxiliary probability space generated by sampling from the exit measure $X_D$. Two particular examples are: conditioning on a Poisson random measure with intensity $βX_D$ and conditioning on $X_D$ itself. We find the conditional laws as $h$-transforms of the original SBM law using Dynkin's formulation of $X$-harmonic functions. We give explicit expression for the (extended) $X$-harmonic functions considered. We also obtain explicit constructi…
Uniform convergence of conditional distributions for one-dimensional diffusion processes
School of Mathematics and Statistics, Hunan University of Technology and Business（湖南工业大学与商学院数学与统计学院）；School of Mathematics and Computational Science, Xiangtan University（湘潭大学数学与计算科学学院）
We consider a Markov additive process with a finite phase space and study its path decompositions at the times of extrema, first passage and last exit. For these three families of times we establish splitting conditional on the phase, and provide various relations between the laws of post- and pre-splitting processes using time reversal. These results offer valuable insight into behavior of the process, and while being structurally similar to the Lévy process case, they demonstrate various new features. As an application we formulate the Wiener-Hopf factorization, where time is counted in each…
Conditional splitting probabilities for hidden-state inference in drift-diffusive processes
Imperial College London（帝国理工学院）；Laboratoire de Physique de l’Ecole Normale Supérieure (LPENS)（巴黎高等师范学院物理实验室）；Max Planck Insitute for Dynamics and Self-Organization（马克斯·普朗克动力学与自组织研究所）
This paper presents some new results on the conditional joint probability distributions of phase-type under the mixture of right-continuous Markov jump processes with absorption on the same finite state space $\mathbb{S}$ moving at different speeds, where the mixture occurs at a random time. Such mixture was first proposed by Frydman \cite{Frydman2005} and Frydman and Schuermann \cite{Frydman2008} as a generalization of the mover-stayer model of Blumen et at. \cite{Blumen}, and was recently extended by Surya \cite{Surya2018}. When conditioning on all previous and current information $\mathcal{…
We explicitly compute the exit law of a certain hypoelliptic Brownian motion on a solvable Lie group. The underlying random variable can be seen as a multidimensional exponential functional of Brownian motion. As a consequence, we obtain hidden identities in law between gamma random variables as the probabilistic manifestation of braid relations. The classical beta-gamma algebra identity corresponds to the only braid move in a root system of type $A_2$. The other ones seem new. A key ingredient is a conditional representation theorem. It relates our hypoelliptic Brownian motion conditioned on …
The goal of this paper is to develop a general method to establish conditional ergodicity of infinite-dimensional Markov chains. Given a Markov chain in a product space, we aim to understand the ergodic properties of its conditional distributions given one of the components. Such questions play a fundamental role in the ergodic theory of nonlinear filters. In the setting of Harris chains, conditional ergodicity has been established under general nondegeneracy assumptions. Unfortunately, Markov chains in infinite-dimensional state spaces are rarely amenable to the classical theory of Harris cha…
We consider $p$ independent Brownian motions in $\R^d$. We assume that $p\geq 2$ and $p(d-2)<d$. Let $\ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $\R^d$ that assigns to any measurable set $A\subset \R^d$ the amount of intersection local time of the motions spent in $A$ by time $t$. Earlier results of Chen \cite{Ch09} derived the logarithmic asymptotics of the upper tails of the total mass $\ell_t(\R^d)$ as $t\to\infty$. In this paper, we derive a large-deviation principle for the normalised intersection measure $t^{-p}\ell_t$ on the set of …
We enumerate a class of fully parked trees. In a probabilistic context, this means computing the partition function $F(x,y)$ of the parking process where an i.i.d. number of cars arrives at each vertex of a Galton-Watson tree with a geometric offspring distribution, conditioned to leave no vertex unoccupied at the end. The variables $x$ and $y$ count the number of vertices in the tree and the number of cars exiting from the root, respectively. For any car arrival distribution $\mathbf b$, we obtain an explicit parametric expression of $F(x,y)$ in terms of the probability generating function $B…
We study the Cucker--Smale (C-S) flocking systems involving both singularity and noise. We first show the local strong well-posedness for the stochastic singular C-S systems before the first collision time, which is a well defined stopping time. Then, for communication with higher order singularity at origin (corresponding to $α\ge1$ in the case of $ψ(r)=r^{-α}$), we establish the global well-posedness by showing the collision-avoidance in finite time, provided that there is no initial collisions and the initial velocities have finite moment of any positive order. Finally, we study the large t…
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other one-dimensional Brownian motion independent of $\{B_s\}_{s\geq 0}$ and let $\bfP(\cdot|W)$ represent the conditional probability depending on the realization of $\{W_s\}_{s\geq 0}$. We show that $$-t^{-1}\ln\bfP^x(\forall_{s\in[0,t]}a+βW_s\leq B_s\leq b+βW_s|W)$$ converges to a finite positive constant $γ(β)(b-a)^{-2}$ almost surely and in $L^p~ (p\geq 1)$ if $a…
We present a derivation of the numerical phenomenon that differences between the Riemann zeta function's nontrivial zeros tend to avoid being equal to the imaginary parts of the zeros themselves, a property called statistical "repulsion" between the zeros and their differences. Our derivation relies on the statistical properties of the prime zeta function, whose singularity structure specifies the positions of the Riemann zeros. We show that the prime zeta function on the critical line is asymptotically normally distributed with a covariance function that is closely approximated by the logarit…
Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all conditional distributions this contribution studies the class $\mathcal{C}_{ar}^d$ of all $d$-dimensional Archimedean copulas with $d \geq 3$ and proves the afore-mentioned implication with respect to conditioning on the first $d-1$ coordinates. Several proper\-ties equivalent to pointwise convergence in $\mathcal{C}_{ar}^d$ are established and - as by-product of working with conditional distributions (Markov kernels) - a…
