Klaus Fleischmann, Carl Mueller
A super-Brownian motion in two and three dimensions is constructed where "particles" give birth at a higher rate, if they approach the origin. Via a log-Laplace approach, the construction is based on Albeverio et al. (1995) who calculated the fundamental solutions of the heat equation with one-point potential in dimensions less than four.
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Basic properties of Brownian motion are used to derive two results concerning birth-death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth-death chain are given to ensure that the expected value of the chain converges to a limit. The theory of Brownian motion local time figures prominently in the proof of the second result.
Birth-death processes are time-changed Feller's Brownian motions
本文通过特定时间变换建立 Feller 布朗运动与生灭过程的双向等价关系，并给出参数精确对应与构造性路径表示框架。
The binary branching Brownian motion in the boundary case is a particle system on the real line behaving as follows. It starts with a unique particle positioned at the origin at time $0$. The particle moves according to a Brownian motion with drift $μ= 2$ and diffusion coefficient $σ^2 = 2$, until an independent exponential time of parameter $1$. At that time, the particle dies giving birth to two children who then start independent copies of the same process from their birth place. It is well-known that in this system, the cloud of particles eventually drifts to $\infty$. The aim of this note…
The extremal process of a cascading family of branching Brownian motion
研究级联分支布朗运动族中类型2粒子的极值过程的渐近行为，揭示了其极限结构。
We consider a two-type reducible branching Brownian motion, defined as a particle system on the real line in which particles of two types move according to independent Brownian motion and create offspring at constant rate. Particles of type $1$ can give birth to particles of types $1$ and $2$, but particles of type $2$ only give birth to descendants of type $2$. Under some specific conditions, Biggins (2012) shows that this process exhibit an anomalous spreading behaviour: the rightmost particle at time $t$ is much further than the expected position for the rightmost particle in a branching Br…
Large deviations for the maximum of a reducible two-type branching Brownian motion
本文研究两型可约分支布朗运动的最大位置$M_t$，在$t\to\infty$时上大偏差概率$\mathbb{P}(M_t\geq θm_t)$的衰减率，证明其衰减率函数随$θ$、布朗运动方差与分支率的关系发生相变。
We analyze the stationary distribution of regulated Markov modulated Brownian motions (MMBM) modified so that their evolution is slowed down when the process reaches level zero --- level zero is said to be {\em sticky}. To determine the stationary distribution, we extend to MMBMs a construction of Brownian motion with sticky boundary, and we follow a Markov-regenerative approach similar to the one developed in past years in the context of quasi-birth-and-death processes and fluid queues. We also rely on recent work showing that Markov-modulated Brownian motions may be analyzed as limits of a p…
We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized form proposed by Norbert Wiener. The aforementioned motivates a stochastic differential equation to model the future price fluctuations of a stock traded wherein Itô integration is prominent and consequently expanded upon. The final part of this paper focuses on the accuracy of the model by backtesting it with Apple stock and deriving a correlation coefficie…
In a recent work, Fleischmann and Mueller (2004) showed the existence of a super-Brownian motion in R^d, d=2,3, with extra birth at the origin. Their construction made use of an analytical approach based on the fundamental solution of the heat equation with a one point potential worked out by Albeverio et al. (1995). The present note addresses two properties of this measure-valued process in the three-dimensional case, namely the scaling of the process and the large scale behavior of its mean.
Motivated by the goal of understanding the evolution of populations undergoing selection, we consider branching Brownian motion in which particles independently move according to one-dimensional Brownian motion with drift, each particle may either split into two or die, and the difference between the birth and death rates is a linear function of the position of the particle. We show that, under certain assumptions, after a sufficiently long time, the empirical distribution of the positions of the particles is approximately Gaussian. This provides mathematically rigorous justification for resul…
Aiming to understand the distribution of fitness levels of individuals in a large population undergoing selection, we study the particle configurations of branching Brownian motion where each particle independently moves as Brownian motion with negative drift, particles can die or undergo dyadic fission, and the difference between the birth rate and the death rate is proportional to the particle's location. Under some assumptions, we obtain the limit in probability of the number of particles in any given interval and an explicit formula for the asymptotic empirical density of the fitness distr…
We consider a branching particle system where particles reproduce according to the pure birth Yule process with the birth rate L, conditioned on the observed number of particles to be equal n. Particles are assumed to move independently on the real line according to the Brownian motion with the local variance s2. In this paper we treat $n$ particles as a sample of related species. The spatial Brownian motion of a particle describes the development of a trait value of interest (e.g. log-body-size). We propose an unbiased estimator Rn2 of the evolutionary rate r2=s2/L. The estimator Rn2 is propo…
Consider a population where individuals give birth at constant rate during their lifetimes to i.i.d. copies of themselves. Individuals bear clonally inherited types, but (neutral) mutations may happen at the birth events. The smallest subtree containing the genealogy of all the extant individuals at a fixed time τ, is called the coalescent point process. We enrich this process with the history of the mutations that appeared over time, and call it the marked coalescent point process. With the help of limit theorems for Lévy processes with marked jumps established in a previous work (arXiv:1305.…
Random trees with local catastrophes: the Brownian case
本文提出了一种扩展的随机树模型，通过局部相关机制分析种群谱系，并在特定条件下证明其收敛于布朗连续随机树。
We consider a continuous population whose dynamics is described by the standard stationary Fleming-Viot process, so that the genealogy of $n$ uniformly sampled individuals is distributed as the Kingman $n$-coalescent. In this note, we study some genealogical properties of this population when the sample is conditioned to fall entirely into a subpopulation with most recent common ancestor (MRCA) shorter than $\varepsilon$. First, using the comb representation of the total genealogy (Lambert & Uribe Bravo 2016), we show that the genealogy of the descendance of the MRCA of the sample on the times…
Microscopic Weak Selection Principle for the Logistic Branching Brownian Motion with selection
本文提出对数分支布朗运动（Log-BBM）作为FKPP型方程的微观模型，证明在大种群极限下其重整化经验测度弱收敛到非局部FKPP方程的解，并展示该模型表现出Brunet-Derrida系统的弱选择原理，即粒子选择最小传播速度。
Interval-Constrained Brownian Paths: Exact Interpolation and Extrapolation
本文研究区间约束布朗运动与布朗桥的精确插值和外推，提出统一采样套件，含边界端点并自动切换密度表示，提升接受率，并扩展至多时刻骨架路径模拟。
A sharp survival threshold for branching Brownian motion in a self-generated resource environment
该研究确定自生成资源环境中分支布朗运动的种群生存阈值θ=βm/c，θ≤1时种群几乎必然灭绝，θ>1时种群以正概率存活，阈值与扩散率等参数无关。
We show that the Brydges-Fröhlich-Spencer-Dynkin and the Le Jan's isomorphisms between the Gaussian free fields and the occupation times of symmetric Markov processes generalize to the $β$-Dyson's Brownian motion. For $β\in\{1,2,4\}$ this is a consequence of the Gaussian case, however the relation holds for general $β$. We further raise the question whether there is an analogue of $β$-Dyson's Brownian motion on general electrical networks, interpolating and extrapolating the fields of eigenvalues in matrix-valued Gaussian free fields. In the case $n=2$ we give a simple construction.
We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $-\infty$. We show that these processes do not have to have the distribution of standard Brownian motion in the backward direction of time, no matter which random time we take as the origin. We study the maximum and minimum rates of growth for these processes in the backward direction. We also address the question of which extra assumptions make one of these processes a two-sided Brownian motion.
Let $X$ be a (two-sided) fractional Brownian motion of Hurst parameter $H\in (0,1)$ and let $Y$ be a standard Brownian motion independent of $X$. Fractional Brownian motion in Brownian motion time (of index $H$), recently studied in \cite{13}, is by definition the process $Z=X\circ Y$. It is a continuous, non-Gaussian process with stationary increments, which is selfsimilar of index $H/2$. The main result of the present paper is an Itô's type formula for $f(Z_t)$, when $f:\R\to\R$ is smooth and $H\in [1/6,1)$. When $H>1/6$, the change-of-variable formula we obtain is similar to that of the cla…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and bi-fractional Brownian motion. A new and interesting phenomenon is that, in comparison with the results for fractional Brownian motion, extra randomness appears in the limiting distributions for Gaussian processes with nonstationary increments, say sub-fractional Brownian motion and bi-fractional Brownian. The results are obtained based on the method of mome…
Let X^{1}, X^{2} be two independent (two-sided) fractional Brownian motions having the same Hurst parameter H in (0,1), and let Y be a standard (one-sided) Brownian motion independent of (X^{1},X^{2}). In dimension 2, fractional Brownian motion in Brownian motion time (of index H) is, by definition, the process Z_t:= (Z^1_t, Z^2_t)= (X^{1}_{Y_t},X^{2}_{Y_t}). The main result of the present paper is an Ito's type formula for f(Z_t), when f:\R^2\to\R is smooth and H in [ 1/6,1). When H>1/6, the change-of-variable formula we obtain is similar to that of the classical calculus. In the critical cas…
Persistence of the Wiener Sausage: Sampling Stability and a Law of Large Numbers for Drifted Planar Brownian Motion DRAFT -CURRENTLY UNDER REVIEW
研究漂移平面布朗运动范围生成的偏移过滤的持续同调，提出采样定理和大数定律，揭示拓扑复杂性增长的强度度量。
We extend the results of Arguin et al and A\"ıdékon et al on the convergence of the extremal process of branching Brownian motion by adding an extra dimension that encodes the "location" of the particle in the underlying Galton-Watson tree. We show that the limit is a cluster point process on $\mathbb{R}_+\times \mathbb{R}$ where each cluster is the atom of a Poisson point process on $\mathbb{R}_+\times \mathbb{R}$ with a random intensity measure $Z(dz) \times Ce^{-\sqrt 2x}dx$, where the random measure is explicitly constructed from the derivative martingale. This work is motivated by an anal…
The mean-field stochastic partial differential equation (SPDE) corresponding to a mean-field super-Brownian motion (sBm) is obtained and studied. In this mean-field sBm, the branching-particle lifetime is allowed to depend upon the probability distribution of the sBm itself, producing an SPDE whose space-time white noise coefficient has, in addition to the typical sBm square root, an extra factor that is a function of the probability law of the density of the mean-field sBm. This novel mean-field SPDE is thus motivated by population models where things like overcrowding and isolation can affec…
Experimental methods based on single particle tracking (SPT) are being increasingly employed in the physical and biological sciences, where nanoscale objects are visualized with high temporal and spatial resolution. SPT can probe interactions between a particle and its environment but the price to be paid is the absence of ensemble averaging and a consequent lack of statistics. Here we address the benchmark question of how to accurately extract the diffusion constant of one single Brownian trajectory. We analyze a class of estimators based on weighted functionals of the square displacement. Fo…
The spine of two-particle Fleming-Viot process in a bounded interval
该研究针对有界区间内的两粒子Fleming-Viot过程，证明其脊的分布异于永久停留于区间内的条件布朗运动，并给出了额外漂移的估计。
The coalescing Brownian flow on $\mathbb{R}$ is a process which was introduced by Arratia [Coalescing Brownian motions on the line (1979) Univ. Wisconsin, Madison] and Tóth and Werner [Probab. Theory Related Fields 111 (1998) 375-452], and which formally corresponds to starting coalescing Brownian motions from every space-time point. We provide a new state space and topology for this process and obtain an invariance principle for coalescing random walks. This result holds under a finite variance assumption and is thus optimal. In previous works by Fontes et al. [Ann. Probab. 32 (2004) 2857-288…
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