Erkan Nane
We extend generalized isoperimetric-type inequalities to iterated Brownian motion over several domains in $\RR{R}^{n}$. These kinds of inequalities imply in particular that for domains of finite volume, the exit distribution and moments of the first exit time for iterated Brownian motion are maximized with the ball $D^{*}$ centered at the origin, which has the same volume as $D$
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We consider the model of the Brownian plane, which is a pointed non-compact random metric space with the topology of the complex plane. The Brownian plane can be obtained as the scaling limit in distribution of the uniform infinite planar triangulation or the uniform infinite planar quadrangulation and is conjectured to be the universal scaling limit of many others random planar lattices. We establish sharp bounds on the probability of having a short cycle separating the ball of radius $r$ centered at the distinguished point from infinity. Then we prove a strong version of the spatial Markov p…
A small ball problem and Chung's law of iterated logarithm for a hypoelliptic Brownian motion in Heisenberg group are proven. In addition, bounds on the limit in Chung's law are established.
We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previously obtained
By taking a functional analytic point of view, we consider a family of distributions (continuous linear functionals on smooth functions), denoted by $\{μ_t,t>0\}$, associated to the law of iterated logarithm for Brownian motion on a compact manifold. We give a complete characterization of the collection of limiting distributions of $\{μ_t, t>0\}$.
Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serves as a model for diffusion in a crack. If τis the first exit time of iterated Brownian motion from the solid, then P(τ>t) can be viewed as a measurement of the amount of contaminant left in the crack at time t. We determine the large time asymptotics of P(τ>t) for both bounded and unbounded sets. We also discuss a strange connection between iterated Brownian motion and the parabolic operator {1/8}Δ^2-\frac{\partial}…
The Levy transform of a Brownian motion B is the Brownian motion B't, the integral over (O,t) of sign of Bs with respect to dBs. Call T the corresponding transformation on the Wiener space W. We establish that a.s. the orbit of w in W under T is dense in W for the compact uniform convergence topology.
We characterize the asymptotic behaviour of the weighted power variation processes associated with iterated Brownian motion. We prove weak convergence results in the sense of finite dimensional distributions, and show that the laws of the limiting objects can always be expressed in terms of three independent Brownian motions X, Y and B, as well as of the local times of Y. In particular, our results involve ``weighted'' versions of Kesten and Spitzer's Brownian motion in random scenery. Our findings extend the theory initiated by Khoshnevisan and Lewis (1999), and should be compared with the re…
In this paper we consider the iterated Brownian motion $ ^{μ_1}_{μ_2}\!I(t) = B_1^{μ_1} ( | B_{2}^{μ_2} (t)|) $ where $B_j^{μ_j} , j=1,2$ are two independent Brownian motions with drift $μ_j$. Here we study the last zero crossing of $ ^{μ_1}_{μ_2}\!I(t) $ and for this purpose we derive the last zero-crossing distribution of the drifted Brownian motion. We derive also the joint distribution of the last zero crossing before $ t $ and of the first passage time through the zero level of a Brownian motion with drift $ μ$ after $ t $. All these results permit us to derive explicit formulas for ${^I_…
Let $τ_{D}(Z) $ is the first exit time of iterated Brownian motion from a domain $D \subset \RR{R}^{n}$ started at $z\in D$ and let $P_{z}[τ_{D}(Z) >t]$ be its distribution. In this paper we establish the exact asymptotics of $P_{z}[τ_{D}(Z) >t]$ over bounded domains as an extension of the result in DeBlassie \cite{deblassie}, for $z\in D$ $$ P_{z}[τ_{D}(Z)>t]\approx t^{1/2} \exp(-{3/2}π^{2/3}λ_{D}^{2/3}t^{1/3}), as t\to\infty . $$ We also study asymptotics of the life time of Brownian-time Brownian motion (BTBM), $Z^{1}_{t}=z+X(Y(t))$, where $X_{t}$ and $Y_{t}$ are independent one-dimensional…
We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for $n$-iterated Brownian motions and, more generally, for the iteration of $n$ fractional Brownian motions. We also give a new and correct proof of some results in E. Nane, Laws of the iterated logarithm for $α$-time Brownian motion, Electron. J. Probab. 11 (2006), no. 18, 434--459.
We introduce a class of iterated processes called $α$-time Brownian motion for $0<α\leq 2$. These are obtained by taking Brownian motion and replacing the time parameter with a symmetric $α$-stable process. We prove a Chung-type law of the iterated logarithm (LIL) for these processes which is a generalization of LIL proved in \cite{hu} for iterated Brownian motion. When $α=1$ it takes the following form $$ \liminf_{T\to\infty}T^{-1/2}(\log \log T) \sup_{0\leq t\leq T}|Z_{t}|=π^{2}\sqrt{λ_{1}} a.s. $$ where $λ_{1}$ is the first eigenvalue for the Cauchy process in the interval $[-1,1].$ We also…
Consider the $n$th iterated Brownian motion $I^{(n)}=B_n \circ\cdots \circ B_1$. Curien and Konstantopoulos proved that for any distinct numbers $t_i\neq 0$, $(I^{(n)}(t_1),\dots,I^{(n)}(t_k))$ converges in distribution to a limit $I[k]$ independent of the $t_i$'s, exchangeable, and gave some elements on the limit occupation measure of $I^{(n)}$. Here, we prove under some conditions, finite dimensional distributions of $n$th iterated two-sided stable processes converge, and the same holds the reflected Brownian motions. We give a description of the law of $I[k]$, of the finite dimensional dist…
Let $τ_{D}(Z) $ be the first exit time of iterated Brownian motion from a domain $D \subset \RR{R}^{n}$ started at $z\in D$ and let $P_{z}[τ_{D}(Z) >t]$ be its distribution. In this paper we establish the exact asymptotics of $P_{z}[τ_{D}(Z) >t]$ over bounded domains as an improvement of the results in \cite{deblassie, nane2}, for $z\in D$ \begin{eqnarray} \lim_{t\to\infty} t^{-1/2}\exp({3/2}π^{2/3}λ_{D}^{2/3}t^{1/3}) P_{z}[τ_{D}(Z)>t]= C(z),\nonumber \end{eqnarray} where $C(z)=(λ_{D}2^{7/2})/\sqrt{3 π}(ψ(z)\int_{D}ψ(y)dy) ^{2}$. Here $λ_{D}$ is the first eigenvalue of the Dirichlet Laplacian …
Iterated Brownian motion $Z_{t}$ serves as a physical model for diffusions in a crack. If $τ_{D}(Z) $ is the first exit time of this processes from a domain $D \subset \RR{R}^{n}$, started at $z\in D$, then $P_{z}[τ_{D}(Z)>t]$ is the distribution of the lifetime of the process in $D$. In this paper we determine the large time asymptotics of $P_{z}[τ_{P_α}(Z) > t]$ which gives exponential integrability of $τ_{P_α}(Z) $ for parabola-shaped domains of the form $ P_α=\{(x,Y)\in \RR{R} \times \RR{R}^{n-1}: x>0, |Y|<Ax^α \}$, for $ 0<α<1$, $A>0.$ We also obtain similar results for twisted domains in…
The classical law of the iterated logarithm (LIL for short)as fundamental limit theorems in probability theory play an important role in the development of probability theory and its applications. Strassen (1964) extended LIL to large classes of functional random variables, it is well known as the invariance principle for LIL which provide an extremely powerful tool in probability and statistical inference. But recently many phenomena show that the linearity of probability is a limit for applications, for example in finance, statistics. As while a nonlinear expectation--- G-expectation has att…
Let $X=\{X(t), t\geq 0\}$ be a Brownian motion or a spectrally negative stable process of index $1<\a<2$. Let $E=\{E(t),t\geq 0\}$ be the hitting time of a stable subordinator of index $0<β<1$ independent of $X$. We use a connection between $X(E(t))$ and the stable subordinator of index $β/\a$ to derive information on the path behavior of $X(E_t)$. This is an extension of the connection of iterated Brownian motion and (1/4)-stable subordinator due to Bertoin \cite{bertoin}. Using this connection, we obtain various laws of the iterated logarithm for $X(E(t))$. In particular, we establish law of…
Let $(B(t))_{t\in [0,1]}$ be the linear Brownian motion and $(X_n(t))_{t\in [0,1]}$ be the $(n-1)$-fold integral of Brownian motion, $n$ being a positive integer: $$ X_n(t)=\int_0^t \frac{(t-s)^{n-1}}{(n-1)!} \,\dd B(s) for any $t\in[0,1]$. $$ In this paper we construct several bridges between times 0 and 1 of the process $(X_n(t))_{t\in [0,1]}$ involving conditions on the successive derivatives of $X_n$ at times 0 and 1. For this family of bridges, we make a correspondance with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical pr…
We construct in this article a rough path over fractional Brownian motion with arbitrary Hurst index by (i) using the Fourier normal ordering algorithm introduced in \cite{Unt-Holder} to reduce the problem to that of regularizing tree iterated integrals and (ii) applying the Bogolioubov-Parasiuk-Hepp-Zimmermann (BPHZ) renormalization algorithm to Feynman diagrams representing tree iterated integrals.
We show that the construction of a random continuum $\mathcal{C}$ from independent two-sided Brownian motions as considered in arXiv:2004.01367 almost surely yields a non-degenerate indecomposable but not-hereditary indecomposable continuum. In particular $\mathcal{C}$ is (unfortunately) not the pseudo-arc.
The isoperimetric inequalities for the expected lifetime of Brownian motion state that the $L^p$-norms of the expected lifetime in a bounded domain for $1\leq p\leq \infty$ are maximized when the region is a ball with the same volume. In this paper, we prove quantitative improvements of the inequalities. Since the isoperimetric properties hold for a wide class of Lévy processes, many questions arise from these improvements.
In this survey we explore the salient connections made between Brownian motion, symmetrization and complex analysis in the last 60 years starting with Kakutani's paper (1944) equating harmonic measure and exit probability. To exemplify these connections we will survey the techniques used in the literature to prove isoperimetric results for exit probabilities and Riesz capacities.
We construct an iterated stochastic integral with fractional Brownian motion with H > 1/2. The first integrand is a deterministic function, and each successive integral is with respect to an independent fBm. We show that this symmetric stochastic integral is equal to the Malliavin divergence integral. By a version of the Fourth Moment theorem of Nualart and Peccati, we show that a family of such integrals converges in distribution to a scaled Brownian motion. An application is an approximation to the windings for a planar fBm, previously studied by Baudoin and Nualart.
Let $(ξ(s))_{s\geq 0}$ be a standard Brownian motion in $d\geq 1$ dimensions and let $(D_s)_{s \geq 0}$ be a collection of open sets in $\R^d$. For each $s$, let $B_s$ be a ball centered at 0 with $\vol(B_s) = \vol(D_s)$. We show that $\E[\vol(\cup_{s \leq t}(ξ(s) + D_s))] \geq \E[\vol(\cup_{s \leq t}(ξ(s) + B_s))]$, for all $t$. In particular, this implies that the expected volume of the Wiener sausage increases when a drift is added to the Brownian motion.
For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the so-called iterated Brownian motion. Khoshnevisan and Lewis [Ann. Appl. Probab. 9 (1999) 629-667] suggested "the existence of a form of measure-theoretic duality" between iterated Brownian motion and a Brownian motion in random scenery. We show that a random walk at random time can be considered a random walk in "alternating" scenery, thus hinting at a mechanism…
Strassen's local law of the iterated logarithm for the generalized fractional Brownian motion
本文研究了广义分数布朗运动在给定点t₀处的斯特伦森迭代对数局部定律，探讨了参数α、γ以及位置t₀的作用，与之前的全局迭代对数定律不同。
We present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. Our result can be viewed as a new improvement to the LIL.
We study the Taylor expansion for the solution of a differential equation driven by a multidimensional Holder path with exponent β> 1/2. We derive a convergence criterion that enables us to write the solution as an infinite sum of iterated integrals on a nonempty interval. We apply our deterministic results to stochastic differential equations driven by fractional Brownian motions with Hurst parameter H > 1\2. We also prove that by using L_2 estimates of iterated integrals, the criterion and the speed of convergence for the stochastic Taylor expansion can be improved using Borel-Cantelli type…
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 $[0,T]$
Let $B=(B_1(t),\ldots,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $α<1/4$. Defining properly iterated integrals of $B$ is a difficult task because of the low Hölder regularity index of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to $B$, or to solving differential equations driven by $B$. We show in this paper how to obtain second-order iterated integrals as the limit when the ultra-violet cut-off goes to infinity of iterated integrals of weakly interacting fields defined using the tools of construc…
Let $B_H=\{B_H(t):t\in\mathbb R\}$ be a fractional Brownian motion with Hurst parameter $H\in(0,1)$. For the stationary storage process $Q_{B_H}(t)=\sup_{-\infty<s\le t}(B_H(t)-B_H(s)-(t-s))$, $t\ge0$, we provide a tractable criterion for assessing whether, for any positive, non-decreasing function $f$, $\mathbb P(Q_{B_H}(t) > f(t)\, \text{ i.o.})$ equals 0 or 1. Using this criterion we find that, for a family of functions $f_p(t)$, such that $z_p(t)=\mathbb P(\sup_{s\in[0,f_p(t)]}Q_{B_H}(s)>f_p(t))/f_p(t)=\mathscr C(t\log^{1-p} t)^{-1}$, for some $\mathscr C>0$, $\mathbb P(Q_{B_H}(t) > f_p(t)…
We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy's modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.
New Simple Method of Expansion of Iterated Ito Stochastic integrals of Multiplicity 2 Based on Expansion of the Brownian Motion Using Legendre Polynomials and Trigonometric Functions
本文提出基于Legendre多项式和三角函数展开布朗运动的新方法，简化了Levy随机面积的表示形式，并证明其收敛性，用于随机微分方程和偏微分方程的数值求解。
Iterated-logarithm laws for convex hulls of random walks with drift
本文针对具有非零漂移的多步多维随机游动，基于 Strassen 泛函迭代对数律和新型 0-1 律，建立了其凸包内蕴体积的迭代对数律，并显式计算了平面情况下的常数，同时推广至质心过程。
When a Brownian motion is scaled according to the law of the iterated logarithm, its supremum converges to one as time tends to zero. Upper large deviations of the supremum process can be quantified by writing the problem in terms of hitting times and applying a result of Strassen (1967) on hitting time densities. We extend this to a small-time large deviations principle for the supremum of scaled Ito diffusions, using as our main tool a refinement of Strassen's result due to Lerche (1986).
We describe a probabilistic model involving iterated Brownian motion for constructing a random chainable continuum. We show that this random continuum is indecomposable.
A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding Lévy areas driven by a multidimensional Brownian motion is proposed. The algorithm is based on a truncated Fourier series approach. However, the approximation of the remainder terms differs from the approach considered by Wiktrosson (2001). As the main advantage, the presented algorithm makes use of a diagonal covariance matrix for the approximation of one part of the remainder term and has a higher accuracy due to an exact approximation of the other part of the remaind…
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power law shape function and non-stationary noises with a power-law variance function. In this paper we study sample path properties of the generalized fractional Brownian motion, including Holder continuity, path differentiability/non-differentiability, and functional and local Law of the Iterated Logarithms.
We prove a Chung-type law of the iterated logarithm for a multiparameter extension of the fractional Brownian motion which is not increment stationary. This multiparameter fractional Brownian motion behaves very differently at the origin and away from the axes, which also appears in the Hausdorff dimension of its range and in the measure of its pointwise Hölder exponents. A functional version of this Chung-type law is also provided.
Approximation of Random Differential Equations Driven by Physical Brownian Motion with Fast Oscillating Noise
研究由满足奇异摄动朗之万方程且具有缩放混合随机力的半鞅驱动的随机微分方程逼近。用扩散逼近法探索半鞅粗糙路径提升的极限，应用通用极限定理确定随机微分方程极限，还建立了混合随机力的迭代弱不变原理。
A famous result of Orey and Taylor gives the Hausdorff dimension of the set of fast times, that is the set of points where linear Brownian motion moves faster than according to the law of iterated logarithm. In this paper we examine what happens to the set of fast times if a variable drift is added to linear Brownian motion. In particular, we will show that the Hausdorff dimension of the set of fast times cannot be decreased by adding a function to Brownian motion.
We define a time dependent empirical process based on $n$ i.i.d.~fractional Brownian motions and establish Gaussian couplings and strong approximations to it by Gaussian processes. They lead to functional laws of the iterated logarithm for this process.
We study a family of quantum analogs of Lévy's stochastic area for planar Brownian motion depending on a variance parameter $σ\geq 1$ which deform to the classical Lévy area as $σ\rightarrow\infty$. They are defined as second rank iterated stochastic integrals against the components of planar Brownian motion, which are one-dimensional Brownian motions satisfying Heisnberg-type commutation relations. Such iterated integrals can be multiplied using the sticky shuffle product determined by the underlying Itô algebra of stochastic differentials. We use the corresponding Hopf algebra structure to e…
We consider a standard one-dimensional Brownian motion on the time interval $[0,1]$ conditioned to have vanishing iterated time integrals up to order $N$. We show that the resulting processes can be expressed explicitly in terms of shifted Legendre polynomials and the original Brownian motion, and we use these representations to prove that the processes converge weakly as $N\to\infty$ to the zero process. This gives rise to a polynomial decomposition for Brownian motion. We further study the fluctuation processes obtained through scaling by $\sqrt{N}$ and show that they converge in finite dime…
If β_t is renormalized self-intersection local time for planar Brownian motion, we characterize when Ee^{γβ_1} is finite or infinite in terms of the best constant of a Gagliardo-Nirenberg inequality. We prove large deviation estimates for β_1 and -β_1. We establish lim sup and lim inf laws of the iterated logarithm for β_t as t\to\infty.
We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on abstract Wiener spaces. We then prove that a Cameron--Martin type quasi-invariance result holds for the associated heat kernel measures in the non-degenerate case, and give estimates on the associated Radon--Nikodym derivative. We also prove that a log Sobolev estimate holds in this setting.
The signature of a $d$-dimensional Brownian motion is a sequence of iterated Stratonovich integrals along the Brownian paths, an object taking values in the tensor algebra over $\RR^{d}$. In this note, we derive the exact rate of convergence for the expected signatures of piecewise linear approximations to Brownian motion. The computation is based on the identification of the set of words whose coefficients are of the leading order, and the convergence is concentrated on this subset of words. Moreover, under the choice of projective tensor norm, we give the explicit value of the leading term c…
In this last decade, an important stochastic model emerged: the Brownian map. It is the limit of various models of random combinatorial maps after rescaling: it is a random metric space with Hausdorff dimension 4, almost surely homeomorphic to the 2-sphere, and possesses some deep connections with Liouville quantum gravity in 2D. In this paper, we present a sequence of random objects that we call $D$th-random feuilletages (denoted by ${\bf r}[D]$), indexed by a parameter $D\geq 0$ and which are candidate to play the role of the Brownian map in dimension $D$. The construction relies on some obj…
Consider the first exit time $T_{a,b}$ from a finite interval $[-a,b]$ for an homogeneous fluctuating functional $X$ of a linear Brownian motion. We show the existence of a finite positive constant $\k$ such that $$\lim_{t\to\infty}t^{-1}\log \p[ T_{ab} > t] = -\k.$$ Following Chung's original approach, we deduce a "liminf" law of the iterated logarithm for the two-sided supremum of $X$. This extends and gives a new point of view on a result of Khoshnevisan and Shi.
Let B_1,B_2, ... be independent one-dimensional Brownian motions defined over the whole real line such that B_i(0)=0. We consider the nth iterated Brownian motion W_n(t)= B_n(B_{n-1}(...(B_2(B_1(t)))...)). Although the sequences of processes (W_n) do not converge in a functional sense, we prove that the finite-dimensional marginals converge. As a consequence, we deduce that the random occupation measures of W_n converge towards a random probability measure μ_\infty. We then prove that μ_\infty almost surely has a continuous density which must be thought of as the local time process of the infi…
The generalized fractional Brownian motion (GFBM) $X:=\{X(t)\}_{t\ge0}$ with parameters $γ\in [0, 1)$ and $α\in \left(-\frac12+\fracγ{2}, \, \frac12+\fracγ{2} \right)$ is a centered Gaussian $H$-self-similar process introduced by Pang and Taqqu (2019) as the scaling limit of power-law shot noise processes, where $H = α-\fracγ{2}+\frac12 \in(0,1)$. When $γ= 0$, $X$ is the ordinary fractional Brownian motion. For $γ\in (0, 1)$, GFBM $X$ does not have stationary increments, and its sample path properties such as Hölder continuity, path differentiability/non-differentiability, and the functional l…
Fourier normal ordering \cite{Unt09bis} is a new algorithm to construct explicit rough paths over arbitrary Hölder-continuous multidimensional paths. We apply in this article the Fourier normal ordering ordering algorithm to the construction of an explicit rough path over multi-dimensional fractional Brownian motion $B$ with arbitrary Hurst index $α$ (in particular, for $α\le 1/4$, which was till now an open problem) by regularizing the iterated integrals of the analytic approximation of $B$ defined in \cite{Unt08}. The regularization procedure is applied to 'Fourier normal ordered' iterated i…
We consider different types of processes obtained by composing Brownian motion $B(t)$, fractional Brownian motion $B_{H}(t)$ and Cauchy processes $% C(t)$ in different manners. We study also multidimensional iterated processes in $\mathbb{R}^{d},$ like, for example, $\left( B_{1}(|C(t)|),...,B_{d}(|C(t)|)\right) $ and $\left( C_{1}(|C(t)|),...,C_{d}(|C(t)|)\right) ,$ deriving the corresponding partial differential equations satisfied by their joint distribution. We show that many important partial differential equations, like wave equation, equation of vibration of rods, higher-order heat equa…
A Quasi-sure Non-degeneracy Property for the Brownian Rough Path
本文研究粗糙路径理论中的签名唯一性相关问题，证明拟必然意义下布朗运动签名路径不自交，进而推出布朗粗糙路径无树状片段、样本路径可由签名在重参数化下唯一确定的结论。
Let $B^{H, K}= \big\{B^{H, K}(t), t \in \R_+ \big\}$ be a bifractional Brownian motion in $\R^d$. We prove that $B^{H, K}$ is strongly locally nondeterministic. Applying this property and a stochastic integral representation of $B^{H, K}$, we establish Chung's law of the iterated logarithm for $B^{H, K}$, as well as sharp Hölder conditions and tail probability estimates for the local times of $B^{H, K}$. We also consider the existence and the regularity of the local times of multiparameter bifractional Brownian motion $B^{\bar{H}, \bar{K}}= \big\{B^{\bar{H}, \bar{K}}(t), t \in \R^N_+ \big\}$ i…
Lévy's stochastic area for planar Brownian motion is the difference of two iterated integrals of second rank against its component one-dimen\-sional Brownian motions. Such iterated integrals can be multiplied using the sticky shuffle product determined by the underlying Itô algebra of stochastic differentials. We use combinatorial enumerations that arise from the distributive law in the corresponding Hopf algebra structure to evaluate the moments of Lévy's area. These Lévy moments are well known to be given essentially by the Euler numbers. This has recently been confirmed in a novel combinato…
We establish estimates for the local and uniform moduli of continuity of the local time of multifractional Brownian motion, $B^H=(B^{H(t)}(t),t\in\mathbb{R}^+)$. An analogue of Chung's law of the iterated logarithm is studied for $B^H$ and used to obtain the pointwise Hölder exponent of the local time. A kind of local asymptotic self-similarity is proved to be satisfied by the local time of $B^H$.
It is shown how to construct a successful co-adapted coupling of two copies of an $n$-dimensional Brownian motion $(B_1,...,B_n)$ while simultaneously coupling all corresponding copies of Lévy stochastic areas $\int B_i dB_j-\int B_j dB_i$. It is conjectured that successful co-adapted couplings still exist when the Lévy stochastic areas are replaced by a finite set of multiply iterated path- and time-integrals, subject to algebraic compatibility of the initial conditions.
Tail Asymptotics of the Signature of various stochastic processes and its connection to the Quadratic Variation
本文扩展了布朗运动签名与二次变差联系的研究，证明了半鞅Itô签名与流逝时间及分数布朗运动fWIS签名与Hurst参数的联系，并提出了多维扩展猜想。
Deviation frequencies of Brownian path property approximations
本研究针对布朗运动的多种经典样本路径性质近似，结合几乎必然收敛速率与收敛模可积性的权衡关系及偏差频率，提出几乎必然收敛的量化方法，覆盖相关核心定理与近似内容。
Fine properties of fractional Brownian motions on Wiener space
本文在经典 Wiener 空间的 $(p,r)$-容量下，利用分数 Brown 运动的积分表示与 Malliavin 分析，证明其样本轨道的不可微、连续模、LIL 和自回避等精细性质。
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