We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a supermartingale even in cases where the original process is a martingale. We determine a necessary and sufficient condition for the transform to be a martingale process. The condition links expected values of the transformed stochastic exponential to the distribution function of certain time-integrals.
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.
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 $H\to 0$.
The density distribution function of the integral of the exponential Brownian motion is determined explicitly in the form of a rapidly convergent series.
In this note, we investigate the density of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide a log-normal upper bound for the density.
In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malliavin's calculus, we provide an explicit bound on the Kolmogorov distance between two functionals with different Hurst indexes.
In this review paper, we first discuss some open problems related to two-dimensional self-avoiding paths and critical percolation. We then review some closely related results (joint work with Greg Lawler and Oded Schramm) on critical exponents for two-dimensional simple random walks, Brownian motions and other conformally invariant random objects.
We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the reflection principle, we give an explicit formula for the density in such cases.
In this paper we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is the uniform exponential ergodicity for these multidimensional diffusions, including the O'Connell-Yor process. A list of open problems are also presented.
Fractional Brownian motion, H-FBM , of index with d-dimensional time is considered in a spherical domain that contains 0 at its boundary. The main result : the log-asymptotics of probability that H-FBM does not exceed a fixed positive level is (H-d)logT(1+o(1)), where T>>1 is radius of the domain.
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t goes to infinity to a probability measure (p.m.) . We obtain the law of the canonical process under this new p.m.
On the exponential integrability of the derivative of intersection and self-intersection local time for fractional Brownian motion and a limit theorem related to the self-intersection local time for fractional Brownian motion
Generalized intersection exponents and local cut points for three-dimensional Brownian loop soup
Institute for Theoretical Sciences, Westlake University（西湖大学理论科学研究院）；School of Mathematical Sciences, Peking University（北京大学数学科学学院）；Beijing International Center for Mathematical Research, Peking University（北京大学北京国际数学研究中心）
This paper continues a study on trajectories of Brownian Motion in a field of soft trap whose radius distribution is unbounded. We show here for both point-to-point and point-to-plane model the volume exponent (the exponent associated to transversal fluctuation of the trajectories) is strictly less than one and give an explicit upper bound that depends on the parameters of the problem. In some specific cases, this upper bound matches the lower bound proved in the first part of this work and we get the exact value of the volume exponent.
We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(Ω, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations disturbed by a G-Brownian motion in the sense of quasi surely (q.s.). The analyses consist in G-Lyapunov function and some special inequalities. Various sufficient conditions are obtained to ensure the stability of strong solutions. In particular, by means of our results we generalize the one in the classical stochastic differential equations. Finally, an illustrati…
Consider p independent Brownian motions in R^d, each running up to its first exit time from an open domain B, and their intersection local time l as a measure on B. We give a sharp criterion for the finiteness of exponential moments, E[exp(\sum_{i=1}^n (int_B f_i(x) l(dx))^{1/p})], where f_1, ...,f_n are nonnegative, bounded functions with compact support in B. We also derive a law of large numbers for intersection local time conditioned to have large total mass.
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy's and Pitman's theorems are discussed.
We establish a variational formula for the exponential decay rate of the Green function of Brownian motion evolving in a random stationary and ergodic nonnegative potential. Such a variational formula is established by Schroeder in 'Green's Functions for the Schrödinger Operator with Periodic Potential', J. Funct. Anal. 77 (1988), for potentials on compact spaces and is generalised in the present article to a non-compact setting. We show exponential decay of the Green function implicitly. This formula for the Lyapunov exponent has several direct implications. It allows to compare the influence…
In this note, we prove an $L^p$ uniform approximation of the fractional Brownian motion with Hurst exponent $0 < H < \frac{1}{2}$ by means of a family of continuous-time random walks imbedded on a given Brownian motion. The approximation is constructed via a pathwise representation of the fractional Brownian motion in terms of a standard Brownian motion. For an arbitrary choice $ε_k$ for the size of the jumps of the family of random walks, the rate of convergence of the approximation scheme is $O(ε_k^{p(1-2λ)+ 2(δ-1)})$ whenever $\max\{0,1-\frac{pH}{2}\}< δ< 1$, $λ\in \big(\frac{1-H}{2}, \frac…
We investigate the extent to which the phenomenon of Brownian entropic repulsion is universal. Consider a Brownian motion conditioned on the event $\mathcal{E}$ -- that its local time is bounded everywhere by 1. This event has probability zero and so must be approximated by events of positive probability. We prove that several natural quantities, in particular the speed of the process, are highly sensitive to the approximation procedure, and hence are not universal. However, we also propose an exponent $κ$ -- which measures the strength of the entropic repulsion by evaluating the probability t…
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is isotropic while the other is not. For each of these processes, a moving average representation, a harmonizable representation, and the covariance structure are given. The Holder regularity is then studied. In particular, the case of an irregular exponent function H is investigated. In this situation, the almost sure pointwise and local Holder exponents of the …
We define and study a family of generalized non-intersection exponents for planar Brownian motions that is indexed by subsets of the complex plane: For each $A\subset\CC$, we define an exponent $ξ(A)$ that describes the decay of certain non-intersection probabilities. To each of these exponents, we associate a conformally invariant subset of the planar Brownian path, of Hausdorff dimension $2-ξ(A)$. A consequence of this and continuity of $ξ(A)$ as a function of $A$ is the almost sure existence of pivoting points of any sufficiently small angle on a planar Brownian path.
For every bounded planar domain $D$ with a smooth boundary, we define a `Lyapunov exponent' $Λ(D)$ using a fairly explicit formula. We consider two reflected Brownian motions in $D$, driven by the same Brownian motion (i.e., a `synchronous coupling'). If $Λ(D)>0$ then the distance between the two Brownian particles goes to 0 exponentially fast with rate $Λ(D)/(2|D|)$ as time goes to infinity. The exponent $Λ(D)$ is strictly positive if the domain has at most one hole. It is an open problem whether there exists a domain with $Λ(D)<0$.
We find the best approximation of the fractional Brownian motion with the Hurst index $H\in (0,1/2)$ by Gaussian martingales of the form $\int _0^ts^γdW_s$, where $W$ is a Wiener process, $γ>0$.
The fractional Brownian motion of index $0 < H < 1$, H-FBM, with d-dimensional time is considered on an expanding set TG, where G is a bounded convex domain that contains 0 at its boundary. The main result: if 0 is a point of smoothness of the boundary, then the log-asymptotics of probability that H-FBM does not exceed a fixed positive level in TG is $(H - d + o(1)) \log T$, $T\to\infty$. Some generalizations of this result to isotropic but not self-similar Gaussian processes with stationary increments are also considered.
We investigate Lyapunov exponents of Brownian motion in a nonnegative Poissonian potential $V$. The Lyapunov exponent depends on the potential $V$ and our interest lies in the decay rate of the Lyapunov exponent if the potential $V$ tends to zero. In our model the random potential $V$ is generated by locating at each point of a Poisson point process with intensity $ν$ a bounded compactly supported nonnegative function $W$. We show that for sequences of potentials $V_n$ for which $ν_n \|W_n\|_1 \sim D/n$ for some constant $D > 0$ ($n \to \infty$), the decay rates to zero of the quenched and ann…
In this article, we study the stability of solutions to 3D stochastic primitive equations driven by fractional noise. Since the fractional Brownian motion is essentially different from Brownian motion, lots of stochastic analysis tools are not available to study the exponential stability for the stochastic systems. Therefore, apart from the standard method for the case of Brownian motion, we develop a new method to show that 3D stochastic primitive equations driven by fractional noise converge almost surely exponentially to the stationary solutions. This method may be applied to other stochast…
In this paper we consider the persistence properties of random processes in Brownian scenery, which are examples of non-Markovian and non-Gaussian processes. More precisely we study the asymptotic behaviour for large $T$, of the probability $P[ \sup\_{t\in[0,T]} Δ\_t \leq 1] $ where $Δ\_t = \int\_{\mathbb{R}} L\_t(x) \, dW(x).$ Here $W={W(x); x\in\mathbb{R}}$ is a two-sided standard real Brownian motion and ${L\_t(x); x\in\mathbb{R},t\geq 0}$ is the local time of some self-similar random process $Y$, independent from the process $W$. We thus generalize the results of \cite{BFFN} where the incr…
We examine the non-exit probability of a multidimensional Brownian motion from a growing truncated Weyl chamber. Different regimes are identified according to the growth speed, ranging from polynomial decay over stretched-exponential to exponential decay. Furthermore we derive associated large deviation principles for the empirical measure of the properly rescaled and transformed Brownian motion as the dimension grows to infinity. Our main tool is an explicit eigenvalue expansion for the transition probabilities before exiting the truncated Weyl chamber.
In this article we study transition probabilities of a class of subordinate Brownian motions. Under mild assumptions on the Laplace exponent of the corresponding subordinator, sharp two sided estimates of the transition probability are established. This approach, in particular, covers subordinators with Laplace exponents that vary regularly at infinity with index one, e.g. \[ ϕ(λ)=\fracλ{\log(1+λ)}-1 \quad \text{ or }\quad ϕ(λ)=\fracλ{\log(1+λ^{β/2})},\ β\in (0,2)\, \] that correspond to subordinate Brownian motions with scaling order that is not necessarily strictly between 0 and 2. These est…
Operator fractional Brownian motions (OFBMs) are zero mean, operator self-similar (o.s.s.), Gaussian processes with stationary increments. They generalize univariate fractional Brownian motions to the multivariate context. It is well-known that the so-called symmetry group of an o.s.s. process is conjugate to subgroups of the orthogonal group. Moreover, by a celebrated result of Hudson and Mason, the set of all exponents of an operator self-similar process can be related to the tangent space of its symmetry group. In this paper, we revisit and study both the symmetry groups and exponent sets f…
We collect some applications of the variational formula established by Schröder (1988) and Rueß(2013) for the quenched Lyapunov exponent of Brownian motion in stationary and ergodic nonnegative potential. We show for example that the Lyapunov exponent for nondeterministic potential is strictly lower than the Lyapunov exponent for the averaged potential. The behaviour of the Lyapunov exponent under independent perturbations of the underlying potential is examined. And with the help of counterexamples we are able to give a detailed picture of the continuity properties of the Lyapunov exponent.
Consider an multidimensional obliquely reflected Brownian motion in the positive orthant, or, more generally, in a convex polyhedral cone. We find sufficient conditions for existence of a stationary distribution and convergence to this distribution at the exponential rate, as time goes to infinity. We also prove that certain exponential moments for this distribution are finite, thus providing a tail estimate for this distribution. Finally, we apply these results to systems of rank-based competing Brownian particles.
We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-dependent generator of this exponential operator only depends on the second order Malliavin derivative operator evaluated along a "frozen path". The exponential operator can be expanded explicitly to a series representation, which resembles the Dyson series of quantum mechanics. Our continuous-time martingale representation result can be proven independently by two different methods. In the first method, one constructs…
The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the exponential time. It is seen that an important element in our formula is the distribution of the maximum decrease for the three dimensional Bessel process with drift started from 0 and stopped at the first hitting of a given level. From the joint distribution of the maximum increase and decrease it is possible to calculate the correlation coefficient betwee…
We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent generator of this exponential operator is equal to one half times the Malliavin derivative. This result can also be seen as a generalization of the semi-group theory of parabolic partial differential equations to the parabolic path-dependent partial differential equations introduced by Dupire (2009) and Cont and Founié (2011). The exponential operator can be calculated explicitly in a series expansion, which resembles the…
We derive sufficient conditions for asymptotic and monotone exponential decay in mean square of solutions of the geometric Brownian motion with delay. The conditions are written in terms of the parameters and are explicit for the case of asymptotic decay. For exponential decay, they are easily resolvable numerically. The analytical method is based on construction of a Lyapunov functional (asymptotic decay) and forward-backward estimate for the square mean (exponential decay).
We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying process is not directly observed. The relative merits of our estimator are discussed, and we introduce an application to the problem of estimating the functional parameter of a nonlinear model.
We study the persistence exponent for the first passage time of a random walk below the trajectory of another random walk. More precisely, let $\{B_n\}$ and $\{W_n\}$ be two centered, weakly dependent random walks. We establish that $\mathbb{P}(\forall_{n\leq N} B_n \geq W_n|W) = N^{-γ+ o(1)}$ for a non-random $γ\geq 1/2$. In the classical setting, $W_n \equiv 0$, it is well-known that $γ= 1/2$. We prove that for any non-trivial $W$ one has $γ>1/2$ and the exponent $γ$ depends only on $\text{Var}(B_1)/\text{Var}(W_1)$. Our result holds also in the continuous setting, when $B$ and $W$ are indep…
Motivated by a common Mathematical Finance topic, we discuss the reciprocal of the exit time from a cone of planar Brownian motion which also corresponds to the exponential functional of an associated Brownian motion. We prove a conjecture by Vakeroudis and Yor (2012) concerning infinite divisibility properties of this random variable and we present a novel simple proof of De Blassie's result (1987-1988) about the asymptotic behaviour of the distribution of the Bessel clock appearing in the skew-product representation of planar Brownian motion, for t large. Similar issues for the exponential f…
This paper proves conjectures originating in the physics literature regarding the intersection exponents of Brownian motion in a half-plane. For instance, suppose that B and B' are two independent planar Brownian motions started from distinct points in a half-plane H. Then, as $t \to \infty$, $$ P [ B[0,t] \cap B'[0,t] = \emptyset, B[0,t] \cup B'[0,t] \subset H ] = t^{-5/3 + o(1)}.$$ The proofs use ideas and tools developped by the authors in previous papers. We prove that one of the stochastic Loewner evolution processes (with parameter 6, that we will call SLE_6 and which has been conjecture…
We study the scaling exponents of a 1+1-dimensional directed polymer in a Brownian random environment introduced by O'Connell and Yor. For a version of the model with boundary conditions that are stationary in a space-time sense we identify the exact values of the exponents. For the version without the boundary conditions we get the conjectured upper bounds on the exponents.
We analyze here different forms of fractional relaxation equations of order ν\in(0,1) and we derive their solutions both in analytical and in probabilistic forms. In particular we show that these solutions can be expressed as crossing probabilities of random boundaries by various types of stochastic processes, which are all related to the Brownian motion B. In the special case ν=1/2, the fractional relaxation is proved to coincide with Pr{sup_{0\leqs\leqt} B(s)<U}, for an exponential boundary U. When we generalize the distributions of the random boundary, passing from the exponential to the Ga…
