Zobrazeno 1 - 10
of 2 530
pro vyhledávání: '"60J65"'
Autor:
Salminen, Paavo, Vallois, Pierre
In this paper we give excursion theoretical proofs of Lehoczky's formula (in an extended form allowing a lower bound for the underlying diffusion) for the joint distribution of the first drawdown time and the maximum before this time, and of Malyutin
Externí odkaz:
http://arxiv.org/abs/2411.18374
We show that a domain in $\mathbb{R}^3$ with the trace of a 3D Brownian motion removed almost surely satisfies the boundary Harnack principle (BHP). Then, we use it to prove that the intersection exponents for 3D Brownian motion are analytic.
Co
Co
Externí odkaz:
http://arxiv.org/abs/2411.14921
Autor:
Salminen, Paavo, Stenlund, David
We study the joint moments of occupation times on the legs of a diffusion spider. Specifically, we give a recursive formula for the Laplace transform of the joint moments, which extends earlier results for a one-dimensional diffusion. For a Bessel sp
Externí odkaz:
http://arxiv.org/abs/2411.09976
Autor:
Moriarty, John, Rodosthenous, Neofytos
We introduce a novel 'one-shot' solution technique resolving an open problem (Karatzas et al., Finite-fuel singular control with discretionary stopping, Stochastics 71:1-2 (2000)). Unexpectedly given the convexity of the latter problem, its waiting r
Externí odkaz:
http://arxiv.org/abs/2411.04301
Autor:
Dimitrov, Evgeni
We investigate a class of line ensembles whose local structure is described by independent geometric random walk bridges, which have been conditioned to interlace with each other. The latter arise naturally in the context Schur processes, including t
Externí odkaz:
http://arxiv.org/abs/2410.23899
Autor:
Bormann, Marie
We give upper bounds for the Poincar\'e and Logarithmic Sobolev constants for doubly weighted Brownian motion on manifolds with sticky reflecting boundary diffusion under curvature assumptions on the manifold and its boundary. We therefor use an inte
Externí odkaz:
http://arxiv.org/abs/2409.19336
Autor:
Wang, Qingsong, Dorogovtsev, A. A.
In this paper we propose the method to find the hitting probabilities for Gaussian integrators. Using second quantization we obtain the sseries representation for such probabilities despite the fact that integrators can be non-Markov processes.
Externí odkaz:
http://arxiv.org/abs/2409.13797
Autor:
Foster, James
The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path theory. I
Externí odkaz:
http://arxiv.org/abs/2409.10118
Consider branching Brownian motion with absorption in which particles move independently as one-dimensional Brownian motions with drift $-\rho$, each particle splits into two particles at rate one, and particles are killed when they reach the origin.
Externí odkaz:
http://arxiv.org/abs/2409.08789
We show that for ultracontractive irreducible Dirichlet metric measure spaces, the Dirichlet spectrum is discrete for a restriction to any connected open set without any assumption on regularity of the boundary. The main applications include small de
Externí odkaz:
http://arxiv.org/abs/2409.07425