Confinement of Brownian motion among Poissonian obstacles in ℝ d , d≥ 3

Consider Brownian motion among random obstacles obtained by translating a fixed compact nonpolar subset of ℝ ^d , d≥ 1, at the points of a Poisson cloud of constant intensity v <: 0. Assume that Brownian motion is absorbed instantaneously upon entering the obstacle set. In SZN-conf Sznitman has shown that in d = 2, conditionally on the event that the process does not enter the obstacle set up to time t, the probability that Brownian motion remains within distance ∼t ^1/4 from its starting point is going to 1 as t goes to infinity. We show that the same result holds true for d≥ 3, with t ^1/4 replaced by t ^{1/( d +2)}. The proof is based on Sznitmans refined method of enlargement of obstacles [10] as well as on a quantitative isoperimetric inequality due to Hall [4]. Received: 6 July 1998     

Brownian bridge on hyperbolic spaces and on homogeneous trees

Let B be the Brownian motion on a noncompact non Euclidean rank one symmetric space H. A typical examples is an hyperbolic space H _n , n > 2. For ν > 0, the Brownian bridge B ^(ν) of length ν on H is the process B _t , 0 ≤t≤ν, conditioned by B ₀ = B _ν = o, where o is an origin in H. It is proved that the process converges weakly to the Brownian excursion when ν→ + ∞ (the Brownian excursion is the radial part of the Brownian Bridge on ℝ³). The same result holds for the simple random walk on an homogeneous tree. Received: 4 December 1998 / Revised version: 22 January 1999     

Some properties of the range of super-Brownian motion

We consider a super-Brownian motion X. Its canonical measures can be studied through the path-valued process called the Brownian snake. We obtain the limiting behavior of the volume of the ɛ-neighborhood for the range of the Brownian snake, and as a consequence we derive the analogous result for the range of super-Brownian motion and for the support of the integrated super-Brownian excursion. Then we prove the support of X _t is capacity-equivalent to [0, 1]² in ℝ^d, d≥ 3, and the range of X, as well as the support of the integrated super-Brownian excursion are capacity-equivalent to [0, 1]⁴ in ℝ^d, d≥ 5. Received: 7 April 1998 / Revised version: 2 October 1998     

Increment sizes of the principal value of Brownian local time

Let W be a standard Brownian motion, and define Y(t)= ∫₀ ^t ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y. Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000     

Sharp estimation of the almost-sure Lyapunov exponent for the Anderson model in continuous space

In this article we study the exponential behavior of the continuous stochastic Anderson model, i.e. the solution of the stochastic partial differential equation u(t,x)=1+∫₀^tκΔ_xu (s,x) ds+∫₀^t W(ds,x) u (s,x), when the spatial parameter x is continuous, specifically x∈R, and W is a Gaussian field on R₊×R that is Brownian in time, but whose spatial distribution is widely unrestricted. We give a partial existence result of the Lyapunov exponent defined as lim_t→∞t⁻¹ log u(t,x). Furthermore, we find upper and lower bounds for lim sup_t→∞t⁻¹ log u(t,x) and lim inf_t→∞t⁻¹ log u(t,x) respectively, as functions of the diffusion constant κ which depend on the regularity of W in x. Our bounds are sharper, work for a wider range of regularity scales, and are significantly easier to prove than all previously known results. When the uniform modulus of continuity of the process W is in the logarithmic scale, our bounds are optimal. This author's research partially supported by NSF grant no. : 0204999     

Hölder continuity for spatial and path processes via spectral analysis

For ν(dθ), a σ-finite Borel measure on R ^d , we consider L ²(ν(dθ))-valued stochastic processes Y(t) with te property that Y(t)=y(t,·) where y(t,θ)=∫ ^t ₀ e ^{−λ(θ)( t − s )} dm(s,θ) and m(t,θ) is a continuous martingale with quadratic variation [m](t)=∫ ^t ₀ g(s,θ)ds. We prove timewise H?lder continuity and maximal inequalities for Y and use these results to obtain Hilbert space regularity for a class of superrocesses as well as a class of stochastic evolutions of the form dX=AXdt+GdW with W a cylindrical Brownian motion. Maximal inequalities and H?lder continuity results are also provenfor the path process _t (τ)≗Y(τt∧t). Received: 25 June 1999 / Revised version: 28 August 2000 /?Published online: 9 March 2001     

Brownian motion and random walk perturbed at extrema

Let b _t be Brownian motion. We show there is a unique adapted process x _t which satisfies dx _t = db _t except when x _t is at a maximum or a minimum, when it receives a push, the magnitudes and directions of the pushes being the parameters of the process. For some ranges of the parameters this is already known. We show that if a random walk close to b _t is perturbed properly, its paths are close to those of x _t . Received: 15 October 1997 / Revised version: 18 May 1998     

Exit time moments, boundary value problems, and the geometry of domains in Euclidean space

Let X _t be a diffusion in Euclidean space. We initiate a study of the geometry of smoothly bounded domains in Euclidean space using the moments of the exit time for particles driven by X _t , as functionals on the space of smoothly bounded domains. We provide a characterization of critical points for each functional in terms of an overdetermined boundary value problem. For Brownian motion we prove that, for each functional, the boundary value problem which characterizes critical points admits solutions if and only if the critical point is a ball, and that all critical points are maxima. Received: 23 January 1997 / Revised version: 21 January 1998     

On the most visited sites by a symmetric stable process

Summary. At time t, the most visited site of a linear Brownian motion is defined as the point which realises the supremum of the local times at time t. Let V be the time indexed process of the most visited sites by a linear Brownian motion. We show that every value is polar for V. Those results are extended from Brownian motion to symmetric stable processes, and then to the absolute value of a symmetric stable process. Received: 1 March 1996 / In revised form: 17 October 1996     

On the maximum of the generalized Brownian bridge

We present some extensions of the distributions of the maximum of the Brownian bridge in [0,t] when the conditioning event is placed at a future timeu>t or at an intermediate timeu<t. The standard distributions of Brownian motion and Brownian bridge are obtained as limiting cases. These results permit us to derive also the distribution of the first-passage time of the Brownian bridge. Similar generalizations are carried out for the Brownian bridge with drift μ; in this case, it is shown that the maximal distribution is independent of μ (whenu≥t). Finally, the case of the two-sided maximal distribution of Brownian motion in [0,t], conditioned onB(u)=η (for bothu>t andu<t), is considered. Dip. di Statistica, Probabilità e Stat. Applicate, Università di Roma “La Sapienza,” Piazzale Aldo Moros, 00185 Roma, Italy. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 200–213, April–June, 1999.     

Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

Any solution of the functional equation

Positivity of the self-diffusion matrix of interacting Brownian particles with hard core

We prove the positivity of the self-diffusion matrix of interacting Brownian particles with hard core when the dimension of the space is greater than or equal to 2. Here the self-diffusion matrix is a coefficient matrix of the diffusive limit of a tagged particle. We will do this for all activities, z>0, of Gibbs measures; in particular, for large z– the case of high density particles. A typical example of such a particle system is an infinite amount of hard core Brownian balls. Received: 22 September 1997 / Revised version: 15 January 1998     

A large-deviation result for the range of random walk and for the Wiener sausage

Let {S _n } be a random walk on ℤ ^d and let R _n be the number of different points among 0, S ₁,…, S _{n −1}. We prove here that if d≥ 2, then ψ(x) := lim _{n →∞}(−:1/n) logP{R _n ≥nx} exists for x≥ 0 and establish some convexity and monotonicity properties of ψ(x). The one-dimensional case will be treated in a separate paper. We also prove a similar result for the Wiener sausage (with drift). Let B(t) be a d-dimensional Brownian motion with constant drift, and for a bounded set A⊂ℝ ^d let Λ _t = Λ _t (A) be the d-dimensional Lebesgue measure of the `sausage' ∪_{0≤ s ≤ t} (B(s) + A). Then φ(x) := lim _t→∞: (−1/t) log P{Λ _t ≥tx exists for x≥ 0 and has similar properties as ψ. Received: 20 April 2000 / Revised version: 1 September 2000 / Published online: 26 April 2001     

The true self-repelling motion

We construct and study a continuous real-valued random process, which is of a new type: It is self-interacting (self-repelling) but only in a local sense: it only feels the self-repellance due to its occupation-time measure density in the `immediate neighbourhood' of the point it is just visiting. We focus on the most natural process with these properties that we call `true self-repelling motion'. This is the continuous counterpart to the integer-valued `true' self-avoiding walk, which had been studied among others by the first author. One of the striking properties of true self-repelling motion is that, although the couple (X _t , occupation-time measure of X at time t) is a continuous Markov process, X is not driven by a stochastic differential equation and is not a semi-martingale. It turns out, for instance, that it has a finite variation of order 3/2, which contrasts with the finite quadratic variation of semi-martingales. One of the key-tools in the construction of X is a continuous system of coalescing Brownian motions similar to those that have been constructed by Arratia [A1, A2]. We derive various properties of X (existence and properties of the occupation time densities L _t (x), local variation, etc.) and an identity that shows that the dynamics of X can be very loosely speaking described as follows: −dX _t is equal to the gradient (in space) of L _t (x), in a generalized sense, even though x↦L _t (x) is not differentiable. Received: 15 April 1997 / Revised version: 30 January 1998     

Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type

We have obtained the following limit theorem: if a sequence of RCLL supersolutions of a backward stochastic differential equations (BSDE) converges monotonically up to (y _t ) with E[sup _t |y _t |²] < ∞, then (y _t ) itself is a RCLL supersolution of the same BSDE (Theorem 2.4 and 3.6). We apply this result to the following two problems: 1) nonlinear Doob–Meyer Decomposition Theorem. 2) the smallest supersolution of a BSDE with constraints on the solution (y, z). The constraints may be non convex with respect to (y, z) and may be only measurable with respect to the time variable t. this result may be applied to the pricing of hedging contingent claims with constrained portfolios and/or wealth processes. Received: 3 June 1997 / Revised version: 18 January 1998     

Parabolic problems for the Anderson model

Summary. This is a continuation of our previous work [6] on the investigation of intermittency for the parabolic equation (∂/∂t)u=Hu on ℝ₊×ℤ ^d associated with the Anderson Hamiltonian H=κΔ+ξ(·) for i.i.d. random potentials ξ(·). For the Cauchy problem with nonnegative homogeneous initial condition we study the second order asymptotics of the statistical moments <u(t,0) ^p > and the almost sure growth of u(t,0) as t→∞. We point out the crucial role of double exponential tails of ξ(0) for the formation of high intermittent peaks of the solution u(t,·) with asymptotically finite size. The challenging motivation is to achieve a better understanding of the geometric structure of such high exceedances which in one or another sense provide the essential contribution to the solution. Received: 10 December 1996 / In revised form: 30 September 1997     

Large deviations and continuum limit in the 2D Ising model

Summary. We study the 2D Ising model in a rectangular box Λ _L of linear size O(L). We determine the exact asymptotic behaviour of the large deviations of the magnetization ∑ _t∈ΛL σ(t) when L→∞ for values of the parameters of the model corresponding to the phase coexistence region, where the order parameter m ^* is strictly positive. We study in particular boundary effects due to an arbitrary real-valued boundary magnetic field. Using the self-duality of the model a large part of the analysis consists in deriving properties of the covariance function <σ(0)σ(t)>, as |t|→∞, at dual values of the parameters of the model. To do this analysis we establish new results about the high-temperature representation of the model. These results are valid for dimensions D≥2 and up to the critical temperature. They give a complete non-perturbative exposition of the high-temperature representation. We then study the Gibbs measure conditioned by {|∑ _t∈ΛL σ(t) −m|Λ _L ||≤|Λ _L |L ^{− c} }, with 0<c<1/4 and −m ^*<m<m ^*. We construct the continuum limit of the model and describe the limit by the solutions of a variational problem of isoperimetric type. Received: 17 October 1996 / In revised form: 7 March 1997     

Asymptotic separation for independent trajectories of Markov processes

We say that n independent trajectories ξ₁(t),…,ξ _n (t) of a stochastic process ξ(t)on a metric space are asymptotically separated if, for some ɛ > 0, the distance between ξ _i (t _i ) and ξ _j (t _j ) is at least ɛ, for some indices i, j and for all large enough t ₁,…,t _n , with probability 1. We prove sufficient conitions for asymptotic separationin terms of the Green function and the transition function, for a wide class of Markov processes. In particular,if ξ is the diffusion on a Riemannian manifold generated by the Laplace operator Δ, and the heat kernel p(t, x, y) satisfies the inequality p(t, x, x) ≤ Ct ^−ν/2 then n trajectories of ξ are asymptotically separated provided . Moreover, if for some α∈(0, 2)then n trajectories of ξ^(α) are asymptotically separated, where ξ^(α) is the α-process generated by −(−Δ)^α/2. Received: 10 June 1999 / Revised version: 20 April 2000 / Published online: 14 December 2000 RID="*" ID="*" Supported by the EPSRC Research Fellowship B/94/AF/1782 RID="**" ID="**" Partially supported by the EPSRC Visiting Fellowship GR/M61573     

The most visited sites of symmetric stable processes

Let X be a symmetric stable process of index α∈ (1,2] and let L ^x _t denote the local time at time t and position x. Let V(t) be such that L _t ^V(t) = sup _{x∈ ℝ} L _t ^x . We call V(t) the most visited site of X up to time t. We prove the transience of V, that is, lim _{t →∞} |V(t)| = ∞ almost surely. An estimate is given concerning the rate of escape of V. The result extends a well-known theorem of Bass and Griffin for Brownian motion. Our approach is based upon an extension of the Ray–Knight theorem for symmetric Markov processes, and relates stable local times to fractional Brownian motion and further to the winding problem for planar Brownian motion. Received: 14 October 1998 / Revised version: 8 June 1999 / Published online: 7 February 2000     

Besov regularity for the generalized local time of the indefinite Skorohod integral

Let (t∈[0,1]) be the indefinite Skorohod integral on the canonical probability space (Ω,F,P), and let Lt(x) (t∈[0,1], x∈R) be its the generalized local time introduced by Tudor in [C.A. Tudor, Martingale-type stochastic calculus for anticipating integral processes, Bernoulli 10 (2004) 313-325]. We prove that the generalized local time, as function of x, has the same Besov regularity as the Brownian motion, as function of t, under some conditions imposed on the anticipating integrand u.