Asymptotic Behavior of Weighted Power Variations of Fractional Brownian Motion in Brownian Time

We study the asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time \(Z_t:= X_{Y_t},t \geqslant 0\), where X is a fractional Brownian motion and Y is an independent Brownian motion.     

On the Mean Number of Particles of a Branching Random Walk on ℤ<Superscript><Emphasis Type="Italic">d</Emphasis></Superscript> with Periodic Sources of Branching

We consider a continuous-time branching random walk on ? ^d , where the particles are born and die on a periodic set of points (sources of branching). The spectral properties of the evolution operator for the mean number of particles at an arbitrary point of ? ^d are studied. This operator is proved to have a positive spectrum, which leads to an exponential asymptotic behavior of the mean number of particles as t → ∞.     

Limiting Distributions for Multitype Branching Processes

In this article, the asymptotic behavior of multitype Markov branching processes with discrete or continuous time is investigated in the positive regular and nonsingular case when both the initial number of ancestors and the time tend to infinity. Some limiting distributions are obtained as well as multivariate asymptotic normality is proved. The article also considers the relative frequencies of distinct types of individuals motivated by applications in the field of cell biology. We obtained non-random limits for the frequencies and multivariate asymptotic normality when the initial number of ancestors is large and the time of observation increases to infinity. In fact this paper continues the investigations of Yakovlev and Yanev [32 Yakovlev , A.Y. , and Yanev , N.M. 2009 . Relative frequencies in multitype branching processes . Annals of Applied Probability 19 ( 1 ): 1 – 14 . [Google Scholar]] where the time was fixed. The new obtained limiting results are of special interest for cell kinetics studies where the relative frequencies but not the absolute cell counts are accessible to measurement.     

Branching random walk with trapping zones

We consider a branching random walk with values in a certain set $\mathbb{S}$, where the branching mechanism is different according to whether particles (individuals) are in a certain so called trapping set $A?\mathbb{S}$ or not. We are then interested, under different scenarios, in properties of either the transient random measure describing distribution of individuals on $\mathbb{S}$ over time or its asymptotic behaviour.     

Torsional Rigidity for Regions with a Brownian Boundary

Let ?? ^m be the m-dimensional unit torus, m ∈ ?. The torsional rigidity of an open set Ω ? ?? ^m is the integral with respect to Lebesgue measure over all starting points x ∈ Ω of the expected lifetime in Ω of a Brownian motion starting at x. In this paper we consider Ω = ?? ^m \β[0, t], the complement of the path ß[0, t] of an independent Brownian motion up to time t. We compute the leading order asymptotic behaviour of the expectation of the torsional rigidity in the limit as t → ∞. For m = 2 the main contribution comes from the components in ??²\β0, t] whose inradius is comparable to the largest inradius, while for m = 3 most of ??³\β[0, t] contributes. A similar result holds for m ≥ 4 after the Brownian path is replaced by a shrinking Wiener sausage W _r(t)[0, t] of radius r(t) = o(t ^-1/(m-2)), provided the shrinking is slow enough to ensure that the torsional rigidity tends to zero. Asymptotic properties of the capacity of ß[0, t] in ?³ and W ₁[0, t] in ? ^m , m ≥ 4, play a central role throughout the paper. Our results contribute to a better understanding of the geometry of the complement of Brownian motion on ?? ^m , which has received a lot of attention in the literature in past years.     

A central limit theorem for branching Brownian motion with random immigration

We establish a central limit theorem for a branching Brownian motion with random immigration under the annealed law,where the immigration is determined by another branching Brownian motion.The limit is a Gaussian random measure and the normalization is t3/4for d=3 and t1/2for d≥4,where in the critical dimension d=4 both the immigration and the branching Brownian motion itself make contributions to the covariance of the limit.     

Occupation Time Fluctuations in Branching Systems

We consider particle systems in locally compact Abelian groups with particles moving according to a process with symmetric stationary independent increments and undergoing one and two levels of critical branching. We obtain long time fluctuation limits for the occupation time process of the one- and two-level systems. We give complete results for the case of finite variance branching, where the fluctuation limits are Gaussian random fields, and partial results for an example of infinite variance branching, where the fluctuation limits are stable random fields. The asymptotics of the occupation time fluctuations are determined by the Green potential operator G of the individual particle motion and its powers G ²,G ³, and by the growth as t of the operator and its powers, where T _t is the semigroup of the motion. The results are illustrated with two examples of motions: the symmetric -stable Lévy process in , and the so called c-hierarchical random walk in the hierarchical group of order N (0<c<N). We show that the two motions have analogous asymptotics of G _t and its powers that depend on an order parameter for their transience/recurrence behavior. This parameter is =d/–1 for the -stable motion, and =log c/log(N/c) for the c-hierarchical random walk. As a consequence of these analogies, the asymptotics of the occupation time fluctuations of the corresponding branching particle systems are also analogous. In the case of the c-hierarchical random walk, however, the growth of G _t and its powers is modulated by oscillations on a logarithmic time scale.     

Density of Space-Time Distribution of Brownian First Hitting of a Disc and a Ball

We compute the joint distribution of the site and the time at which a d-dimensional standard Brownian motion ((B˙t)) hits the surface of the ball ((U(a) ={—x—<a})) for the first time. The asymptotic form of its density is obtained when either the hitting time or the starting site ((B˙0)) becomes large. Our results entail that if Brownian motion is started at ((x)) and conditioned to hit ((U(a))), at time t, the distribution of the hitting site approaches the uniform distribution or the point mass at ((ax/—x—)) according as ((—x—/t)) tends to zero or infinity; in each case we provide a precise asymptotic estimate of the density. In the case when ((—x—/t)) tends to a positive constant we show the convergence of the density and derive an analytic expression of the limit density.     

Supercritical Branching Brownian Motion and K-P-P Equation In the Critical Speed-Area

If R_t is the position of the rightmost particle at time t in a one dimensional branching brownian motion, whore α is the inverse of the mean life time and m is the mean of the reproduction law. If Z_t denotes the random point measure of particles living at time t, we get in the critical area {c = c₀} The function u(t, x) = P(R_t > x) is studied as a solution of the K-P-P equation for some function f. Conditioned on non-extinction of the spatial tree in the c₀-direction, a limit distribution is obtained and characterized.     

Parisian ruin over a finite-time horizon

For a risk process R_u(t) = u + ct- X(t), t≥0, where u≥0 is the initial capital, c 0 is the premium rate and X(t), t≥0 is an aggregate claim process, we investigate the probability of the Parisian ruin P_S(u, T_u) = P{inf (t∈[0,S]_(s∈[t,t+T_u])) sup R_u(s) 0}, S, T_u 0.For X being a general Gaussian process we derive approximations of P_S(u, T_u) as u →∞. As a by-product, we obtain the tail asymptotic behaviour of the infimum of a standard Brownian motion with drift over a finite-time interval.     

On the natural frequencies of some three-dimensional cylindrical bodies

We give examples of three-dimensional bodies such that a two-term asymptotic formula holds for the number of eigenvalues of the boundary value problem Δu + λu = 0, ?u/?n + σu = 0.     

Oscillation of third order differential equation with damping term

We study asymptotic and oscillatory properties of solutions to the third order differential equation with a damping term

$$x'''(t) + q(t)x'(t) + r(t)\left| x \right|^\lambda (t)\operatorname{sgn} x(t) = 0,{\text{ }}t \geqslant 0.$$

We give conditions under which every solution of the equation above is either oscillatory or tends to zero. In case λ ? 1 and if the corresponding second order differential equation h″ + q(t)h = 0 is oscillatory, we also study Kneser solutions vanishing at infinity and the existence of oscillatory solutions.

     

From 1 to 6: A Finer Analysis of Perturbed Branching Brownian Motion

The logarithmic correction for the order of the maximum for two-speed branching Brownian motion changes discontinuously when approaching slopes , which corresponds to standard branching Brownian motion. In this article we study this transition more closely by choosing and . We show that the logarithmic correction for the order of the maximum now smoothly interpolates between the correction in the i.i.d. case , and when . This is due to the localization of extremal particles at the time of speed change, which depends on α and differs from the one in standard branching Brownian motion. We also establish in all cases the asymptotic law of the maximum and characterize the extremal process, which turns out to coincide essentially with that of standard branching Brownian motion. © 2020 the Authors. Communications on Pure and Applied Mathematics published by Wiley Periodicals LLC     

An Integral Test on Time-Dependent Local Extinction for Super-coalescing Brownian Motion with Lebesgue Initial Measure

This paper concerns the almost sure time-dependent local extinction behavior for super-coalescing Brownian motion X with (1+β)-stable branching and Lebesgue initial measure on ?. We first give a representation of X using excursions of a continuous-state branching process and Arratia’s coalescing Brownian flow. For any nonnegative, nondecreasing, and right-continuous function g, let $$\tau:=\sup\bigl\{t\geq0: X_t\bigl(\bigl[-g(t),g(t)\bigr]\bigr )>0 \bigr \}.$$ We prove that ?{τ=∞}=0 or 1 according as the integral $\int_{1}^{\infty}\! g(t)t^{-1-1/\beta} dt$ is finite or infinite.     

Insider trading equilibrium in a market with memory

We consider the Kyle-Back model for insider trading, with the difference that the classical Brownian motion noise of the noise traders is replaced by the noise of a fractional Brownian motion B ^H with Hurst parameter ${H>\frac{1}{2}}$ (when ${H=\frac{1}{2}, B^H}$ coincides with the classical Brownian motion). Heuristically, for ${H>\frac{1}{2}}$ this means that the noise traders has some ??memory??, in the sense that any increment from time t on has a positive correlation with its value at t. (In other words, the noise trading is a persistent stochastic process). It also means that the paths of the noise trading process are more egular than in the classical Brownian motion case. We obtain an equation for the optimal (relative) trading intensity for the insider in this setting, and we show that when ${H\rightarrow\frac{1}{2}}$ the solution converges to the solution in the classical case. Finally, we discuss how the size of the Hurst coefficient H influences the optimal performance and portfolio of the insider.     

On the occupation times of cones by Brownian motion

Summary We study some features concerning the occupation timeA _t of a d-dimensional coneC by Brownian motion. In particular, in the case whereC is convex, we investigate the asymptotic behaviour ofP(A₁u0, when the Brownian motion starts at the vertex ofC. We also give the precise integral test, which decides whether a.s., lim inf _t A _t/(tf(t))=0 or for a decreasing functionf.     

Applications of the continuous-time ballot theorem to Brownian motion and related processes

Motivated by questions related to a fragmentation process which has been studied by Aldous, Pitman, and Bertoin, we use the continuous-time ballot theorem to establish some results regarding the lengths of the excursions of Brownian motion and related processes. We show that the distribution of the lengths of the excursions below the maximum for Brownian motion conditioned to first hit λ>0 at time t is not affected by conditioning the Brownian motion to stay below a line segment from (0,c) to (t,λ). We extend a result of Bertoin by showing that the length of the first excursion below the maximum for a negative Brownian excursion plus drift is a size-biased pick from all of the excursion lengths, and we describe the law of a negative Brownian excursion plus drift after this first excursion. We then use the same methods to prove similar results for the excursions of more general Markov processes.     

A branching particle system approximation for nonlinear stochastic filtering

The optimal filter π = {π t,t ∈ [0,T ]} of a stochastic signal is approximated by a sequence {π n t } of measure-valued processes defined by branching particle systems in a random environment(given by the observation process).The location and weight of each particle are governed by stochastic differential equations driven by the observation process,which is common for all particles,as well as by an individual Brownian motion,which applies to this specific particle only.The branching mechanism of each particle depends on the observation process and the path of this particle itself during its short lifetime δ = n 2α,where n is the number of initial particles and α is a fixed parameter to be optimized.As n →∞,we prove the convergence of π n t to π t uniformly for t ∈ [0,T ].Compared with the available results in the literature,the main contribution of this article is that the approximation is free of any stochastic integral which makes the numerical implementation readily available.     

Branching Brownian Motion with Decay of Mass and the Nonlocal Fisher-KPP Equation

In this work we study a nonlocal version of the Fisher-KPP equation, and its relation to a branching Brownian motion with decay of mass as introduced in Addario-Berry and Penington (2015) , i.e., a particle system consisting of a standard branching Brownian motion (BBM) with a competitive interaction between nearby particles. Particles in the BBM with decay of mass have a position in ℝ and a mass, branch at rate 1 into two daughter particles of the same mass and position, and move independently as Brownian motions. Particles lose mass at a rate proportional to the mass in a neighborhood around them (as measured by the function φ). We obtain two types of results. First, we study the behavior of solutions to the partial differential equation above. We show that, under suitable conditions on φ and u₀, the solutions converge to 1 behind the front and are globally bounded, improving recent results of Hamel and Ryzhik. Second, we show that the hydrodynamic limit of the BBM with decay of mass is the solution of the nonlocal Fisher-KPP equation. We then harness this to obtain several new results concerning the behavior of the particle system. © 2019 Wiley Periodicals, Inc.