布朗局部时主值滞后增量的几个结果

Let W be a standard Brownian motion,and define Y(t) =∫ods/W(s) as Cauchy‘s principal value related to the local time of W. We study some limit results on lag increments of Y(t) and obtain various results all of which are related to earlier work by Hanson and Russo in 1983.     

玩具激光器在薄膜干涉和布朗运动实验中的巧用

利用玩具激光器对薄膜干涉和布朗运动实验进行改进,使实验现象更加明显、直观.     

紧流形上非退化扩散过程的成功耦合

本文构造了紧连通流形上非退化扩散过程的一些耦合，并使用随机分析的方法证明这些耦合是成功的，进一步地，耦合时间一阶矩有限。最后，我们使用耦合方法研究了扩散过程依全变差范数的收敛速度。     

分数布朗运动环境中标的资产有红利支付的欧式期权定价

本文在标的资产或基础股票的价格服从几何分数布朗运动模型假设下 ,分别在无风险利率 r和股价波动率 σ为常数和为时间 t的非随机函数的情况下 ,求出了有红利支付的欧式期权的定价公式 .     

Heavy traffic analysis of a storage model with long range dependent On/Off sources

We consider a fluid queueing system with infinite storage capacity and constant output rate offered a superposition ofN identical On/Off sources, where the ratio of input to output rate is small. The On and/or Off periods have heavy tailed distributions with infinite variance, giving rise to Long Range Dependence in the arrival process. In the limit of a large number of sources and high load, it is shown that the tail of the stationary queue content distribution is Weibullian, implying much larger queue contents than in the classical case of exponential tails. Noting that similar results were recently found by I. Norros for a storage system input by a Fractional Brownian Motion, we then show how the two models are related, thus providing a further physical motivation for the Fractional Brownian Motion model.     

Polymers with self-avoiding interaction in random medium: a localization-delocalization transition

In this paper we investigate the problem of a long self-avoiding polymer chain immersed in a random medium. We find that in the limit of a very long chain and when the self-avoiding interaction is weak, the conformation of the chain consists of many “blobs” with connecting segments. The blobs are sections of the molecule curled up in regions of low potential in the case of a Gaussian distributed random potential or in regions of relatively low density of obstacles in the case of randomly distributed hard obstacles. We find that as the strength of the self-avoiding interaction is increased the chain undergoes a delocalization transition in the sense that the appropriate free energy per monomer is no longer negative. The chain is then no longer bound to a particular location in the medium but can easily wander around under the influence of a small perturbation. For a localized chain we estimate quantitatively the expected number of monomers in the “blobs” and in the connecting segments. Received 13 November 2002 Published online 14 March 2003     

Parity and ruin in a stochastic game

We study an elementary two-player card game where in each round players compare cards and the holder of the card with the smaller value wins. Using the rate equations approach, we treat the stochastic version of the game in which cards are drawn randomly. We obtain an exact solution for arbitrary initial conditions. In general, the game approaches a steady state where the card value densities of the two players are proportional to each other. The leading small value behavior of the initial densities determines the corresponding proportionality constant, while the next correction governs the asymptotic time dependence. The relaxation toward the steady state exhibits a rich behavior, e.g., it may be algebraically slow or exponentially fast. Moreover, in ruin situations where one player eventually wins all cards, the game may even end in a finite time. Received 24 August 2001 and Received in final form 12 November 2001     

Rotational displacements in crystals

The problem of random rotational displacement is solved and the theory of Brownian motion of molecules in crystals is developed. The probability distribution of orientations of a molecule is found as a decomposition into matrix elements of irreducible representations of point groups.     

Brownian motion of a nonlinear oscillator

Starting with the Langevin equation for a nonlinear oscillator (the Duffing oscillator) undergoing ordinary Brownian motion, we derive linear transport laws for the motion of the average position and velocity of the oscillator. The resulting linear equations are valid for only small deviations of average values from thermal equilibrium. They contain a renormalized oscillator frequency and a renormalized and non-Markovian friction coefficient, both depending on the nonlinear part of the original equation of motion. Numerical computations of the position correlation function and its spectral density are presented. The spectral density compares favorably with experimental results obtained by Morton using an analog computer method.Technical Note BN-674. Research supported in part by NSF grant GP-12591, and in part by PHS Research Grant No. MG16426-02 from the National Institute of General Medical Sciences.     

On the derivation of Smoluchowski equations with corrections in the classical theory of Brownian motion

Differential equations governing the time evolution of distribution functions for Brownian motion in the full phase space were first derived independently by Klein and Kramers. From these so-called Fokker-Planck equations one may derive the reduced differential equations in coordinate space known as Smoluchowski equations. Many such derivations have previously been reported, but these either involved unnecessary assumptions or approximations, or were performed incompletely. We employ an iterative reduction scheme, free of assumptions, and calculate formally exact corrections to the Smoluchowski equations for many-particle systems with and without hydrodynamic interaction, and for a single particle in an external field. In the absence of hydrodynamic interaction, the lowest order corrections have been expressed explicitly in terms of the coordinate space distribution function. An additional application of the method is made to the reduction of the stress tensor used in evaluating the intrinsic viscosity of particles in solution. Most of the present work is based on classical Brownian motion theory, but brief consideration is given in an appendix to some recent developments regarding non-Markovian equations for Brownian motion.Supported by the National Science Foundation.