Reaction-Diffusion Equations with Polynomial Drifts Driven by Fractional Brownian Motions

A reaction-diffusion equation on [0, 1] ^d with the heat conductivity κ > 0, a polynomial drift term and an additive noise, fractional in time with H > 1/2, and colored in space, is considered. We have shown the existence, uniqueness and uniform boundedness of solution with respect to κ. Also we show that if κ tends to infinity, then the corresponding solutions of the equation converge to a process satisfying a stochastic ordinary differential equation.     

临界超布朗运动的渐近行为

本文证明了在一般的初始测度下，Dawson所获得的临界超布朗运动的渐 近定理并不成立，对于一般分支特征的临界的超布朗运动以及一般寝始测度，本文获得了它的渐近行为的阶的两个估计。     

Feller Generators with Measure-valued Drifts

We construct a L ^p -strong Feller process associated with the formal differential operator ? Δ + σ ?? on \(\mathbb R^{d}\), \(d \geqslant 3\), with drift σ in a wide class of measures (e.g. the sum of a measure having density in weak L ^d space and a Kato class measure), by exploiting a quantitative dependence of the smoothness of the domain of an operator realization of ? Δ + σ ?? generating a holomorphic C ₀-semigroup on \(L^{p}(\mathbb R^{d})\), p > d ? 1, on the value of the relative bound of σ.     

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.     

超布朗运动在临近灭绝时的行为

本文研究具有一类较广泛分支特征的超布朗运动在临近灭绝时的行为，主要得到了在临近灭绝时它的支撑的直径几乎处处收敛到零     

Pressure in Classical Statistical Mechanics and Interacting Brownian Particles in Multi-dimensions

. Let P(u) denote the pressure at the density u defined in the Gibbs statistical mechanics determined by a 2 body potential U (_qi - _qj). The function U(x) is supposed rotationally invariant and of finite range but may be unbounded about the origin. We establish a representation of P(u) by means of the law of large numbers for the virial ?_i,j q_i ·? U(q_i-q_j)\sum_{i,j} q_i \cdot {\nabla} U(q_i-q_j), whether or not there occur phase transitions. This result on P(u) is motivated by a study of the hydrodynamic behavior of a system of a large number of interacting Brownian particles moving on a d-dimensional torus (d = 1, 2, ...) in which the interaction is given by binary potential forces of potential U. Employing our representation of P(u), we also show that in the hydrodynamic limit of such a system there arises a non linear evolution equation of the form u_t = ¹/₂ DP(u)u_t = {1\over2} \Delta P(u) under a certain hypothetical postulate concerning concentration of particles.     

One Dimensional Stochastic Differential Equations with Distributional Drifts

In this paper we study the existence, pathwise uniqueness and homeomorphism flow of strong solutions to a class of one dimensional SDEs driven by infinitely many Brownian motions, and with Yamada- Watanabe diffusion coefficients and distributional drift coefficients.     

Anderson Polymer in a Fractional Brownian Environment: Asymptotic Behavior of the Partition Function

We consider the Anderson polymer partition function

$$\begin{aligned} u(t):=\mathbb {E}^X\left[ e^{\int _0^t \mathrm {d}B^{X(s)}_s}\right] \,, \end{aligned}$$

where \(\{B^{x}_t\,;\, t\ge 0\}_{x\in \mathbb {Z}^d}\) is a family of independent fractional Brownian motions all with Hurst parameter \(H\in (0,1)\), and \(\{X(t)\}_{t\in \mathbb {R}^{\ge 0}}\) is a continuous-time simple symmetric random walk on \(\mathbb {Z}^d\) with jump rate \(\kappa \) and started from the origin. \(\mathbb {E}^X\) is the expectation with respect to this random walk. We prove that when \(H\le 1/2\), the function u(t) almost surely grows asymptotically like \(e^{\lambda t}\), where \(\lambda >0\) is a deterministic number. More precisely, we show that as t approaches \(+\infty \), the expression \(\{\frac{1}{t}\log u(t)\}_{t\in \mathbb {R}^{>0}}\) converges both almost surely and in the \(\hbox {L}^1\) sense to some positive deterministic number \(\lambda \). For \(H>1/2\), we first show that \(\lim _{t\rightarrow \infty } \frac{1}{t}\log u(t)\) exists both almost surely and in the \(\hbox {L}^1\) sense and equals a strictly positive deterministic number (possibly \(+\infty \)); hence, almost surely u(t) grows asymptotically at least like \(e^{\alpha t}\) for some deterministic constant \(\alpha >0\). On the other hand, we also show that almost surely and in the \(\hbox {L}^1\) sense, \(\limsup _{t\rightarrow \infty } \frac{1}{t\sqrt{\log t}}\log u(t)\) is a deterministic finite real number (possibly zero), hence proving that almost surely u(t) grows asymptotically at most like \(e^{\beta t\sqrt{\log t}}\) for some deterministic positive constant \(\beta \). Finally, for \(H>1/2\) when \(\mathbb {Z}^d\) is replaced by a circle endowed with a Hölder continuous covariance function, we show that \(\limsup _{t\rightarrow \infty } \frac{1}{t}\log u(t)\) is a deterministic finite positive real number, hence proving that almost surely u(t) grows asymptotically at most like \(e^{c t}\) for some deterministic positive constant c.

     

Asymptotic Behavior for Hitting Time of Large Geodesic Spheres by Brownian Motion

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Critical branching Brownian motion with absorption: survival probability

We consider branching Brownian motion on the real line with absorption at zero, in which particles move according to independent Brownian motions with the critical drift of \(-\sqrt{2}\) . Kesten (Stoch Process 7:9–47, 1978) showed that almost surely this process eventually dies out. Here we obtain upper and lower bounds on the probability that the process survives until some large time \(t\) . These bounds improve upon results of Kesten (Stoch Process 7:9–47, 1978), and partially confirm nonrigorous predictions of Derrida and Simon (EPL 78:60006, 2007).     

Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

Range of Brownian Motion with Drift

Let (B _δ (t)) _{t ≥ 0} be a Brownian motion starting at 0 with drift δ > 0. Define by induction S ₁=− inf _{t ≥ 0} B _δ (t), ρ₁ the last time such that B _δ (ρ₁)=−S ₁, S ₂=sup_{0≤ t ≤ρ 1} B _δ (t), ρ₂ the last time such that B _δ (ρ₂)=S ₂ and so on. Setting A _k =S _k +S _k+1; k ≥ 1, we compute the law of (A ₁,...,A _k ) and the distribution of (B _δ (t+ρ l) − B _δ (ρ _l ); 0 ≤ t ≤ ρ _l-1 − ρ _l )_{2 ≤ l ≤ k} for any k ≥ 2, conditionally on (A ₁,...,A _k ). We determine the law of the range R _δ (t) of (B _δ (s)) _{s≥ 0} at time t, and the first range time θ_δ (a) (i.e. θ_δ (a)=inf{t > 0; R _δ (t) > a}). We also investigate the asymptotic behaviour of θ _δ (a) (resp. R _δ (t)) as a → ∞ (resp. t → ∞).     

Semigroups associated with generalized Brownian functionals

Communicated by D. R. Brown and J. D. Lawson     

Brownian Motion with Singular Time-Dependent Drift

In this paper, we study weak solutions for the following type of stochastic differential equation

Open image in new window

where \(b: [0,\infty ) \times \mathbb {R}^{d}\rightarrow \mathbb {R}^{d}\) is a measurable drift, \(W=(W_{t})_{t \ge 0}\) is a d-dimensional Brownian motion and \((s,x)\in [0,\infty ) \times \mathbb {R}^{d}\) is the starting point. A solution \(X=(X_t)_{t \ge s}\) for the above SDE is called a Brownian motion with time-dependent drift b starting from (s, x). Under the assumption that |b| belongs to the forward-Kato class \(\mathcal {F}\mathcal {K}_{d-1}^{\alpha }\) for some \(\alpha \in (0,1/2)\), we prove that the above SDE has a unique weak solution for every starting point \((s,x)\in [0,\infty ) \times \mathbb {R}^{d}\).

     

Nonlinear Filtering with Fractional Brownian Motion

Our objective is to study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 相似文献   

Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions

Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional Brownian motion (mBm) generalizes fBm by letting the local Hölder exponent vary in time. This is useful in various areas, including financial modelling and biomedicine. The aim of this work is twofold: first, we prove that an mBm may be approximated in law by a sequence of “tangent” fBms. Second, using this approximation, we show how to construct stochastic integrals w.r.t. mBm by “transporting” corresponding integrals w.r.t. fBm. We illustrate our method on examples such as the Wick–Itô, Skorohod and pathwise integrals.