Super-Brownian motion with reflecting historical paths

We consider super-Brownian motion whose historical paths reflect from each other, unlike those of the usual historical super-Brownian motion. We prove tightness for the family of distributions corresponding to a sequence of discrete approximations but we leave the problem of uniqueness of the limit open. We prove a few results about path behavior for processes under any limit distribution. In particular, we show that for any γ > 0, a “typical” increment of a reflecting historical path over a small time interval Δt is not greater than (Δt)^3/4−γ. Received: 16 March 2000 / Revised version: 26 February 2001 / Published online: 9 October 2001     

超布朗运动与无界区域上一类非线性微分方程

本文得到了超布朗运动的一个极限定理,并用超布朗运动给出了区域D上非线性微分方程的Dirichlet问题与随机Dirichlet问题非负有界解的精确表达式．     

On the connected components of the support of super Brownian motion and of its exit measure

Tribe proved in a previous paper that a typical point of the support of super Brownian motion considered at a fixed time is a.s. disconnected from the others when the space dimension is greater than or equal to 3. We give here a simpler proof of this result based on Le Gall's Brownian snake. This proof can then be adapted in order to obtain an analogous result for the support of the exit measure of the super Brownian motion from a smooth domain of ^d when d is greater than or equal to 4.     

Boundary trace of reflecting Brownian motions

We establish a uniform dimensional result for normally reflected Brownian motion (RBM) in a large class of non-smooth domains. Hausdorff dimensions for the boundary occupation time and the boundary trace of RBM are determined. Extensions to stable-like jump processes and to symmetric reflecting diffusions are also given.Mathematics Subject Classification (2000):Primary 60G17, 60J60, Secondary 28A80, 30C35, 60G52, 60J50     

Packing measure of the sample paths of fractional Brownian motion

Let be a fractional Brownian motion of index in If , then there exists a positive finite constant such that with probability 1,

where and - is the -packing measure of .

     

A simple proof of diffusion approximations for LBFS re-entrant lines

For a re-entrant line operating under the last-buffer-first-serve service policy, there have been two independent proofs of a heavy traffic limit theorem. The key to these proofs is to prove the uniform convergence of a critical fluid model. We give a new proof for the uniform convergence of the fluid model.     

Convergence of branching transport processes to branching brownian motion

Two models are given of branching transport processes that converge to branching Brownian motion starting with one initial particle. The martingale problem method is used.     

Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion

Superpositions of Ornstein-Uhlenbeck processes provide convenient ways to build stationary processes with given marginal distributions and long range dependence. After reviewing some of the basic features, we present several examples of processes with non-Gaussian marginal distributions. Our main results concern asymptotic properties of sums and partial sums of these processes and their polynomial functions. Further, we discuss some applications to estimation.     

The heat equation and reflected Brownian motion in time-dependent domains.: II. Singularities of solutions

We study the space-time Brownian motion and the heat equation in non-cylindrical domains. The paper is mostly devoted to singularities of the heat equation near rough points of the boundary. Two types of singularities are identified—heat atoms and heat singularities. A number of explicit geometric conditions are given for the existence of singularities. Other properties of the heat equation solutions are analyzed as well.     

Scaling coupling of reflecting Brownian motions and the hot spots problem

We introduce a new type of coupling of reflecting Brownian motions in smooth planar domains, called scaling coupling. We apply this to obtain monotonicity properties of antisymmetric second Neumann eigenfunctions of convex planar domains with one line of symmetry. In particular, this gives the proof of the hot spots conjecture for some known types of domains and some new ones.

     

Integral representation of generalized grey Brownian motion

ABSTRACT

In this paper, we investigate the representation of a class of non-Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic process which is a solution of a certain stochastic differential equation. In particular, the underlying process can be seen as a non-Gaussian extension of the Ornstein–Uhlenbeck process, hence generalizing the representation results of Muravlev, Russian Math. Surveys 66 (2), 2011 as well as Harms and Stefanovits, Stochastic Process. Appl. 129, 2019 to the non-Gaussian case.     

Time-Localization of Random Distributions on Wiener Space II: Convergence,Fractional Brownian Density Processes

For a random element X of a nuclear space of distributions on Wiener space C([0,1],R ^d ), the localization problem consists in projecting X at each time t[0,1] in order to define an S(R ^d )-valued process X={X(t),t[0,1]}, called the time-localization of X. The convergence problem consists in deriving weak convergence of time-localization processes (in C([0,1],S(R ^d )) in this paper) from weak convergence of the corresponding random distributions on C([0,1],R ^d ). Partial steps towards the solution of this problem were carried out in previous papers, the tightness having remained unsolved. In this paper we complete the solution of the convergence problem via an extension of the time-localization procedure. As an example, a fluctuation limit of a system of fractional Brownian motions yields a new class of S(R ^d )-valued Gaussian processes, the fractional Brownian density processes.     

A note on first-passage times of continuously time-changed Brownian motion

The probability of a Brownian motion with drift to remain between two constant barriers (for some period of time) is known explicitly. In mathematical finance, this and related results are required, for example, for the pricing of single-barrier and double-barrier options in a Black-Scholes framework. One popular possibility to generalize the Black-Scholes model is to introduce a stochastic time scale. This equips the modelled returns with desirable stylized facts such as volatility clusters and jumps. For continuous time transformations, independent of the Brownian motion, we show that analytical results for the double-barrier problem can be obtained via the Laplace transform of the time change. The result is a very efficient power series representation for the resulting exit probabilities. We discuss possible specifications of the time change based on integrated intensities of shot-noise type and of basic affine process type.     

Characterization of the least concave majorant of brownian motion,conditional on a vertex point,with application to construction

The characterization of the least concave majorant of brownian motion by Pitman (1983,Seminar on Stochastic Processes, 1982 (eds. E. Cinlar, K. L. Chung and R. K. Getoor), 219–228, Birkhäuser, Boston) is tweaked, conditional on a vertex point. The joint distribution of this vertex point is derived and is shown to be generated with extreme ease. A procedure is then outlined by which one can construct the least concave majorant of a standard Brownian motion path over any finite, closed subinterval of (0, ∞). This construction is exact in distribution. One can also construct a linearly interpolated version of the Brownian motion path (i.e. we construct the Brownian motion path over a grid of points and linearly interpolate) corresponding to this least concave majorant over the same finite interval. A discussion of how to translate the aforementioned construction to the least concave majorant of a Brownian bridge is also presented.     

A Note on “State Spaces of the Snake and Its Tour—Convergence of the Discrete Snake” by J.-F. Marckert and A. Mokkadem

In State spaces of the snake and its tour—Convergence of the discrete snake the authors showed a limit theorem for Galton–Watson trees with geometric offspring distribution. In this note it is shown that their result holds for all Galton–Watson trees with finite offspring variance.     

Reinsurance control in a model with liabilities of the fractional Brownian motion type

We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long-range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright © 2007 John Wiley & Sons, Ltd.