Multifractal spectra and precise rates of decay in homogeneous fragmentations

We consider a mass-conservative fragmentation of the unit interval. Motivated by a result of Berestycki [J. Berestycki, Multifractal spectra of fragmentation processes, J. Statist. Phys. 113 (3–4) (2003) 411–430], the main purpose of this work is to specify the Hausdorff dimension of the set of locations having exactly an exponential decay. The study relies on an additive martingale which arises naturally in this setting, and a class of Lévy processes constrained to stay in a finite interval.     

Brownian motion on a homogeneous random fractal

Summary We introduce a simple random fractal based on the Sierpinski gasket and construct a Brownian motion upon the fractal. The properties of the process on the Sierpinski gasket are modified by the random environment. A sample path construction of the process via time truncation is used, which is a direct construction of the process on the fractal from the associated Dirichlet forms. We obtain estimates on the resolvent and transition density for the process and hence a value for the spectral dimension which satisfiesd _s=2d _f/d_w. A branching process in a random environment can be used to deduce some of the sample path properties of the process.     

Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant

Summary This work is concerned with the existence and uniqueness of a class of semimartingale reflecting Brownian motions which live in the non-negative orthant of ^d . Loosely speaking, such a process has a semimartingale decomposition such that in the interior of the orthant the process behaves like a Brownian motion with a constant drift and covariance matrix, and at each of the (d-1)-dimensional faces that form the boundary of the orthant, the bounded variation part of the process increases in a given direction (constant for any particular face) so as to confine the process to the orthant. For historical reasons, this pushing at the boundary is called instantaneous reflection. In 1988, Reiman and Williams proved that a necessary condition for the existence of such a semimartingale reflecting Brownian motion (SRBM) is that the reflection matrix formed by the directions of reflection be completely-L. In this work we prove that condition is sufficient for the existence of an SRBM and that the SRBM is unique in law. It follows from the uniqueness that an SRBM defines a strong Markov process. Our results have potential application to the study of diffusions arising as approximations tomulti-class queueing networks.Research supported in part by NSF Grants DMS 8657483, 8722351 and 9023335, and a grant from AT&T Bell Labs. In addition, R.J. Williams was supported in part during the period of this research by an Alfred P. Sloan Research Fellowship     

Reflected Brownian motion in a cone: Semimartingale property

Summary In this paper, the object of study is reflected Brownian motion in a cone ind-dimensions (d3) with nonconstant oblique reflection on each radial line emanating from the vertex of the cone. The basic question considered here is When is this process a semimartingale?. Conditions for the existence and uniqueness of the process for which the vertex is an instantaneous state were given by Kwon, which is resolved in terms of a real parameter depending on the cone and the direction of reflection. It is shown that starting from any point of the cone, the process is a semimartingale if < 1, + 0 and not a semimartingale if < < 2.This research is supported by KOSEF grant 941-0100-011-1     

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     

Asymptotically one-dimensional diffusions on the Sierpinski gasket and theabc-gaskets

Summary Diffusion processes on the Sierpinski gasket and theabc-gaskets are constructed as limits of random walks. In terms of the associated renormalization group, the present method uses the inverse trajectories which converge to unstable fixed points corresponding to the random walks on one-dimensional chains. In particular, non-degenerate fixed points are unnecessary for the construction. A limit theorem related to the discrete-time multi-type non-stationary branching processes is applied.     

Variational inequalities and the pricing of American options

This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of variational inequalities. In particular, we provide a complete justification of the so-called Brennan-Schwartz algorithm for the valuation of American put options.Research supported in part by a contract from Banque INDOSUEZ.     

Ruin probability in the presence of risky investments

We consider an insurance company in the case when the premium rate is a bounded non-negative random function _ct$c_t$ and the capital of the insurance company is invested in a risky asset whose price follows a geometric Brownian motion with mean return a   and volatility σ>0$\sigma >0$. If β?2a/σ²-1>0$\beta ?2a/{\sigma }^2-1>0$ we find exact the asymptotic upper and lower bounds for the ruin probability Ψ(u)$\Psi (u)$ as the initial endowment u   tends to infinity, i.e. we show that _C*u^-β?Ψ(u)?C^*u^-β$C_{*}{u}^{-\beta }?\Psi (u)?C^{*}{u}^{-\beta }$ for sufficiently large u  . Moreover if _ct=c^*e^γt$c_t=c^{*}{\mathrm{e}}^{\gamma t}$ with γ?0$\gamma ?0$ we find the exact asymptotics of the ruin probability, namely Ψ(u)∼u^-β$\Psi (u)\sim u^{-\beta }$. If β?0$\beta ?0$, we show that Ψ(u)=1$\Psi (u)=1$ for any u?0$u?0$.     

Skew-product decompositions of Brownian motions on manifolds: A probabilistic aspect of the Lichnerowicz-Szabo theorem

We show that the only compact simply connected manifolds for which the radial part of Brownian motion enjoys the Markov property are compact two points homogeneous spaces, i.e. rank one symmetric spaces.     

Intersections of random walks and Wiener sausages in four dimensions

Let {S ₁ (n)} _n0and {S ₂ (n)} _n0be independent simple random walks in Z ⁴ starting at the origin, and let % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaaiabfc6aqnaaBaaaleaacaqGPbaabeaatCvAUfKttLearyqr1ngB% Prgaiuaakiab-HcaOiaadggacaGGSaGaamOyaiab-LcaPiabg2da9i% ab-Tha7Hqbciab+Hha4jabgIGiolab+PfaAnaaCaaaleqabaGaaGin% aaaakiaacQdaieGacaqFtbWaaSbaaSqaaiaabMgaaeqaaOGae8hkaG% Iaa0xBaiab-LcaPiabg2da9iab+Hha4baa!5761!\[\Pi _{\rm{i}} (a,b) = \{ x \in Z^4 :S_{\rm{i}} (m) = x\]for the some % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaaGqaciaa-1gacqGHiiIZtCvAUfKttLearyqr1ngBPrgaiuaacqGF% OaakcaWGHbGaaiilaiaadkgacqGFPaqkcqGF9bqFaaa!4936!\[m \in (a,b)\} \]. Let two integervalued sequences {a _n}_n0and {b _n}_n0be given, such that the limit lim_n a _nexists and lim _n b _n=+. In this paper, it is shown that the probability of % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaaiabfc6aqnaaBaaaleaacaaIXaaabeaatCvAUfKttLearyqr1ngB% Prgaiuaakiab-HcaOiab-bdaWiab-XcaSiabg6HiLkab-LcaPiabgM% Iihlabfc6aqnaaBaaaleaacaaIYaaabeaakiab-HcaOiaadggadaWg% aaWcbaGaamOBaiaacYcaaeqaaOGaamyyamaaBaaaleaacaWGUbaabe% aakiabgUcaRiaadkgadaWgaaWcbaGaamOBaaqabaGccqWFPaqkcqGH% GjsUieaacaGFydaaaa!5904!\[\Pi _1 (0,\infty ) \cap \Pi _2 (a_{n,} a_n + b_n ) \ne \O \] is asymptotic to % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaamaalaaabaGaaGymaaqaaiaaikdaaaGaciiBaiaac+gacaGGNbWe% xLMBb50ujbqeguuDJXwAKbacfaGae8hkaGIae8xmaeJae83kaSIaam% OyamaaBaaaleaacaWGUbaabeaakiaac+cacaWGHbWaaSbaaSqaaiaa% d6gaaeqaaOGae8xkaKIae83la8IaciiBaiaac+gacaGGNbGaamOyam% aaBaaaleaacaWGUbaabeaaaaa!5364!\[\frac{1}{2}\log (1 + b_n /a_n )/\log b_n \] if it tends to zero as n, and the probability of % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaaiabfc6aqnaaBaaaleaacaaIXaaabeaatCvAUfKttLearyqr1ngB% Prgaiuaakiab-HcaOiab-bdaWiab-XcaSiabg6HiLkab-LcaPiabgM% Iihlabfc6aqnaaBaaaleaacaaIYaaabeaakiab-HcaOiaadggadaWg% aaWcbaGaamOBaaqabaGccaGGSaGaamyyamaaBaaaleaacaWGUbaabe% aakiabgUcaRiaadkgadaWgaaWcbaGaamOBaaqabaGccqWFPaqkcqWF% 9aqpieaacaGFydaaaa!583C!\[\Pi _1 (0,\infty ) \cap \Pi _2 (a_n ,a_n + b_n ) = \O \]is asymptotic to % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% abaeqabaaabaGaam4yaiaacUfaciGGSbGaai4BaiaacEgatCvAUfKt% tLearyqr1ngBPrgaiuaacqWFOaakcaWGHbWaaSbaaSqaaiaad6gaae% qaaOGaey4kaSIaamOyamaaBaaaleaacaWGUbaabeaakiab-LcaPiab% -9caViab-XgaSjab-9gaVjab-DgaNjab-HcaOiaadggadaWgaaWcba% GaamOBaaqabaGccqGHRaWkcaaIYaGae8xkaKIae8xxa01aaWbaaSqa% beaacqWFTaqlcqWFXaqmcqWFVaWlcqWFYaGmaaaaaaa!5BAC!\[\begin{array}{l} \Pi _1 (0,\infty ) \cap \Pi _2 (a_n ,a_n + b_n ) = \O \\ c[\log (a_n + b_n )/log(a_n + 2)]^{ - 1/2} \\ \end{array}\], for some constant c, if it tends to a finite constant (1) as n. These results extend some results obtained by G. F. Lawler about the intersection properties of simple random walks in Z ⁴. By using similar arguments, we also get corresponding results for the intersections of Wiener sausages in four dimensions. In particular, a conjecture suggested by M. Aizenman, which describes nonintersection of independent Wiener sausages in R ⁴, is proven.Partly supported by AvH Foundation.     

Irrationalité de Valeurs Associées a l'Exponentielle de Carlitz

Lete and be the Carlitz-module analogues of their usual counterparts. We have proved in [4]-that these elements of are algebraically independent over whenq3. We study here the remaining caseq=2 and prove among other things that 1,e, are linearly independent over .

     

Markov snakes and superprocesses

Summary We suggest the name Markov snakes for a class of path-valued Markov processes introduced recently by J.-F. Le Gall in connection with the theory of branching measure-valued processes. Le Gall applied this class to investigate path properties of superdiffusions and to approach probabilistically partial differential equations involving a nonlinear operator v–v ². We establish an isomorphism theorem which allows to translate results on continuous superprocesses into the language of Markov snakes and vice versa. By using this theorem, we get limit theorems for discrete Markov snakes.Partially supported by National Science Foundation Grant DMS-9301315 and by The US Army Research Office through the Mathematical Sciences Institute at Cornell University     

A delta white noise functional

The additive renormalization% MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiGc9yrFr0xXdbba91rFfpec8Eeeu0x% Xdbba9frFj0-OqFfea0dXdd9vqaq-JfrVkFHe9pgea0dXdar-Jb9hs% 0dXdbPYxe9vr0-vr0-vqpWqaaeaabiGaciaacaqabeaadaqaaqGaaO% qaaiaabs7adaWgaaWcbaGaaeySdiaab6cacaqG0bqefeKCPfgBaGqb% diaa-bcaaeqaaOGaeyypa0Jaa8hiaiaacIcacaaIYaGaeqiWdaNaai% ykamaaCaaaleqabaGaeyOeI0IaaGymaiaac+cacaaIYaaaaGqadOGa% a4hiaiGacwgacaGG4bGaaiiCaiaacIcacqGHsislcaqGXoWaaWbaaS% qabeaacaqGYaaaaOGaai4laiaaikdacaGGPaGaa4hiaiaacQdaciGG% LbGaaiiEaiaacchacqGHXcqSdaWadiqaaiabgkHiTiaadkeacaGGNa% GaaiikaiaadshacaGGPaWaaWbaaSqabeaacaaIYaaaaOGaai4laiaa% ikdacaGFGaGaey4kaSIaa4hiaiaabg7acaWGcbGaai4jaiaacIcaca% WG0bGaaiykaaGaay5waiaaw2faaiaacQdaaaa!6C5C!\[{\rm{\delta }}_{{\rm{\alpha }}{\rm{.t}} } = (2\pi )^{ - 1/2} \exp ( - {\rm{\alpha }}^{\rm{2}} /2) :\exp \pm \left[ { - B'(t)^2 /2 + {\rm{\alpha }}B'(t)} \right]:\]is shown to be a generalized Brownian functional. Some of its properties are derived. is shown to be a generalized Brownian functional. Some of its properties are derived.On leave from Universidade do Minho, Area de Matematica, Largo Carlos Amarante, P-4700 Braga, Portugal.     

The joint law of the maximum and terminal value of a martingale

Summary In this paper, we characterise the possible joint laws of the maximum and terminal value of a uniformly-integrable martingale. We also characterise the joint laws of the maximum and terminal value of a convergent continuous local martingale vanishing at zero. A number of earlier results on the possible laws of the maximum can be deduced quite easily.     

Poisson point processes,excursions and stable processes in two-dimensional structures

Itô’s contributions lie at the root of stochastic calculus and of the theory of excursions. These ideas are also very useful in the study of conformally invariant two-dimensional structures, via conformal loop ensembles, excursions of Schramm–Loewner evolutions and Poisson point processes of Brownian loops.     

Birth delay of a Markov process and the stopping distributions for regular processes

Summary We consider Markov processes with a fixed transition functionp(r, x; t, B) and with random birth times. We show that a process can be obtained from (X _t ,P) by birth delay if and only if for allt andB. As an application, we give a new version and a new proof of the results of Rost [R] and Fitzsimmons [F2] on stopping distributions of Markov processes. The key Lemma 1.1 replaces the filling scheme used by the previous authors.Birth delay was considered from a different prospective in [F1].Partially supported by the National Science Foundation Grant DMS-8802667     

MOMENT OF LEvY MEASURE OF OPERATOR-STABLE LAW

In 1979, Jurek gave a characterization of the moment of a full operator-stable μ by eigenvalues of exponent matrix of μ. Here, a characterization of the moment of Lévy measure (restricted on a neighbor of 0) of a full operator-stable μ by eigenvalues of exponent matrix of μ is given.