Path properties of an infinite system of Wiener processes

Let be a Poisson process on ^d of intensity and letW ₁(t),W ₂ (t),..., be a sequence of independent Wiener processes. LetW _i (t)=X _i +W _i (t) whereX ₁,X ₂,..., are the points of . Consider the processess(t)=#{i:X _i (t)1}. These and related processes are studied.     

On large increments of a two-parameter fractional Wiener process

In this paper, how big the increments are and some liminf behaviors are studied of a two-parameter fractional Wiener process. The results are based on some inequalities on the suprema of this process, which also are of independent interest     

关于Wiener过程泛函连续模的精确收敛速度

设{W（t）,t≥0}是一标准Wiener过程,记S是Strassen重对数律的紧集类·本文中我们讨论了两个变量sup_0≤t≤1-h inf_f∈S sup_0≤x≤1 |(W(t+hx)-W(t))(2h log h^-1)^-1/2 - f(x)|及inf_0≤t≤1-h sup_0≤x≤1 |(W(t + hx) - W(t))(2hlogh^-1)^-1/2- f(x)|（对任何f∈S）趋于零的精确的收敛速度.作为一个推广,我们建立了Wiener过程的不可微模与泛函的连续模之间的一种关系.     

Some of my favorite results with Endre Csáki and Pál Révész - A survey

Summary Some topics of our twenty some years of joint work is discussed. Just to name a few; joint behavior of the maximum of the Wiener process and its location, global and local almost sure limit theorems, strong approximation of the planar local time difference, a general Strassen type theorem, maximal local time on subsets.     

ON LOCAL CONTINUITY MODULI FOR GAUSSIAN PROCESSES

ＬＵＣＨＵＡＮＲＯＮＧ（陆传荣）（ＤｅｐａｒｔｍｅｎｔｏｆＭａｔｈｅｍａｔｉｃｓ，ＨａｎｇｚｈｏｕＵｎｉｖｅｒｓｉｔｙ，Ｈａｎｇｚｈｏｕ３１００２８，Ｃｈｉｎａ）（ＴｈｉｓｗｏｒｋｉｓｓｕｐｐｏｒｔｅｄｂｙｔｈｅＮａｔｉｏｎａｌＮａｔｕｒａｌＳｃｉｅ...     

Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Abstract

We introduce Wiener integrals with respect to the Hermite process and we prove a non-central limit theorem in which this integral appears as limit. As an example, we study a generalization of the fractional Ornstein–Uhlenbeck process.     

关于分数Wiener过程的不可微连续

在本文中，我们推广了Csoego＂和Shao(1994)的结果，给出了阶α（0＜α＜1）的分数Wiener过程的不可微连续模。     

Small ball probabilities for a Wiener process under weighted sup-norms,with an application to the supremum of bessel local times

LetR be the radial part of ad-dimensional Wiener process, starting from 0. In this paper, small ball probabilities are evaluated for sup_0<11(t ^–p R(t)) and sup _t 0(e ^–1 R(t)), withp[0, 1/2]. Chung's law of the iterated logarithm is established for the supremum of the local times of a two-dimensional Bessel process.     

Strong approximations of three-dimensional Wiener sausages

We prove that the centered three-dimensional Wiener sausage can be strongly approximated by a one-dimensional Brownian motion running at a suitable time clock. The strong approximation gives all possible laws of iterated logarithm as well as the convergence in law in terms of process for the normalized Wiener sausage. The proof relies on Le Gall [10]șs fine L ²-norm estimates between the Wiener sausage and the Brownian intersection local times. Research supported by the Hungarian National Foundation for Scientific Research, Grants T 037886, T 043037 and K 61052.     

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L²$L^2$ and L³$L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.     

On the Limiting Proportion of Types

Consider a system into which units of random type enter at fixed points in time. Suppose each unit is endowed with a lifetime whose distribution is specific to its type, during which it is active (present in the system), and after which it is inactive (deleted from the system). Some unit types may tend to remain active for longer periods than others, and thus the limiting proportion of a given type within the active population may differ from the probability that an entering unit is of that type. The relation between the probabilities of types and the limiting proportion of types is shown to depend on the life distributions in a manner determined by the arrival time sequence.     

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.     

About the Measure of Heavily Visited Points of the Brownian Motion

We consider those space points of the Wiener process, the local time of which is at least a constant multiple of the local time of the origin. The upper and lower class behavior of the Lebesgue measure of these points are investigated.     

The Maximum of a Critical Branching Wiener Process

Consider a critical branching Wiener process on ¹. Let M(n) be the location of the most right particle at time n. A limit distribution theorem is proved for n ^–1/2 M(n).     

On some inequalities of local time

In this paper, we extend the Barlow-Yor's inequality of local time to the case stopped at a random time.     

On States of Total Weighted Occupation Times of a Class of Infinitely Divisible Superprocesses on a Bounded Domain

In this paper, general conditions of state classification for the total weighted occupation times of a class of infinitely divisible superprocesses on a bounded domain D in ℝ ^d are given. As an application, some sufficient and necessary conditions are found for the total weighted occupation times of some special superprocesses on D to be absolutely continuous or singular with respect to the Lebesgue measure on D. The research of Yan-Xia Ren is supported by NNSF of China (Grant No. 10471003) and Foundation for Authors Awarded Excellent Ph.D. Dissertation.     

次分数布朗运动局部时的研究

设X^H={X^H(t),t∈R+}是一个取值于R^d参数为H的次分数布朗运动.本文给出了X^H在单参数情况下局部时的Holder条件和尾概率估计.同时,还给出了X^H在多参数情况下局部时的存在性及L^2表示.     

Some new almost sure results on the functional increments of the uniform empirical process

Given an observation of the uniform empirical process α_n, its functional increments α_n(u+a_n⋅)−α_n(u) can be viewed as a single random process, when u is distributed under the Lebesgue measure. We investigate the almost sure limit behaviour of the multivariate versions of these processes as n→∞ and a_n↓0. Under mild conditions on a_n, a convergence in distribution and functional limit laws are established. The proofs rely on a new extension of the usual Poissonisation tools for the local empirical process.