Bouncing Skew Brownian Motions

We consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. In Gloter and Martinez (Ann Probab 41(3A):1628–1655, 2013), the evolution of the distance between the two processes, in local timescale and up to their first hitting time, is shown to satisfy a stochastic differential equation with jumps driven by the excursion process of one of the two skew Brownian motions. In this article, we show that the distance between the two processes in local timescale may be viewed as the unique continuous Markovian self-similar extension of the process described in Gloter and Martinez (2013). This permits us to compute the law of the distance of the two skew Brownian motions at any time in the local timescale, when both original skew Brownian motions start from zero. As a consequence, we give an explicit formula for the entrance law of the associated excursion process and study the Markovian dependence on the skewness parameter. The results are related to an open question formulated initially by Burdzy and Chen (Ann Probab 29(4):1693–1715, 2001).     

Branching Brownian Motions on Riemannian Manifolds: Expectation of the Number of Branches Hitting Closed Sets

For a branching Brownian motion on Riemannian manifold, we give an analytic criterion for the expectation of the number of branches hitting a closed set being finite. The author was supported in part by Grant-in-Aid for Scientific Research (No.18340033 (B)), Japan Society for the Promotion of Science.     

Quantum Mechanics and Brownian Motions

From the point of view that the present formulation of quantum mechanics is very close to the theory of Brownian motions, we search for possible origins of the quantum fluctuation within the framework of new quantization schemes, such as stochastic and/or microcanonical quantizations, for increasing additional fictitious time other than the ordinary one. On the same basis we also show that a D-dimensional quantum system is equivalent to a (D+1)-dimensional classical system.     

Branching Brownian Motion with Catalytic Branching at the Origin

We consider a branching Brownian motion in which binary fission takes place only when particles are at the origin at a rate β>0 on the local time scale. We obtain results regarding the asymptotic behaviour of the number of particles above λt at time t, for λ>0. As a corollary, we establish the almost sure asymptotic speed of the rightmost particle. We also prove a Strong Law of Large Numbers for this catalytic branching Brownian motion.     

Iterating Brownian Motions,Ad Libitum

Let B ₁,B ₂,… be independent one-dimensional Brownian motions parameterized by the whole real line such that B _i (0)=0 for every i≥1. We consider the nth iterated Brownian motion W _n (t)=B _n (B _n?1(?(B ₂(B ₁(t)))?)). Although the sequence of processes (W _n ) _n≥1 does not converge in a functional sense, we prove that the finite-dimensional marginals converge. As a consequence, we deduce that the random occupation measures of W _n converge to a random probability measure μ _∞. We then prove that μ _∞ almost surely has a continuous density which should be thought of as the local time process of the infinite iteration W _∞ of independent Brownian motions. We also prove that the collection of random variables (W _∞(t),t∈??{0}) is exchangeable with directing measure μ _∞.     

Tanaka Formula for Multidimensional Brownian Motions

We study the Tanaka formula for multidimensional Brownian motions in the framework of generalized Wiener functionals. More precisely, we show that the submartingale U(B _t –x) is decomposed in the sence of generalized Wiener functionals into the sum of a martingale and the Brownian local time, U being twice of the kernel of Newtonian potential and B _t the multidimensional Brownian motion. We also discuss on an aspect of the Tanaka formula for multidimensional Brownian motions as the Doob–Meyer decomposition.     

Moments of Brownian Motions on Lie Groups

Let (B_t)_{t ≥ 0} be a Brownian motion on with the corresponding Gaussian convolution semigroup (μ_t)_{t ≥ 0} and generator L. We show that algebraic relations between L and the generators of the matrix semigroups lead to for t → s, k ≥ 1, and all coordinates i,j. These relations will form the basis for a martingale characterization of (B_t)_{t ≥ 0} in terms of generalized heat polynomials. This characterization generalizes a corresponding result for the Brownian motion on in terms of Hermite polynomials due to J. Wesolowski and may be regarded as a variant of the Lévy characterization without continuity assumptions.     

Moments of Brownian Motions on Lie Groups

Let (B_t)_{t ≥ 0} be a Brownian motion on GL(n,\Bbb R)GL(n,{\Bbb R}) with the corresponding Gaussian convolution semigroup (μ_t)_{t ≥ 0} and generator L. We show that algebraic relations between L and the generators of the matrix semigroups (ò_{GL(n,\Bbb R)} x^?k dm_t(x))_{t 3 0}(\int_{GL(n,{\Bbb R})} x^{\otimes k}\ d\mu_t(x))_{t \ge 0} lead to E((B_t-B_s)_i,j^2k) = O((t-s)^k)E((B_t-B_s)_{i,j}^{2k}) =O((t-s)^k) for t → s, k ≥ 1, and all coordinates i,j. These relations will form the basis for a martingale characterization of (B_t)_{t ≥ 0} in terms of generalized heat polynomials. This characterization generalizes a corresponding result for the Brownian motion on \Bbb R{\Bbb R} in terms of Hermite polynomials due to J. Wesolowski and may be regarded as a variant of the Lévy characterization without continuity assumptions.     

Translated Brownian Motions and Associated Wick Products

Abstract

The concept of Wick product is strongly related to the underlying Brownian motion we have fixed on the probability space. Via the Girsanov's theorem we construct a family of new Brownian motions, obtained as translations of the original one, and to each of them we associate a Wick product. This produces a family of Wick products, named γ-Wick products, parameterized by the performed translations. We aim to describe this family of products. We also define a new family of stochastic integrals, which are related in a natural way to the γ-Wick products.     

Simulation of First-Passage Times for Alternating Brownian Motions

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by an alternating renewal process. Bounds to the first-passage-time density and distribution function are obtained, and a simulation procedure to estimate first-passage-time densities is constructed. Examples of applications to problems in environmental sciences and mathematical finance are also provided.AMS 2000 Subject Classification: 60J65, 60G40, 93E30     

On the Almost Intersections of Transient Brownian Motions

Let {B ₁ ^d (t)} and {B ^d ₂(t)} be independent Brownian motions in R ^d starting from 0 and nx respectively, and let w ^d _i (a,b) ={xR ^d : B ^d _i (t)=x for some t(a,b)}, i=1,2. Asymptotic expressions as n for the probability of dist(w ^d ₁(n ² t ₁, n ² t ₂), w ₂ ^d (0,n ² t ₃))1 with d4, respectively for the probability of dist(w ₁ ⁴(n ² t ₁,n ² t ₂),w ₂ ⁴(0,n ² t ₃))1 are obtained. As an application, an improvement of a result due to M. Aizenman concerning the intersections of Wiener sausages in R ⁴ is presented.     

Convergence in Law to Operator Fractional Brownian Motions

In this paper, we provide two approximations in law of operator fractional Brownian motions. One is constructed by Poisson processes, and the other generalizes a result of Taqqu (Z. Wahrscheinlichkeitstheor. Verw. Geb. 31:287–302, 1975).     

Regularity of Intersection Local Times of Fractional Brownian Motions

Let \(B^{\alpha_{i}}\) be an (N _i ,d)-fractional Brownian motion with Hurst index α _i (i=1,2), and let \(B^{\alpha_{1}}\) and \(B^{\alpha_{2}}\) be independent. We prove that, if \(\frac{N_{1}}{\alpha_{1}}+\frac{N_{2}}{\alpha_{2}}>d\), then the intersection local times of \(B^{\alpha_{1}}\) and \(B^{\alpha_{2}}\) exist, and have a continuous version. We also establish Hölder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and intersection points.One of the main motivations of this paper is from the results of Nualart and Ortiz-Latorre (J. Theor. Probab. 20:759–767, 2007), where the existence of the intersection local times of two independent (1,d)-fractional Brownian motions with the same Hurst index was studied by using a different method. Our results show that anisotropy brings subtle differences into the analytic properties of the intersection local times as well as rich geometric structures into the sets of intersection times and intersection points.     

On the Collision Local Time of Fractional Brownian Motions

In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.     

Singularity of Subfractional Brownian Motions with Different Hurst Indices

We prove that the probability measures generated by two subfractional Brownian motions with different Hurst indices are singular with respect to each other.     

Singularity of Fractional Brownian Motions with Different Hurst Indices

Abstract

We prove that the probability measures generated by two fractional Brownian motions with different Hurst indices are singular with respect to each other.     

Limit Theorems for Logarithmic Averages of Fractional Brownian Motions

We prove almost sure invariance principles for logarithmic averages of fractional Brownian motions.Research supported byResearch supported by     

The Spread of Branching Diffusion under Stabilizing Drift

A one-dimensional branching diffusion with a stabilizing drift is considered. We prove a theorem on the in-probability asymptotic behaviour of R ^t , the right frontier of the process over a time interval [0, t].