Thin points for Brownian motion

Let Θ(x,r) denote the occupation measure of the ball of radius r centered at x for Brownian motion {W_t}_0≤t≤1 in . We prove that for any analytic set E in [0,1], we have

Full-size image

, where dim_P(E) is the packing dimension of E. We deduce that for any a≥1, the Hausdorff dimension of the set of “thin points” x for which

Full-size image

, is almost surely 2−2/a; this is the correct scaling to obtain a nondegenerate “multifractal spectrum” for the “thin” part of Brownian occupation measure. The methods of this paper differ considerably from those of our work on Brownian thick points, due to the high degree of correlation in the present case. To prove our results, we establish general criteria for determining which deterministic sets are hit by random fractals of ‘limsup type' in the presence of long-range correlations. The hitting criteria then yield lower bounds on Hausdorff dimension. This refines previous work of Khoshnevisan, Xiao and the second author, that required decay of correlations.     

Flat points of two-dimensional Brownian motion

Summary SupposeZ(·) is a two-dimensional Brownian motion. It is shown that a.s. there existt ₀ and >0 such thatZ(t ₀) is an extremal point of the convex hull of {Z(t)|t ₀–tt₀} and also an extremal point of the convex hull of {Z(t)|t ₀tt₀+} and, moreover, the tangent lines to the convex hulls atZ(t ₀) form a non-zero angle.The result is related to the following unsolved problem of S.J. Taylor. Do there exist a.s.t ₀ and >0 such that the intersection of the convex hulls of {Z(t)|t ₀–tt₀} and {Z(t)|t ₀tt₀+} contains onlyZ(t ₀)?This research was partially supported by Grant-in-Aid for Scientific Research (No. 400101540202), Ministry of Education, Science and Culture     

Plane Brownian motion has strictlyn-multiple points

It is shown that, almost surely, for all naturaln, there are points which the plane Brownian motion visitsexactly n times.     

The most visited site of Brownian motion and simple random walk

Summary Let L(t, x) be the local time at x for Brownian motion and for each t, let } 0;L(t,x) \vee L(t, - x) = \mathop {\sup }\limits_y L(t,y)\} $$ " align="middle" border="0"> , the absolute value of the most visited site for Brownian motion up to time t. In this paper we prove that ¯V(t) is transient and obtain upper and lower bounds for the rate of growth of ¯V(t). The main tools used are the Ray-Knight theorems and William's path decomposition of a diffusion. An invariance principle is used to get analogous results for simple random walks. We also obtain a law of the iterated logarithm for ¯V(t).This research was partially supported by NSF Grants MCS 83-00581 and MCS 83-03297     

Random fields associated with multiple points of the Brownian motion

Let X_t be the Brownian motion in $\text{R}$^d. The random set Γ = {(t₁,…, t_n, z): X_tl = ··· = X_tn = z} in $\text{R}$^{d + n} is empty a.s. except in the following cases: (a) n = 1, d = 1, 2,…; (b) d = 2, n = 2, 3,…; (c) d = 3, n = 2. In each of these cases, a family of random measures M_λ concentrated on Γ is constructed (λ takes values in a certain class of measures on $\text{R}$^d). Measures M_λ characterize the time-space location of self-intersections for Brownian paths. If n = d = 1, then M_λ(dt, dz) = λ(dz) N_z(dt) where N₂ is the local time at z. In the case n = 2, the set Γ can be identified with the set of Brownian loops. The measure M_λ “explodes” on the diagonal {t₁ = t₂} and, to study small loops, a random distribution which regularizes M_λ is constructed.     

Multiple points of trajectories of multiparameter fractional Brownian motion

Consider 0<α<1 and the Gaussian process Y(t) on ℝ ^N with covariance E(Y(s)Y(t))=|t|^2α+|s|^2α−|t−s|^2α, where |t| is the Euclidean norm of t. Consider independent copies X ¹,…,X ^d of Y and␣the process X(t)=(X ¹(t),…,X ^d (t)) valued in ℝ ^d . When kN≤␣(k−1)αd, we show that the trajectories of X do not have k-multiple points. If N<αd and kN>(k−1)αd, the set of k-multiple points of the trajectories X is a countable union of sets of finite Hausdorff measure associated with the function ϕ(ɛ)=ɛ ^{k N /α−( k −1) d} (loglog(1/ɛ)) ^k . If N=αd, we show that the set of k-multiple points of the trajectories of X is a countable union of sets of finite Hausdorff measure associated with the function ϕ(ɛ)=ɛ ^d (log(1/ɛ) logloglog 1/ɛ) ^k . (This includes the case k=1.) Received: 20 May 1997 / Revised version: 15 May 1998     

On the sub-mixed fractional Brownian motion

Let {SHt, t ≥ 0} be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 H 1. Its main properties are studied.They suggest that SHlies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SHis not a semi-martingale.     

On the oscillation of the Brownian motion process

Paley, Wiener and Zygmund proved that, with probability 1, Brownian paths never satisfy a Lipschitz condition of order greater than 1/2. This result is improved by showing that they never satisfy even a Lipschitz condition of order 1/2 with a sufficiently small Lipschitz constant. This research was sponsored by National Science Grant NSF-GP-316 at Columbia University.     

On the time inhomogeneous skew Brownian motion

This paper is devoted to the construction of a solution for the “Inhomogeneous skew Brownian motion” equation, which first appeared in a seminal paper by Sophie Weinryb, and recently, studied by Étoré and Martinez. Our method is based on the use of the Balayage formula. At the end of this paper we study a limit theorem of solutions.     

Brownian motion reflected on Brownian motion

 We study Brownian motion reflected on an ``independent' Brownian path. We prove results on the joint distribution of both processes and the support of the parabolic measure in the space-time domain bounded by a Brownian path. We show that there exist two different natural local times for a Brownian path reflected on a Brownian path. Received: 25 October 2000 / Revised version: 30 March 2001 / Published online: 20 December 2002     

On weak convergence to Brownian motion

Summary We consider a minimal form of the usual conditions for the dependent central limit theorem and invariance principle for near martingales. We show that these conditions imply convergence to Brownian motion in a way that is slightly stronger than weak convergence in D[0,). On the other hand, if a sequence of processes with paths in D[0,) converges to Brownian motion in this way, then we can always find a sequence of partitions of the time axis that is such that these conditions hold for the corresponding array of increments.     

On the strategic origin of Brownian motion in finance

This paper is concerned with the strategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information.  The model turns out to be a zero-sum repeated game with one-sided information, as introduced by Aumann and Maschler.  The stochastic evolution of the price system can be explicitly computed in the n times repeated case. As n grows to ∞, this process tends to a continuous time martingale related to a Brownian Motion.  This paper provides in this way an endogenous justification for the appearance of Brownian Motion in Finance theory. Received: February 2002     

On the occupation times of cones by Brownian motion

Summary We study some features concerning the occupation timeA _t of a d-dimensional coneC by Brownian motion. In particular, in the case whereC is convex, we investigate the asymptotic behaviour ofP(A₁u0, when the Brownian motion starts at the vertex ofC. We also give the precise integral test, which decides whether a.s., lim inf _t A _t/(tf(t))=0 or for a decreasing functionf.     

On the conditioned exit measures of super Brownian motion

In this paper we present a martingale related to the exit measures of super Brownian motion. By changing measure with this martingale in the canonical way we have a new process associated with the conditioned exit measure. This measure is shown to be identical to a measure generated by a non-homogeneous branching particle system with immigration of mass. An application is given to the problem of conditioning the exit measure to hit a number of specified points on the boundary of a domain. The results are similar in flavor to the “immortal particle” picture of conditioned super Brownian motion but more general, as the change of measure is given by a martingale which need not arise from a single harmonic function. Received: 27 August 1998 / Revised version: 8 January 1999