Strong Feller Property of Sticky Reflected Distorted Brownian Motion

Using Girsanov transformations we construct from sticky reflected Brownian motion on \([0,\infty )\) a conservative diffusion on \(E:=[0,\infty )^n\), \(n \in \mathbb {N}\), and prove that its transition semigroup possesses the strong Feller property for a specified general class of drift functions. By identifying the Dirichlet form of the constructed process we characterize it as sticky reflected distorted Brownian motion. In particular, the relations of the underlying analytic Dirichlet form methods to the probabilistic methods of random time changes and Girsanov transformations are presented. Our studies of the mathematical model are motivated by its applications to the dynamical wetting model with \(\delta \)-pinning and repulsion.     

The Weak Convergence Theorem for the Distribution of the Maximum of a Gaussian Random Walk and Approximation Formulas for its Moments

In this study, asymptotic expansions of the moments of the maximum (M(β)) of Gaussian random walk with negative drift (???β), β?>?0, are established by using Bell Polynomials. In addition, the weak convergence theorem for the distribution of the random variable Y(β)?≡?2?β?M(β) is proved, and the explicit form of the limit distribution is derived. Moreover, the approximation formulas for the first four moments of the maximum of a Gaussian random walk are obtained for the parameter β?∈?(0.5, 3.2] using meta-modeling.     

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In this paper the local functional limit theorem for incrementsof a Brownian motion is derived with large and small deviations, and the local functionalconvergence rate for increments of Brownian motion in Holder norm with respect to(r,p)capacity is estimated.     

A New Approach to Fractional Brownian Motion of Order n Via Random Walk in the Complex Plane

By using a very simple model of random walk defined on the roots of the unity in the complex plane, one can obtain the model of fractional brownian motion of order n which has been previously introduced in the form of rotating Gaussian white noise. This definition of fractional Brownian motion of order n as the limit of complex random walk, provides new insights in its genuine practical meaning, and in the derivation of most of the related theoretical results. Itôs stochastic calculus can be extended in a straightforward manner to the path integral so generated in the complex plane. The corresponding probability distribution is stable in Levys sense, a Lindebergs like central limit theorem is stated, together with a Feyman–Kacs formula and a Dinkins formula. Then one exhibits the relation between the Hausdorffs dimension and the pattern entropy of the process. The probabilistic approach here is different from Hochbergs and Mandelbrots. Like Saintys, it uses the complex roots of the unity, but it is much more straightforward and simple, and it is the only one which provides results which are fully consistent with the so-called Kramers–Moyal expansion.     

Rates of Convergence for Random Walk Summation

We prove a Marcinkiewicz-Zygmund type strong law of large numbersfor random walk summation methods. We show that the rate ofconvergence of this type of sums is equivalent to the existenceof moments of the summands.     

Exponential Convergence in Probability for Empirical Means of Brownian Motion and of Random Walks

Given a Brownian motion (B _t) _t0 in R ^d and a measurable real function f on R ^d belonging to the Kato class, we show that 1/t ₀ ^t f(B _s ) ds converges to a constant z with an exponential rate in probability if and only if f has a uniform mean z. A similar result is also established in the case of random walks.     

A Darling-Erdos-Type Theorem for Standardized Random Walk Summation

In this paper we consider the random walk summation method whichincludes, for example, the Borel, Euler, Meyer-König andValiron methods, and obtain a Darling-Erds-type limit theoremfor the maximum of normalized sums defined by random walk summation.     

Weak Convergence of a Planar Random Evolution to the Wiener Process

The weak convergence of the distributions of a symmetrical random evolution in a plane controlled by a continuous-time homogeneous Markov chain with n, n3, states to the distribution of a two-dimensional Brownian motion, as the intensity of transitions tends to infinity, is proved.     

Strassen定理的一个推广

该文得到了在(p,r) -容度及 Holder 范数意义下的Schilder 定理. 作为它的一个应用, 作者在此情形下证明了一个更强的Strassen 重对数律.     

A Functional Limit Theorem for Random Walk Conditioned to Stay Non-Negative

In this paper we consider an aperiodic integer-valued randomwalk S and a process S* that is a harmonic transform of S killedwhen it first enters the negative half; informally, S* is ‘Sconditioned to stay non-negative’. If S is in the domainof attraction of the standard normal law, without centring,a suitably normed and linearly interpolated version of S convergesweakly to standard Brownian motion, and our main result is thatunder the same assumptions a corresponding statement holds forS*, the limit of course being the three-dimensional Bessel process.As this process can be thought of as Brownian motion conditionedto stay non-negative, in essence our result shows that the interchangeof the two limit operations is valid. We also establish somerelated results, including a local limit theorem for S*, anda bivariate renewal theorem for the ladder time and height process,which may be of independent interest.     

Convergence of Martingale and Moderate Deviations for a Branching Random Walk with a Random Environment in Time

We consider a branching random walk on \({\mathbb {R}}\) with a stationary and ergodic environment \(\xi =(\xi _n)\) indexed by time \(n\in {\mathbb {N}}\). Let \(Z_n\) be the counting measure of particles of generation n and \(\tilde{Z}_n(t)=\int \mathrm{e}^{tx}Z_n(\mathrm{d}x)\) be its Laplace transform. We show the \(L^p\) convergence rate and the uniform convergence of the martingale \(\tilde{Z}_n(t)/{\mathbb {E}}[\tilde{Z}_n(t)|\xi ]\), and establish a moderate deviation principle for the measures \(Z_n\).     

随机加权U-过程的条件弱收敛

假定Ｆ是一个由函数组成的集合．在这篇文章中,我们研究了指标集Ｆ上２阶的随机加权Ｕ－过程的条件弱收敛性质,导出了Ｕ－过程的随机加权逼近．     

Invariant Measures for Transient Reflected Brownian Motion in a Wedge: Existence and Uniqueness

Our main result is the existence and uniqueness of an invariant measure for reflected Brownian motion (RBM) in a wedge that is transient to ∞. We also consider this question for RBM that has been killed at the corner of the wedge.     

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??The local limit theorems for the minimum of a random walk with Markovian increments is given, with using Presman's factorization theory. This result implies the asymptotic behaviour of the survival probability for a critical branching process in Markovian depended random environment.     

On the Exit Distribution of Partially Reflected Brownian Motion in Planar Domains

We show that the dimension of the exit distribution of planar partially reflected Brownian motion can be arbitrarily close to 2.