Asymptotics of the generating function for the volume of the Wiener sausage

Summary We consider the generating function of the voltime of the Wiener sausageC (t), which is the -neighbourhood of the Wiener path in the time interval [0,t]. For <0, the limiting behavior fort, up to logarithmic equivalence, had been determined in a celebrated work of Donsker and Varadhan. For >0 it had been investigated by van den Berg and Tóth, but in contrast to the case <0, there is no simple expression for the exponential rate known. We determine the asymptotic behaviour of this rate for small and large .     

Black holes on the plane drawn by a Wiener process

Summary We say that the discD()R ², of radius , located around the origin isp-covered in timeT by a Wiener processW(·) if for anyzD() there exists a 0tT such thatW(t) is a point of the disc of radiusp, located aroundz. The supremum of those 's (0) is studied for which,D() isp-covered inT.     

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.     

Smoothness of Brownian local times and related functionals

In this paper we show that the local time of the Brownian motion belongs to the Sobolev space for any p2 and 0<<1/p. In order to prove this result we first discuss the smoothness and integrability properties of the composition of the Dirac function with a Wiener integral W(h), and we show that this composition belongs to , for any >0 and p>1 such that +1/p>1.     

Sojourns and future infima of planar Brownian motion

Summary Let {W(t); 0t1} be a two-dimensional Wiener process starting from 0. We are interested in the almost sure asymptotic behaviour, asr tends to 0, of the processesX(r) andY(r), whereX(r) denotes the total time spent byW in the ball centered at 0 with radiusr andY(r) the distance between 0 and the curve {W(t);rt1}. While a characterization of the lower functions ofY was previously established by Spitzer [S], we characterize via integral tests its upper functions as well as the upper and lower functions ofX.     

On reflecting diffusion processes and Skorokhod decompositions

Summary LetG be ad-dimensional bounded Euclidean domain, H¹ (G) the set off in L²(G) such that f (defined in the distribution sense) is in L²(G). Reflecting diffusion processes associated with the Dirichlet spaces (H¹(G), ) on L²(G, dx) are considered in this paper, where A=(a^ij is a symmetric, bounded, uniformly ellipticd×d matrix-valued function such thata ^ij H¹(G) for eachi,j, and H¹(G) is a positive bounded function onG which is bounded away from zero. A Skorokhod decomposition is derived for the continuous reflecting Markov processes associated with (H¹(G), ) having starting points inG under a mild condition which is satisfied when G has finite (d–1)-dimensional lower Minkowski content.     

The Brownian snake and solutions of Δu=u 2 in a domain

Summary We investigate the connections between the path-valued process called the Brownian snake and nonnegative solutions of the partial differential equation u=u ² in a domain of ^d . In particular, we prove two conjectures recently formulated by Dynkin. The first one gives a complete characterization of the boundary polar sets, which correspond to boundary removable singularities for the equation u=u ². The second one establishes a one-to-one correspondence between nonnegative solutions that are bounded above by a harmonic function, and finite measures on the boundary that do not charge polar sets. This correspondence can be made explicit by a probabilistic formula involving a special class of additive functionals of the Brownian snake. Our proofs combine probabilistic and analytic arguments. An important role is played by a new version of the special Markov property, which is of independent interest.     

The moment problem on the Wiener space

Consider an L¹-continuous functional ? on the vector space of polynomials of Brownian motion at given times, suppose ? commutes with the quadratic variation in a natural sense, and consider a finite set of polynomials of Brownian motion at rational times, , mapping the Wiener space to R.In the spirit of Schmüdgen's solution to the finite-dimensional moment problem, we give sufficient conditions under which ? can be written in the form ∫⋅dμ for some probability measure μ on the Wiener space such that μ-almost surely, all the random variables are nonnegative.     

Differentiability preserving properties of a class of semigroups

It is well known that for a large class of Markov process the associated semi-group T(t)f(x)=f(y)P(t,x;dy) satisfies the Kolmogorov backward differential equation, that is, if u(t,x)=T(t)f(x) then and .In this paper we are considering the opposite problem: given the diffusion and drift coefficients we study the differentiability preserving properties of the semigroup T(t) having as infinitesimal generator .More specifically, for a large class of functions a(x) and b(x), we will prove for k=0, ..., 3 the existence of T(t) such that T(t): C ^k (I) C ^k (I) and the existence of a constant _k such that |T(t)f| _k |f| _k exp ( _k t) for fC ^k (I). Moreover an explicit expression of _k in terms of the coefficients a(x) and b(x) is obtained. As a side result we obtain the necessity of the boundary conditions imposed.This paper is a revised version of the author's Ph. D. dissertation at University of Massachusetts under W. Rosenkrantz     

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     

On the semimartingale representation of reflecting Brownian motion in a cusp

Summary LetC be the symmetric cusp {(x, y)²:–x yx ,x0} where >1. In this paper we decide whether or not reflecting Brownian motion inC has a semimartingale representation. Here the reflecting Brownian motion has directions of reflection that make constant angles with the unit inward normals to the boundary. Our results carry through for a wide class of asymmetric cusps too.     

Intrinsic Ultracontractivity for Schrödinger Operators with Mixed Boundary Conditions

Let be a domain in , . Let be a divergence form uniformly elliptic operator with Dirichlet boundary conditions on and Neumann boundary conditions on , where is a closed subset of . We prove intrinsic ultracontractivity for the semigroup associated to the Schrödinger operator , where is a potential in the Kato class, provided that is locally Lipschitz and is given by the boundary of either a Hölder domain of order or a uniformly Hölder domain of order , . Our results extend to the mixed boundary case the results of Bañuelos, Bass and Burdzy, Bass and Hsu, and Davies and Simon.     

Integration by parts on the law of the reflecting Brownian motion

We prove an integration by parts formula on the law of the reflecting Brownian motion in the positive half line, where B is a standard Brownian motion. In other terms, we consider a perturbation of X of the form X^ε=X+εh with h smooth deterministic function and ε>0 and we differentiate the law of X^ε at ε=0. This infinitesimal perturbation changes drastically the set of zeros of X for any ε>0. As a consequence, the formula we obtain contains an infinite-dimensional generalized functional in the sense of Schwartz, defined in terms of Hida's renormalization of the squared derivative of B and in terms of the local time of X at 0. We also compute the divergence on the Wiener space of a class of vector fields not taking values in the Cameron-Martin space.     

Path processes and historical superprocesses

Summary A superprocessX over a Markov process can be obtained by a passage to the limit from a branching particle system for which describes the motion of individual particles.The historical process for is the process whose state at timet is the path of over time interval [0,t]. The superprocess over the historical superprocess over —reflects not only the particle distribution at any fixed time but also the structure of family trees. The principal property of a historical process is that is a function of for alls<t. Every process with this property is calleda path process. We develop a theory of superprocesses over path processes whose core is the integration with respect to measure-functionals. By applying this theory to historical superprocesses we construct the first hitting distributions and prove a special Markov property for superprocesses.Partially supported by National Science Foundation Grant DMS-8802667     

Spitzer's condition and ladder variables in random walks

Summary Spitzer's condition holds for a random walk if the probabilities _n =P{ _n > 0} converge in Cèsaro mean to , where 0<<1. We answer a question which was posed both by Spitzer [12] and by Emery [5] by showing that whenever this happens, it is actually true that n converges to . This also enables us to give an improved version of a result in Doney and Greenwood [4], and show that the random walk is in a domain of attraction, without centering, if and only if the first ladder epoch and height are in a bivariate domain of attraction.     

Estimates of transition densities for Brownian motion on nested fractals

Summary We obtain upper and lower bounds for the transition densities of Brownian motion on nested fractals. Compared with the estimate on the Sierpinski gasket, the results require the introduction of a new exponent,d _J, related to the shortest path metric and chemical exponent on nested fractals. Further, Hölder order of the resolvent densities, sample paths and local times are obtained. The results are obtained using the theory of multi-type branching processes.     

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     

The asymptotic behaviour of local times and occupation integrals of theN-parameter Wiener process in R d

Summary LetL(x, T),xR ^d ,TR ₊ ^N , be the local time of theN-parameter Wiener processW taking values inR ^d . Even in the distribution valued casedd2N,L can be described in a series representation by means of multiple Wiener-Ito integrals. This setting proves to be a good starting point for the investigation of the asymptotic behaviour ofL(x, T) as |x|0 and/orT and of related occupation integrals asT. We obtain the rates of explosion in laws of the first order, i.e. normalized convergence laws forL(x, T) resp.X _T (f), and of the second order, i.e. normalized convergence laws forL(x, T)–E(L(x, T)) resp.X _T (f)–E(X _T (f)).This research was made during a stay at the LMU in München supported by DAAD     

Conditioned super-Brownian motion

Summary We investigate classes of conditioned super-Brownian motions, namely H-transformsP ^H with non-negative finitely-based space-time harmonic functionsH(t, ). We prove thatH ^H is the unique solution of a martingale problem with interaction and is a weak limit of a sequence of rescaled interacting branching Brownian motions. We identify the limit behaviour of H-transforms with functionsH(t, )=h(t, (1)) depending only on the total mass (1). Using the Palm measures of the super-Brownian motion we describe for an additive spacetime harmonic functionH(t, )=h(t, x) (dx) theH-transformP ^H as a conditioned super-Brownian motion in which an immortal particle moves like an h-transform of Brownian motion.     

On the log-Sobolev constant for the simple random walk on the n-cycle: the even cases

Consider the simple random walk on the n-cycle . For this example, Diaconis and Saloff-Coste (Ann. Appl. Probab. 6 (1996) 695) have shown that the log-Sobolev constant α is of the same order as the spectral gap λ. However the exact value of α is not known for n>4. (For n=2, it is a well known result of Gross (Amer. J. Math. 97 (1975) 1061) that α is . For n=3, Diaconis and Saloff-Coste (Ann. Appl. Probab. 6 (1996) 695) showed that . For n=4, the fact that follows from n=2 by tensorization.) Based on an idea that goes back to Rothaus (J. Funct. Anal. 39 (1980) 42; 42 (1981) 110), we prove that if n?4 is even, then the log-Sobolev constant and the spectral gap satisfy . This implies that when n is even and n?4.