Ruin probability for L関y risk process compounded by geometric Brownian motion

In this paper, we assume that the surplus of an insurer follows a L暍y risk process and the insurer would invest its surplus in a risky asset, whose prices are modeled by a geometric Brownian motion. It is shown that the ruin probabilities (by a jump or by oscillation) of the resulting surplus process satisfy certain integro-differential equations.     

Positive recurrence for reflecting Brownian motion in?higher dimensions

Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with state space the d-dimensional nonnegative orthant, in the interior of which the processes evolve according to a Brownian motion, and that reflect against the boundary in a specified manner. A standard problem is to determine under what conditions the process is positive recurrent. Necessary and sufficient conditions for positive recurrence are easy to formulate in d=2, but not in d??3. Fluid paths are solutions of deterministic equations that correspond to the random equations of the SRBM. A standard result of Dupuis and Williams (in Ann. Probab. 22:680?C702, 1994) states that when every fluid path associated with the SRBM is attracted to the origin, the SRBM is positive recurrent. Employing this result, El Kharroubi et al. (in Stoch. Stoch. Rep. 68:229?C253, 2000; Math. Methods Oper. Res. 56:243?C258, 2002) gave sufficient conditions involving fluid paths for positive recurrence of SRBM in d=3. Here, we discuss two recent results regarding necessary conditions for positive recurrence of SRBM in d??3. Bramson et al. (in Ann. Appl. Probab. 20:753?C783, 2010) showed that the conditions in El Kharroubi et al. (Math. Methods Oper. Res. 56:243?C258, 2002) are, in fact, necessary in d=3. On the other hand, Bramson (in Ann. Appl. Probab., to appear, 2011) provided a family of positive recurrent SRBMs, in d??6, with linear fluid paths that diverge to infinity. The latter result shows in particular that the converse of the Dupuis?CWilliams result does not hold.     

Stratonovich’s signatures of Brownian motion determine Brownian sample paths

The signature of Brownian motion in $\mathbb R ^{d}$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $d\ge 2$ , almost all Brownian motion sample paths (running up to time $T$ ) are determined by their signature over $[0,T]$ .     

Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion

Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy.     

An action functional for Lévy Brownian motion

Stoll's construction [7] of Lévy Brownian motion l on ^d as a white noise integral is used to obtain an action functional I(x) defined for the surfaces x of l. This provides a Cameron-Martin formula for translation of Lévy measure , and also a large deviation principle for scaled Lévy measures . Proofs follow the lines of [2], where nonstandard techniques were used to give natural proofs of the corresponding results for Wiener measure.The research for this paper was supported partly by a grant from the SERC.     

A nonstandard construction of Lévy Brownian motion

Summary A nonstandard construction of Lévy Brownian motion on ^d is presented, which extends R.M. Anderson's nonstandard representation of Brownian motion. It involves a nonstandard construction of white noise and gives as a classical corollary a new white noise integral representation of Lévy Brownian motion. Moreover, a new invariance principle can be deduced in a similar way as Donsker's invariance principles follows from Anderson's construction.     

On Itô s formula for multidimensional Brownian motion

Consider a d-dimensional Brownian motion X = (X ¹,…,X ^d ) and a function F which belongs locally to the Sobolev space W ^1,2. We prove an extension of It? s formula where the usual second order terms are replaced by the quadratic covariations [f _k (X), X ^k ] involving the weak first partial derivatives f _k of F. In particular we show that for any locally square-integrable function f the quadratic covariations [f(X), X ^k ] exist as limits in probability for any starting point, except for some polar set. The proof is based on new approximation results for forward and backward stochastic integrals. Received: 16 March 1998 / Revised version: 4 April 1999     

Equidistribution and Brownian motion on the Sierpiński gasket

We introduce several concepts of discrepancy for sequences on the Sierpiski gasket. Furthermore a law of iterated logarithm for the discrepancy of trajectories of Brownian motion is proved. The main tools for this result are regularity properties of the heat kernel on the Sierpiski gasket. Some of the results can be generalized to arbitrary nested fractals in the sense of T. Lindstrøm.With 2 FiguresDedicated to Prof. Edmund Hlawka on the occasion of his 80^th birthdayThe authors are supported by the Austrian Science Foundation project Nr. P10223-PHY and by the Austrian-Italian scientific cooperation program project Nr. 39     

Symmetric stochastic integrals with respect to p-adic Brownian motion†

In this paper, we consider complex-valued Brownian motion with p-adic time index and the associated abstract Wiener space. We define symmetric stochastic integrals with respect to p-adic Brownian motion. We also provide a sufficient condition for the existence of symmetric stochastic integrals and present a relation to the adjoint of the Malliavin derivatives.     

Exit times from cones in ℝ n of Brownian motion

Summary For a fairly general class of cones inn dimensions (n3) we determine the corresponding distributions of Brownian first exit times. Asymptotic results may then be read off.This paper is a generalization of the author's Ph.D. dissertation completed in May 1984 at the Massachusetts Institute of Technology under the supervision of Professor R.M. DudleyThis research was supported in part by NSF grant DMS-8301367     

A version of Pitman's 2M — X theorem for geometric Brownian motions

We show that geometric Brownian motion with parameter μ, i.e., the exponential of linear Brownian motion with drift μ, divided by its quadratic variation process is a diffusion process. Taking logarithms and an appropriate scaling limit, we recover the Rogers-Pitman extension to Brownian motion with drift of Pitman's representation theorem for the three-dimensional Bessel process. Time inversion and generalized inverse Gaussian distributions play crucial roles in our proofs.     

Power law Pólya’s urn and fractional Brownian motion

We introduce a natural family of random walks $S_n$ on $\mathbb{Z }$ that scale to fractional Brownian motion. The increments $X_n := S_n - S_{n-1} \in \{\pm 1\}$ have the property that given $\{ X_k : k < n \}$ , the conditional law of $X_n$ is that of $X_{n - k_n}$ , where $k_n$ is sampled independently from a fixed law $\mu $ on the positive integers. When $\mu $ has a roughly power law decay (precisely, when $\mu $ lies in the domain of attraction of an $\alpha $ -stable subordinator, for $0<\alpha <1/2$ ) the walks scale to fractional Brownian motion with Hurst parameter $\alpha + 1/2$ . The walks are easy to simulate and their increments satisfy an FKG inequality. In a sense we describe, they are the natural “fractional” analogues of simple random walk on $\mathbb{Z }$ .     

Almost sure Kallianpur–Robbins laws for Brownian motion in the plane

The Kallianpur–Robbins law describes the long term asymptotic behaviour of integrable additive functionals of Brownian motion in the plane. In this paper we prove an almost sure version of this result. It turns out that, differently from many known results, this requires an iterated logarithmic average. A similar result is obtained for the small scales asymptotic by means of an ergodic theorem of Chacon–Ornstein type, which allows an exceptional set of scales. Received: 8 May 1998 / Revised version: 1 December 1999 / Published online: 8 August 2000     

The Kolmogorov–Čentsov theorem and Brownian motion in vector lattices

The well known Kolmogorov–?entsov theorem is proved in a Dedekind complete vector lattice (Riesz space) with weak order unit on which a strictly positive conditional expectation is defined. It gives conditions that guarantee the Hölder-continuity of a stochastic process in the space. We discuss the notion of independence of projections and elements in the vector lattice and use this together with the Kolmogorov–?entsov theorem to give an abstract definition of Brownian motion in a vector lattice. This definition captures the fact that the increments in a Brownian motion are normally distributed and that the paths are continuous.     

Asymptotics for stochastic reaction–diffusion equation driven by subordinate Brownian motion

We study the ergodicity of stochastic reaction–diffusion equation driven by subordinate Brownian motion. After establishing the strong Feller property and irreducibility of the system, we prove the tightness of the solution’s law. These properties imply that this stochastic system admits a unique invariant measure according to Doob’s and Krylov–Bogolyubov’s theories. Furthermore, we establish a large deviation principle for the occupation measure of this system by a hyper-exponential recurrence criterion. It is well known that S(P)DEs driven by $\alpha$-stable type noises do not satisfy Freidlin–Wentzell type large deviation, our result gives an example that strong dissipation overcomes heavy tailed noises to produce a Donsker–Varadhan type large deviation as time tends to infinity.     

How large must be the difference between local time and mesure du voisinage of Brownian motion?

This paper presents a lower bound for the distance between local time and mesure du voisinage of Brownian motion.