Tanaka's formula for multiple intersections of planar Brownian motion

We establish a Tanaka-like formula relating the local times of r and r + 1 fold self-intersections of a Brownian path in the plane.     

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     

Generalized Ito's formula and additive functionals of Brownian motion

Summary An extension of Ito's formula to convex functions is obtained, and a version of its converse is investigated. By using the generalized Ito's formula obtained here and that obtained by G. Brosamler for higher dimensional Brownian motion, a transparent proof of the correspondence between measures and nonnegative continuous (homogeneous) additive functionals is given.     

带跳的分数维Brown 运动幂变差的渐近行为

本文研究了X_t = B^H_t + ξ_t 现实幂变差的渐近理论, B^H 为Hurst 指数为H∈(0,1) 的分数维Brown 运动,ξ为与B^H独立的非Gauss Lévy 过程, 我们给出了其大数定律, 以及经适当中心化的中 心极限定理, 这些结果将为处理具有长期记忆跳过程的统计问题提供理论基础.     

Harnack inequality and derivative formula for SDE driven by fractional Brownian motion

In the paper, Harnack inequality and derivative formula are established for stochastic differential equation driven by fractional Brownian motion with Hurst parameter H < 1/2. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.     

Some limit theorems of killed Brownian motion

In this paper, we prove some limit theorems for killed Brownian motion during its life time. The emphases are on quasi-stationarity and quasi-ergodicity and related problems. On one hand, using an eigenfunction expansion for the transition density, we prove the existence and uniqueness of both quasi-stationary distribution (qsd) and mean ratio quasi-stationary distribution (mrqsd). The later is shown to be closely related to laws of large numbers (LLN) and to quasi-ergodicity. We further show that the mrqsd is the unique stationary distribution of a certain limiting ergodic diffusion process of the BM conditioned on not having been killed. We also show that a phase transition occurs from mrqsd to qsd. On the other hand, we study the large deviation behavior related to the above problems. A key observation is that the mrqsd is the unique minimum of certain large deviation rate function. We further prove that the limiting diffusion process also satisfies a large deviation principle with the rate function attaining its unique minimum at the mrqsd. These give interpretations of the mrqsd from different points of view, and establish some intrinsic connections among the above topics. Some general results concerning Yaglom limit, moment convergence and LLN are also obtained.     

Some properties of the sub-fractional Brownian motion

We study several properties of the sub-fractional Brownian motion (fBm) introduced by Bojdecki et al. related to those of the fBm. This process is a self-similar Gaussian process depending on a parameter H ∈ (0, 2) with non stationary increments and is a generalization of the Brownian motion (Bm).

The strong variation of the indefinite stochastic integral with respect to sub-fBm is also discussed.     

Some properties of the exit measure for super Brownian motion

 We consider the exit measure of super Brownian motion with a stable branching mechanism of a smooth domain D of ℝ ^d . We derive lower bounds for the hitting probability of small balls for the exit measure and upper bounds in the critical dimension. This completes results given by Sheu [22] and generalizes the results of Abraham and Le Gall [2]. Because of the links between exits measure and partial differential equations, those results imply bounds on solutions of elliptic semi-linear PDE. We also give the Hausdorff dimension of the support of the exit measure and show it is totally disconnected in high dimension. Eventually we prove the exit measure is singular with respect to the surface measure on ∂D in the critical dimension. Our main tool is the subordinated Brownian snake introduced by Bertoin, Le Gall and Le Jan [4]. Received: 6 December 1999 / Revised version: 9 June 2000 / Published online: 11 December 2001     

Some properties of Kagi and Renko moments for Brownian motion

Probabilistic characteristics of Kagi and Renko techniques are studied in the paper. Within the framework of the Bachelier model, a formula for the expected gain of a trader following the Kagi strategy is derived. In addition, some properties of the range and downfall of the Brownian motion are obtained.     

Some limit results on supremum of Shepp statistics for fractional Brownian motion

Define the incremental fractional Brownian field Z_H(τ,s)=B_H(s+τ)-B_H(s),where B_H(s) is a standard fractional Brownian motion with Hurst parameter H ∈(0,1).In this paper,we first derive an exact asymptotic of distribution of the maximum M_H(T_u)=sup_τ∈[0,1],s∈[0,xT_u]Z_H(τ,s),which holds uniformly for x ∈[A,B]with A,B two positive constants.We apply the findings to analyse the tail asymptotic and limit theorem of MH(τ) with a random index τ.In the end,we also prove an ahnost sure limit theorem for the maximum M_(1/2)(T) with non-random index T.     

关于Primitive布朗运动增量的一些下极限结果

Let {W(t);t≥0} be a standard Brownian motion. For a positive integer m,define a Gaussian process Xm(t)=(1/m!)∫^1 0(t-s)^mdW(s). In this paper the liminf behavior of the increments of this process is discussed by establishing some probability inequalities. Some previous results are extended and improved.     

Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

Any solution of the functional equation

On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

The derivative of self-intersection local time (DSLT) for Brownian motion was introduced by Rosen (2005) and subsequently used by others to study the L²$L^2$ and L³$L^3$ moduli of continuity of Brownian local time. A version of the DSLT for fractional Brownian motion (fBm) was introduced in Yan et al. (2008); however, the definition given there presents difficulties, since it is motivated by an incorrect application of the fractional Itô formula. To rectify this, we introduce a modified DSLT for fBm and prove existence using an explicit Wiener chaos expansion. We will then argue that our modification is the natural version of the DSLT by rigorously proving the corresponding Tanaka formula. This formula corrects a formal identity given in both Rosen (2005) and Yan et al. (2008). In the course of this endeavor we prove a Fubini theorem for integrals with respect to fBm. The Fubini theorem may be of independent interest, as it generalizes (to Hida distributions) similar results previously seen in the literature. As a further byproduct of our investigation, we also provide a small correction to an important technical second-moment bound for fBm which has appeared in the literature many times.     

Some limit results for probabilities estimates of Brownian motion with polynomial drift

Let (B _t + f(t)) _t∈[0,+∞) be a Brownian motion with polynomial drift f(t), where f(t) is a polynomial. Some Limit Results for Lower tail and large deviation probabilities estimates, and Level crossing probabilities estimates of (B _t + f(t)) _t∈[0,+∞) are given in this paper.