A Brownian Motion on the Diffeomorphism Group of the Circle

Let Diff(S ¹) be the group of orientation preserving C ^?∞? diffeomorphisms of S ¹. In 1999, P. Malliavin and then in 2002, S. Fang constructed a canonical Brownian motion associated with the H ^3/2 metric on the Lie algebra diff(S ¹). The canonical Brownian motion they constructed lives in the group Homeo(S ¹) of Hölderian homeomorphisms of S ¹, which is larger than the group Diff(S ¹). In this paper, we present another way to construct a Brownian motion that lives in the group Diff(S ¹), rather than in the larger group Homeo(S ¹).     

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.     

Fractional Brownian Flows

We consider a stochastic flow on ? ⁿ driven by a fractional Brownian motion with Hurst parameter \(H\in(\frac{1}{2},1)\) and study a tangent flow and the growth of the Hausdorff measure of sub-manifolds of ? ⁿ as they evolve under the flow.The main result is a bound on the rate of (global) growth in terms of the (local) Hölder norm of the flow.     

Torsional Rigidity for Regions with a Brownian Boundary

Let ?? ^m be the m-dimensional unit torus, m ∈ ?. The torsional rigidity of an open set Ω ? ?? ^m is the integral with respect to Lebesgue measure over all starting points x ∈ Ω of the expected lifetime in Ω of a Brownian motion starting at x. In this paper we consider Ω = ?? ^m \β[0, t], the complement of the path ß[0, t] of an independent Brownian motion up to time t. We compute the leading order asymptotic behaviour of the expectation of the torsional rigidity in the limit as t → ∞. For m = 2 the main contribution comes from the components in ??²\β0, t] whose inradius is comparable to the largest inradius, while for m = 3 most of ??³\β[0, t] contributes. A similar result holds for m ≥ 4 after the Brownian path is replaced by a shrinking Wiener sausage W _r(t)[0, t] of radius r(t) = o(t ^-1/(m-2)), provided the shrinking is slow enough to ensure that the torsional rigidity tends to zero. Asymptotic properties of the capacity of ß[0, t] in ?³ and W ₁[0, t] in ? ^m , m ≥ 4, play a central role throughout the paper. Our results contribute to a better understanding of the geometry of the complement of Brownian motion on ?? ^m , which has received a lot of attention in the literature in past years.     

Convex hull of Brownian motion ind-dimensions

We supposeK(w) to be the boundary of the closed convex hull of a sample path ofZ _t(w), 0 ≦t ≦ 1 of Brownian motion ind-dimensions. A combinatorial result of Baxter and Borndorff Neilson on the convex hull of a random walk, and a limiting process utilizing results of P. Levy on the continuity properties ofZ _t(w) are used to show that the curvature ofK(w) is concentrated on a metrically small set.     

Skew Brownian Diffusions Across Koch Interfaces

We consider planar skew Brownian motion (BM) across pre-fractal Koch interfaces ?Ω ⁿ and moving on \(\overline {{\Omega }^{n}} \cup {\Sigma }^{n}= {\Omega }^{n}_{\varepsilon }\) where Σ ⁿ is a suitable neighbourhood of ?Ω ⁿ . We study the asymptotic behaviour of the corresponding multiplicative functionals when thickness of Σ ⁿ and skewness coefficients vanish with different rates. Thus, we provide a probabilistic framework for studying diffusions across semi-permeable pre-fractal (and fractal) layers and the asymptotic analysis concerning the insulating fractal layer case.     

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.     

On the Joint Distribution of First-passage Time and First-passage Area of Drifted Brownian Motion

For drifted Brownian motion X(t) = x-µ t + B _t (µ > 0) starting from x > 0, we study the joint distribution of the first-passage time below zero ,t(x), and the first-passage area ,A(x), swept out by X till the time t(x). In particular, we establish differential equations with boundary conditions for the joint moments E[t(x) ^m A(x) ⁿ ], and we present an algorithm to find recursively them, for any m and n. Finally, the expected value of the time average of X till the time t(x) is obtained.     

Neutral Stochastic Integrodifferential Equations Driven by a Fractional Brownian Motion with Impulsive Effects and Time-varying Delays

This paper deals with the existence,uniqueness and asymptotic behaviors of mild solutions to neutral stochastic delay functional integrodifferential equations with impulsive effects, perturbed by a fractional Brownian motion B ^H , with Hurst parameter \({H \in (\frac{1}{2},1)}\). We use the theory of resolvent operators developed in Grimmer (Trans Am Math Soc 273(1982):333–349, 2009) to show the existence of mild solutions. An example is provided to illustrate the results of this work.     

Drift perturbation of subordinate Brownian motions with Gaussian component

Let d ≥ 1 and Z be a subordinate Brownian motion on R~d with infinitesimal generator ? + ψ(?),where ψ is the Laplace exponent of a one-dimensional non-decreasing L′evy process(called subordinator). We establish the existence and uniqueness of fundamental solution(also called heat kernel) pb(t, x, y) for non-local operator L~b= ? + ψ(?) + b ?, where Rb is an Rd-valued function in Kato class K_(d,1). We show that p~b(t, x, y)is jointly continuous and derive its sharp two-sided estimates. The kernel pb(t, x, y) determines a conservative Feller process X. We further show that the law of X is the unique solution of the martingale problem for(L~b, C_c~∞(R~d)) and X is a weak solution of Xt = X0+ Zt + integral from n=0 to t(b(Xs)ds, t ≥ 0).Moreover, we prove that the above stochastic differential equation has a unique weak solution.     

The Exact Hausdorff Measure of the Zero Set of Fractional Brownian Motion

Let {X(t), t∈? ^N } be a fractional Brownian motion in ? ^d of index H. If L(0,I) is the local time of X at 0 on the interval I?? ^N , then there exists a positive finite constant c(=c(N,d,H)) such that

$m_\phi\bigl(X^{-1}(0)\cap I\bigr)=cL(0,I),$

where \(\phi(t)=t^{N-dH}(\log\log\frac{1}{t})^{dH/N}\), and m _φ (E) is the Hausdorff φ-measure of E. This refines a previous result of Xiao (Probab. Theory Relat. Fields 109: 126–197, 1997) on the relationship between the local time and the Hausdorff measure of zero set for d-dimensional fractional Brownian motion on ? ^N .

     

Harnack Inequality and Regularity for a Product of Symmetric Stable Process and Brownian Motion

In this paper, we consider a product of a symmetric stable process in ? ^d and a one-dimensional Brownian motion in ?^?+?. Then we define a class of harmonic functions with respect to this product process. We show that bounded non-negative harmonic functions in the upper-half space satisfy Harnack inequality and prove that they are locally Hölder continuous. We also argue a result on Littlewood–Paley functions which are obtained by the α-harmonic extension of an L ^p (? ^d ) function.     

A joint Laplace transform for pre-exit diffusion of occupation times

For a < r < b, the approach of Li and Zhou (2014) is adopted to find joint Laplace transforms of occupation times over intervals (a, r) and (r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively.     

Regularity of Intersection Local Times of Fractional Brownian Motions

Let \(B^{\alpha_{i}}\) be an (N _i ,d)-fractional Brownian motion with Hurst index α _i (i=1,2), and let \(B^{\alpha_{1}}\) and \(B^{\alpha_{2}}\) be independent. We prove that, if \(\frac{N_{1}}{\alpha_{1}}+\frac{N_{2}}{\alpha_{2}}>d\), then the intersection local times of \(B^{\alpha_{1}}\) and \(B^{\alpha_{2}}\) exist, and have a continuous version. We also establish Hölder conditions for the intersection local times and determine the Hausdorff and packing dimensions of the sets of intersection times and intersection points.One of the main motivations of this paper is from the results of Nualart and Ortiz-Latorre (J. Theor. Probab. 20:759–767, 2007), where the existence of the intersection local times of two independent (1,d)-fractional Brownian motions with the same Hurst index was studied by using a different method. Our results show that anisotropy brings subtle differences into the analytic properties of the intersection local times as well as rich geometric structures into the sets of intersection times and intersection points.     

Boundary Non-crossings of Brownian Pillow

Let B ₀(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]²→? be two measurable functions. In this paper we derive upper and lower bounds for the boundary non-crossing probability

$\psi(u;h):=\mathbf{P}\big\{B_{0}(s,t)+h(s,t)\leq u(s,t),\forall s,t\in[0,1]\big\}.$

Further we investigate the asymptotic behaviour of ψ(u;γ h) with γ tending to ∞ and solve a related minimisation problem.

     

Weak convergence of the past and future of Brownian motion given the present

In this paper, we show that for t > 0, the joint distribution of the past {W _t?s : 0 ≤ s ≤ t} and the future {W _{t + s} :s ≥ 0} of a d-dimensional standard Brownian motion (W _s ), conditioned on {W _t ∈ U}, where U is a bounded open set in ? ^d , converges weakly in C[0,∞)×C[0,∞) as t→∞. The limiting distribution is that of a pair of coupled processes Y + B ¹,Y + B ² where Y,B ¹,B ² are independent, Y is uniformly distributed on U and B ¹,B ² are standard d-dimensional Brownian motions. Let σ _t ,d _t be respectively, the last entrance time before time t into the set U and the first exit time after t from U. When the boundary of U is regular, we use the continuous mapping theorem to show that the limiting distribution as t → ∞ of the four dimensional vector with components \((W_{\sigma _{t}},t-\sigma _{t},W_{d_{t}},d_{t}-t)\), conditioned on {W _t ∈U}, is the same as that of the four dimensional vector whose components are the place and time of first exit from U of the processes Y + B ¹ and Y + B ² respectively.     

Polar functions of multiparameter bifractional Brownian sheets

Let B^H,K ： （B^H,K（t）, t ∈R＋^N} be an （N,d）-bifractional Brownian sheet with Hurst indices H = （H1,..., HN） ∈ （0, 1）^N and K = （K1,..., KN）∈ （0, 1]^N. The characteristics of the polar functions for B^H,K are investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of B^H,K is presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov＇s entropy index for B^H,K are obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.     

Brownian Motion with Singular Time-Dependent Drift

In this paper, we study weak solutions for the following type of stochastic differential equation

Open image in new window

where \(b: [0,\infty ) \times \mathbb {R}^{d}\rightarrow \mathbb {R}^{d}\) is a measurable drift, \(W=(W_{t})_{t \ge 0}\) is a d-dimensional Brownian motion and \((s,x)\in [0,\infty ) \times \mathbb {R}^{d}\) is the starting point. A solution \(X=(X_t)_{t \ge s}\) for the above SDE is called a Brownian motion with time-dependent drift b starting from (s, x). Under the assumption that |b| belongs to the forward-Kato class \(\mathcal {F}\mathcal {K}_{d-1}^{\alpha }\) for some \(\alpha \in (0,1/2)\), we prove that the above SDE has a unique weak solution for every starting point \((s,x)\in [0,\infty ) \times \mathbb {R}^{d}\).

     

The Transition Density of Brownian Motion Killed on a Bounded Set

We study the transition density of a standard two-dimensional Brownian motion killed when hitting a bounded Borel set A. We derive the asymptotic form of the density, say \(p^A_t(\mathbf{x},\mathbf{y})\), for large times t and for \(\mathbf{x}\) and \(\mathbf{y}\) in the exterior of A valid uniformly under the constraint \(|\mathbf{x}|\vee |\mathbf{y}| =O(t)\). Within the parabolic regime \(|\mathbf{x}|\vee |\mathbf{y}| = O(\sqrt{t})\) in particular \(p^A_t(\mathbf{x},\mathbf{y})\) is shown to behave like \(4e_A(\mathbf{x})e_A(\mathbf{y}) (\lg t)^{-2} p_t(\mathbf{y}-\mathbf{x})\) for large t, where \(p_t(\mathbf{y}-\mathbf{x})\) is the transition kernel of the Brownian motion (without killing) and \(e_A\) is the Green function for the ‘exterior of A’ with a pole at infinity normalized so that \(e_A(\mathbf{x}) \sim \lg |\mathbf{x}|\). We also provide fairly accurate upper and lower bounds of \(p^A_t(\mathbf{x},\mathbf{y})\) for the case \(|\mathbf{x}|\vee |\mathbf{y}|>t\) as well as corresponding results for the higher dimensions.