Path Collapse for an Inhomogeneous Random Walk

On an open interval we follow the paths of a Brownian motion which returns to a fixed point as soon as it reaches the boundary and restarts afresh indefinitely. We determine that two paths starting at different points either cannot collapse or they do so almost surely. The problem can be modelled as a spatially inhomogeneous random walk on a group and contrasts sharply with the higher dimensional case in that if two paths may collapse they do so almost surely.     

On the strategic origin of Brownian motion in finance

This paper is concerned with the strategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information.  The model turns out to be a zero-sum repeated game with one-sided information, as introduced by Aumann and Maschler.  The stochastic evolution of the price system can be explicitly computed in the n times repeated case. As n grows to ∞, this process tends to a continuous time martingale related to a Brownian Motion.  This paper provides in this way an endogenous justification for the appearance of Brownian Motion in Finance theory. Received: February 2002     

LINEAR SEARCH FOR A BROWNIAN TARGET MOTION

A target is assumed to move according to a Brownian motion on the real line. The searcher starts from the origin and moves in the two directions from the starting point.The object is to detect the target. The purpose of this paper is to find the conditions under which the expected value of the first meeting time of the searcher and the target is finite,and to show the existence of a search plan which made this expected value minimum.     

平面运动学位似运动Steiner公式的推广

对单参数闭平面复意义位似运动，给出了Muller提出的Steiner公式和混合面公式的表达式。利用推广的Steiner公式得到了位似运动的Holditch定理．作为特例，给出了Muller位似比h≡1时的结果。     

非退化扩散过程的极性与相交性

本文讨论非退化扩散过程的极性，得到了几个较好的充分条件，它可看作[1]的进一步深化，此外，我们将这些结果用来研究两个独立的非退化扩散过程的相交性，得到了一些有意思的结果。     

Nonequilibrium Brownian dynamics simulations of shear thinning in concentrated colloidal suspensions

The effect of interparticle forces on shear thinning in concentrated aqueous and nonaqueous colloidal suspensions was studied using nonequilibrium Brownian dynamics. Hydrodynamic interactions among particles were neglected. Systems of 108 particles were studied at volume fractions of 0.2 and 0.4. For the nonaqueous systems, shear thinning could be correlated with the gradual breakup of small flocs present because of the weak, attractive secondary minimum in the interparticle potential. At the highest shear rate for=0.4, the particles were organized into a hexagonally packed array of strings. For the strongly repulsive aqueous systems, the viscosity appeared to be a discontinuous function of the shear rate. For=0.4, this discontinuity coincided with a transition from a disordered state to a lamellar structure for the suspension.     

On Weak Solutions of an Integral Equation Driven by a p-Semimartingale of Special Type

We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained.     

Single-server queues with spatially distributed arrivals

Consider a queueing system where customers arrive at a circle according to a homogeneous Poisson process. After choosing their positions on the circle, according to a uniform distribution, they wait for a single server who travels on the circle. The server's movement is modelled by a Brownian motion with drift. Whenever the server encounters a customer, he stops and serves this customer. The service times are independent, but arbitrarily distributed. The model generalizes the continuous cyclic polling system (the diffusion coefficient of the Brownian motion is zero in this case) and can be interpreted as a continuous version of a Markov polling system. Using Tweedie's lemma for positive recurrence of Markov chains with general state space, we show that the system is stable if and only if the traffic intensity is less than one. Moreover, we derive a stochastic decomposition result which leads to equilibrium equations for the stationary configuration of customers on the circle. Steady-state performance characteristics are determined, in particular the expected number of customers in the system as seen by a travelling server and at an arbitrary point in time.     

Random walk in an inhomogeneous medium with local impurities

In spite of Sinai's result that the decay of the velocity autocorrelation function for a random walk on ^d (d=2) can drastically change if local impurities are present, it is shown that local impurities can not abolish weak convergence to the Brownian motion if d2.     

双子佯谬与星际航行

计算了在两个假想的星际航行方案中,与"双子佯谬"相关的时间差别.这种差别体现了惯性与非惯性参考系经历的时间有绝对差异,而不再是"相对"效应.