The brownian-motion tag has no wiki summary.

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### Order statistics of Brownian motions

I've been struggling with proving a conjecture concerning order statistics of Brownian motions for a while. The conjecture I'm looking to prove is the following: (I have run Monte Carlo simulations ...

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### Wiener measure of hitting sets A,B but not C (or easier hitting A but not C)

I am trying to formulate the measure of event
$E=\{B[0\infty)\cap A,B \neq \varnothing$ and $B[0\infty)\cap C= \varnothing\}$,
where $B[0\infty)$ is a Brownian path and $A,B,C$ are pairwise ...

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### Probability of hitting a Borel set by transient Brownian motion ($d\geq 3$)

I am looking for references/progress made in estimating the hitting probability for Borel sets.
For spheres we have $P_{x}(T_{B_{r}(0)}<\infty)=(\frac{|r|}{|x|})^{d-2}$, where $x=B_{0}$ for ...

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### Branching Brownian Motion and the KPP equation

I have troubles understanding the proof of the connection between BBM and KPP equation. I mean the proof of the next lemma from the lecture notes of Anton Bovier about BBM, link. This is almost whole ...

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### Time Brownian motion spends above a curve

Let $W(t)$ be Brownian motion on the positive real line. I am looking for the critical function $g(t)$ sucht that
$$\int_0^\infty Ind(W(t) > g(t)) dt = \infty$$
vs.
$$\int_0^\infty Ind(W(t) > ...

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### Properties of the algebraic self-difference set of Brownian motion zeros

As I was trying to exhibit new interesting(?) path transformations of Brownian motion, I became interested in
the (random) set of times $t$ such that $B(t)=B(t+1)=0$, where $B(t)$ denotes a standard ...

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### Fundamental theorem of calculus for iterated stochastic integrals

I'm trying to find the rate (or a bound for it) with which an iterated integral of the type
$$\int_{-h}^0 \int_{-h}^{t} A_s d B_s A_t d B_t$$
converges to zero (in probability/distribution) for $h ...

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### Properties of the time integral of Wiener process

Let $W_t$ be a Wiener process and consider the time integral
$$ X_T:= \int_0^T W_t dt $$
It is often mentionend in literature that $X_T$ is a Gaussian
with mean 0 and variance $T^3/6$.
I am ...

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### number of times Brownian motion hits boundaries

Any experts here please direct me to some appropriate keywords that I can search for. Consider a Brownian motion constrained to an upper and lower boundaries. Let's say I want to know that how many ...

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### Escape Time of Fractional Brownian Motion

Let $B(t)$ be Brownian motion with $B(0)=x>0$ and let $A>x$. It is well known that the expected time for $B(t)$ to escape the interval $[0,A]$ is equal to $x(A-x)$.
Is the expected time known ...

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### Cross variation two not independent Brownian motions

How can I calculate the cross variation between a standard Brownian motion $(B_t)_{t\geq 0}$ and the process $(B^T_{t})_{t\geq T}$ given by $B^T_t= B_t-B_{t-T}$? Here $T$ is just a positive number.
I ...

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608 views

### Do Random Walks on the Hexagonal Lattice have a limit?

For every positive integer $n$, consider a regular hexagon $\mathrm{H}_n$ such that
the distance of each vertex from the center is $\frac{1}{\sqrt{n}}$. That in turn
induces a tiling of ...

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### Area covered by Brownian motion of 2D disc

I would like to know the expected value for the area covered by a disc of radius $R$ whose center undergoes Brownian motion (diffusion).
Specifically, let $\mathbf{X}_t$ represent a two-dimensional ...

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### A cylinder leaking Brownian particles, cut in half by a mirror

This question is tangentially related to Probability a Brownian particle with an exponentially distributed lifetime hits a sphere before vanishing.
I have an infinitely long cylinder of some radius ...

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### Probability a Brownian particle with an exponentially distributed lifetime hits a sphere before vanishing

Imagine I have a point source $p_0 = (x_0,y_0,z_0)$ that releases a point-like Brownian particle with a lifetime given by an exponentially distributed rate parameter $\lambda$. When the particle's ...

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### What is the characteristic functional for Brownian motion on a sphere?

I'm a physicist, somewhat familiar with stochastic processes, but I'm a little unsure of what follows. What I basically have is a complicated quantity involving a vector that is equivalent to ...

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### Question about infinite-dimensional BM

Suppose we are given an $L^2(\mathcal{D})$-valued Brownian motion $W_t$ defined by
$$W_t:=\sum_{k=1}^{\infty}\sqrt{\sigma_k}W_t^k\phi_k(x),$$
where $\mathcal{D}$ is bounded domain in $\mathbb{R}^d$, ...

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### Law of the $L^2$ norm of a Brownian motion and related

Let $B_t$ be a Brownian motion with variance 1. We know that $\int_0^1 B(t) \mathrm{d} t \sim \mathcal{N}(0,1/3)$. I am interested to know what we can say about the law of the two random variables
$X ...

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### When is a continuous path stochastic process be representable as diffusion or Ito process?

When can a continuous path (Markovian) stochastic process in one dimension be represented as an Ito or a diffusion process? What are the examples when it can not be?

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### Proving that Brownian motion has no points of increase

I am reading Burdzy's paper on the points of increase of Brownian motion:
Burdzy's Paper
He is proving that, almost surely, a Brownian motion, has no points of increase. What he actually proves is ...

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### The supreme distribution of Brownian motion increment

Let $W_t$ be an one-dimensional standard Brownian motion, and $\theta_s$ is the shift such that $\theta_s( W_t)=W_{t+s}-W_s$, then are there any reference available regarding the distribution of the ...

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### Probability of winding number of 2D Brownian Motion

Let $B_t$ be a 2D Brownian Motion with $B_0 = (1,0)$. Now, express $B_t$ in polars, that is, $B_t = (r(t), \theta(t))$. Let $\tau = \inf\{t > 0 : \theta(t) \geq 2 \pi \}$. What is $\mathbb{P}[\tau ...

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### Quadratic variation for discrete Martingale

Is there any analogue of continuous martingale quadratic variation for the discrete case? If so, are there any theorems which characterize simple random walk using quadratic variation - similar to ...

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### Expectation of the time t standard brownian motion stopped at itself's square

I have a one dimensional standard brownian motion $W$ defined under a stochastic basis with probability $\mathbf{Q}$ and filtration $\left(\mathscr{F}\right)_{t\in{\mathbf{R}}_{+}}$, and I want to ...

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### Distribution of last time Brownian motion crosses a line

Is the distribution of the last time Brownian motion crosses a line y=a*x known? (Equivalently, the distribution of the last time a Brownian motion with downwards drift hits 0.) It's not hard to give ...

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### Does the strong law of Large Number hold for an infinite dimensional Brownian motion?

For finite-dimensional Brownian motion $W_t$, it is well known that
\begin{equation}
\lim_{t\to \infty}\frac{W_t}{t}=0,\text{ a.s. }\ \ \ \ \hspace{1cm} \langle 1\rangle
\end{equation}
Now suppose we ...

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### Argmax of random walk vs of Brownian motion

Consider a random walk on $\mathbb{Z}$ with triangular drift and jumps that are standard normals. That is,
$$
\begin{cases}
RW_{t+1} = RW_t - d + \epsilon_t, \quad t \geq 0,\\
RW_{t-1} = RW_t - d + ...

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### random walk and Brownian motion on Riemannian manifold

As we know, the random walk on $\mathbb{Z}/n$ will converge(in some sense) to the Brownian motion on $\mathbb{R}$ when $n\to\infty$. I would like to know is there some higher dimensional analogy ...

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### Can one use Brownian motion to prove that two manifolds are not conformally equivalent?

Let me start by a very simple example; consider the following question:
"Let D1 be a square and D2 a rectangle (boundary included). View them
as subsets of the complex plane. Does there exist a ...

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### Malliavin calculus w.r.t $G$-Brownian motion

I wonder if it is possible to define a Malliavin calculus w.r.t $G$-Brownian motion defined on a Sublinear Expectation Space available on this link.
Gâ€“Brownian motion has a very rich and interesting ...

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### Brownian motion on Metric spaces

Is there a generalization of Brownian motion to general metric spaces (which should probably be length spaces)?
This should be a process satisfying
$$d(B_t, B_s) \sim \mathcal{N}(0, t-s)$$
and such ...

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### Ito Diffusions with low regularity?

I would like to have an ItÃ´ Diffusion
$$ X_t = \int_0^t b(s) \mathrm{d}s + \int_0^t \sigma(s) \mathrm{d}B_s.$$
where the (vector- and matrix-valued, respectively) functions $b$ and $\sigma$ have lower ...

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### Constructing Riemann maps using Brownian motion?

There's a relation between two-dimensional Brownian motion and conformal maps, see e.g. Thurston's answer to this question. Given two non-empty simply-connected domains $U$ and $V$ in the complex ...

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### Brownian flow and flow of metric

Suppose we have a Brownian flow of diffeomorphisms on R^n and we wish to represent it as a stochastic process on the metric i.e - Given a point x, the metric transforms as F*(t)(G), the pullback of G.
...

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### Brownian motion on Homogeneous spaces

Suppose we have a Brownian motion(or transition density) on a Lie group G and a Riemmanian manifold H on which G acts transitively and isometrically. Can we construct a Brownian motion( or transition ...

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### Measurability of subspace of set of all functions

Set $X=\mathbb{R}^n$ and let $X^{I}$, the space of maps from the (bounded or unbounded) interval $I$ to $X$, be endowed with the locally convex topology of pointwise convergence.
Is it true that the ...

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### Area of a Brownian bridge on the plane

Consider a Brownian bridge of length $r$ on the plane. What is the expected (non-signed) smallest area of the disc spanned by the loop? By "non-signed" I mean that if a loop goes around a unit square ...

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### Tail for the integral of a diffusion process

I would like to compute the following tail,
$$
\mathbb{P}\left(\int_{0}^{T} f(X_t)\mathrm{dt}>x\right),
$$
assuming
$$
\mathbb{P}[f(X_t)>x] = x^{-\alpha} \log(x),
$$
and $X$ is a diffusion ...

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### Reference needed: Donsker's Invariance Principle for Riemannian Manifolds

After an extensive unsuccessful search: I need a reference (preferably a book) for the Donsker's invariance principle for Riemannian manifolds. Thanks.

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### Exponential Ergodicity for Reflected Brownian Motion in a Bounded Domain

Assume we have a reflected Brownian motion in a smooth bounded domain $D \subseteq \mathbb R^d$. It can have nonzero (but constant) drift, non-identity (but constant) covariance matrix, and oblique ...

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### Can we express a one-dimensional raised Bessel Bridge as a function of a single Brownian Motion?

A Bessel Bridge is a Brownian Motion, conditioned such that $B(0) = B(1) = 0$ and $B([0, 1]) \ge 0$. A raised Bessel Bridge is a generalization of this: it's a Brownian Motion conditioned such that ...

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### Independence using reflecting brownian motion

Suppose $X$ and $Y$ are two Brownian motions such that $|X|$ and $|Y|$ are independent. Then it is easy to show that $\langle X,Y \rangle =0$ using the Tanaka formula, for example, and thus $X$ and ...

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### Family of Brownian motions

Suppose X_1,X_2,...,X_n are n Brownian motions with respect to the same filtration such that X_1 is independent of X_j for all j=2,...,n. Is it true that X_1 is independent of (X_2,...,X_n)?

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### Integrating a Bessel Bridge

Preliminaries
An order-3 Bessel Process is the one-dimensional stochastic process $X$ described by $X(t) = \sqrt{W_1(t)^2 + W_2(t)^2 + W_3(t)^2}$, where each $W_k$ is an independent Brownian Motion. ...

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### Two independent reflected Brownian motions in a bounded domain never meet?

Suppose $D$ is a bounded Lipschitz domain in $R^n$ and $X_1$, $X_2$ are two independent reflected Brownian motions (RBMs) in $D$. Is it true that
$$P[X_1(t)\neq X_2(t) \text{ for all }t>0]=1$$
It ...

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### Differentiability of integral w.r.t. hitting time of Brownian Motion

I have been trying to prove the following conjecture for a while, but so far to no avail. Would be very grateful for some tips!
(I edited the entire thing to make it clearer)
The conjecture is the ...

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### SDE-removal of the diffusion coefficients

from math.stackexchange
I'm currently looking at stochastic differential equations with irregular coefficients such as $W^{1,p}_{loc}$. If I have
\begin{align}
dX_t=b(X_t)dt+\sigma dW_t,
\end{align}
...

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### Brownian bridge in two variables?

Hi
I know about the Brownian bridge, for example $B_t = W_t - tW(1)$.
Is it possible to create it in 2D? ie, to have a 2D Brownian motion, which constitutes a surface, and have it return to 0 when ...

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### Family of Brownian Motions

I am trying to show the following statement
Let $D\subset \mathbb{R}^2$ be an open and bounded subset. $\Pi=(P^x : x \in D )$ a Family of standard Brownian Motions started at $x \in D$. Then $\Pi$ ...

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### Finite time hitting probabilities for Brownian motion in the plane

Consider a Brownian particle in the plane with a circular trap at the origin. If we give the particle enough time it falls into the trap (since Brownian motion is space filling in 2D). However, ...