Questions tagged [brownian-motion]

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Lower-bound on zero-crossing probability of the nonstationary gaussian process $X(t) = tU+(1-t^2)^{1/2}V$, with $(U,V) \sim N(0,I_2)$

Let $(X(t))_{t \in [-1,1]}$ be a centered non-stationary smooth gaussian process with covariation function $\rho(t,s) = \mathbb E[X(t)X(s)]$. For $t_0 \in (-1,1)$ and $\epsilon \in (-1-t_0,1-t_0)$, ...
dohmatob's user avatar
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1 answer
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Comparison of probabilities that drifted Brownian motion never hits barriers

Let $k , h: \mathbb R_+\to [0,1]$ be non-decreasing and right continuous s.t. $k(t)\le h(t)$ for all $t\ge 0$. Define $\tau_{k}$ (resp. $\tau_h$) by $$\tau_k : = \inf\{t\ge 0:2+\beta t+ W_t \le k(t)\}\...
GJC20's user avatar
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Continuity of translation operator in fractional white noise analysis

Fix $H\in(\frac{1}{2},1)$, and let $\Omega:=C_0([0,T],\mathbb R^d)$ be the space of $\mathbb R^d$-valued continuous functions. There is a probability measure $P^H$ on $(\Omega,\mathcal B(\Omega))$, ...
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How to prove excursion process is a Poisson point process?

This question comes from book Ju-Yi Yen and Marc Yor P59 and P60, On page 59, "Define $\mathcal{Z}_\omega=\{t:B_t(\omega)=0\},$ and $\tau_l$ is the inverse local time. The complement of $\mathcal{...
Fractional analysics's user avatar
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111 views

Estimate of cumulative probability of geometric Brownian motion

Let $B_\tau$ be the standard BM, $t$ be the initial time, $s$ be the time variable, $r$ and $\theta$ are positive constants. We also assume that $x$ is the initial position of the below geometric ...
mnmn1993's user avatar
4 votes
1 answer
554 views

Random time change from Oksendal's SDE textbook

I have two questions related to the random time change introduced in Oksendal's textbook on SDEs (page 155-156). Specifically, for Lemma 8.5.6., I have no clue as to why we should define $t_j$ in ...
Fei Cao's user avatar
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1 answer
177 views

How to prove the coupling version of the Donsker's Invariance Principle?

Donsker's invariance principle: Let $X_1,X_2,...$ be i.i.d. real-valued random variables with mean 0 and variance 1. We define $S_0=0$ and $S_n= X_1+ ... + X_n$ for $n \geq 1$. To get a process in ...
Hermi's user avatar
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Harmonic measure of a punctured disc

Let $D$ be a disc in $\mathbb{C}\cong\mathbb{R}^2 $ and $z_0$ a fixed point of $D$. Is the harmonic measure for $V=D\setminus\{z_0\}$ known? Any reference would also be welcome.
M. Rahmat's user avatar
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Reference request (Brownian local time): for fixed $t$, $a\mapsto L_a(t)$ is a.s. continuous and with compact support

So the title is quite self explanatory. In the book "Continuous Martingales and Brownian Motion" by Rebuz and Yor, in the proof of Proposition $(2.1)$ of chapter XIII it's stated that: For ...
Chaos's user avatar
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The quadratic variation of $\int_0^t\int_T^Sg(s,x) \, dW_s^x \, dx$

Consider the process $W^x_t$ which is a Brownian motion for every $x\geq 0$ such that $$d\langle W_t^x,W_t^y\rangle=Q(x,y)\,dt$$ where $Q$ is some non-negative definite function. Now consider the ...
Heisenberg's user avatar
2 votes
0 answers
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A polar open set in a topological subspace?

Suppose $U$ is a bounded open set in $\mathbb{R}^m$ with ($m\geq2$). Is it possible to have a non-empty set $E$ in the boundary $ \partial U$ of $U$ that is open in $ \partial U$ and is polar? A set $...
M. Rahmat's user avatar
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1 answer
502 views

Largeness of the set of zeroes of a Brownian motion

Definitions: A measurable subset $S$ of $\mathbb R$ is said to be mesoscopic if there exists a continuous function $f: \mathbb R \to \mathbb R$ such that $f(S)$ is Lebesgue measurable and has nonzero ...
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The long run average amount of time the deviation of Brownian motion spends above its expected value

Let $B_t$ be a standard one dimensional Brownian motion. Is it true that $$\lim_{s \to \infty} \frac{\int_{[0, s]} \mathbf 1_{ \{|B_t| \geq \sqrt{2t/\pi} \} } \ dt}{s}$$ exists almost surely?
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Why the distribution of M(t) is the same as X(t)?

Let $ B(t)(t\geq 0) $ be the standard Brownian motion and $ M(t)=\max_{0\leq s\leq t}{B(s)} $. If we define $ X(t)=M(t)-B(t) $ as a new stochastic process, how can I show that $ X(t) $ has the same ...
Luis Yanka Annalisc's user avatar
1 vote
0 answers
118 views

L2-closure of absolutely continuous stochastic processes?

Assume we have a possibly multidimensional Brownian motion on a probability space $(\Omega,\mathcal F,\mathbb P)$ where $(\mathcal F_t)_{t\in[0;T]}$ is the Brownian standard filtration. Let $\Vert X\...
Kolodez's user avatar
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5 votes
2 answers
264 views

Bounding Brownian motion and an Ito process simultaneously

Let $(W_t)_{t\geq0}$ be a standard Brownian motion in $\mathbb{R}^n$ and $(A_t)_{t\geq0}$ be an adapted matrix-valued process such that $A_t$ is a positive symmetric matrix with bounded operator norm :...
Gericault's user avatar
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Probability that a $d$-dimensional Brownian bridge is greater than a given parameter

Let $(W_t)_{t\in[0,T]}$ be a Brownian bridge such that $W_0=a$ and $W_T=b$, the probability that $\forall t\in[0,T],W_t\geqslant x$ given the parameter $x\leqslant\min(a,b)$ is well known : $$ \mathbb{...
Tuvasbien's user avatar
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2 votes
0 answers
79 views

Decay rate of transition density of a SDE system

Consider the following SDE system $$dx_t = b(y_t)dt + dw^1_t, \quad dy_t = dw^2_t.$$ Here the drift $b(\cdot)$ is a smooth function that may decay slowly. For example, $|b(x)| \le C/|x|^\sigma$ for ...
Jacob Lu's user avatar
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1 vote
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64 views

Extension of the Kelvin transform

Suppose $B=B(y,r)$ is ball in $\mathbb{R}^m$ ($m\geq2$), and $u$ a superharmonic function on a neighborhood of the closure $\overline{B}$ of $B$. We know that the Kelvin transform of $u$ with respect ...
M. Rahmat's user avatar
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2 votes
1 answer
413 views

Generalized Fokker-Planck equation

Consider the diffusion process $$ d X = \mu(X, t) dt + \sigma(X, t) dY. $$ When $Y$ is a Brownian motion, we know that the density follows the Fokker-Planck equation. Here I'm considering the general ...
John Wong's user avatar
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0 answers
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Laplace Equation for Brownian Motion [closed]

So, I know that there is this theorem (taken from here): For Laplace's equation $\Delta u = 0$ on a domain $D$ and $u=f$ on $\partial D$ (and some regularity conditions on $D$), we have $$ u(x) = \...
Bob Aiden Scott's user avatar
1 vote
1 answer
50 views

Bound moments wrt. known initial and final moments

Let $X$ be an $L^p$ random variable, where $p\in (0,1)$ and $W_t$ usual Brownian motion (with $W_t$ independent from $X$). I'd like to bound $$\mathbb E|X+W_t|^p$$ purely in terms of $\mathbb E|X|^p$ ...
Philipp Wacker's user avatar
1 vote
0 answers
78 views

Superharmonicity of the distance function

Suppose $V$ is a convex open proper subset of $\mathbb{R}^m$ ($m\geq2$). It is known that the function $u(x)=$dist$(x,\partial V)$ is superharmonic on $V$. Is there a similar result without $V$ being ...
M. Rahmat's user avatar
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1 answer
155 views

Probability to cross an envelopp for 1D random walk?

Imagine we have an evolving sequence composed of 1 and -1 (ex: -1-11-111...) where the probability to get -1 or 1 is 1/2. n is the lengh of my sequence. I can make an analogy with random walk: let ...
Jonathan's user avatar
0 votes
2 answers
166 views

A question on minimum principle

Suppose $D$ be an unbounded domain of $\mathbb{R}^m$ for $m\geq3$, and $u$ is superharmonic on $D$. We know that if $\liminf_{x\to y}u(x)\geq0$ for all $y$ in $\partial^\infty D$ (the boundary of $D$ ...
M. Rahmat's user avatar
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1 vote
0 answers
59 views

An open set whose complement is non-thin at infinity

Let $x^*$ designate the inverse of a point $x\in\mathbb{R}^m$ under the Kelvin transformation with respect to the circle of center 0 and radius 1. Recall that $$x^*=|x|^{-2}x.$$ For a set $E$, we set $...
M. Rahmat's user avatar
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1 vote
0 answers
68 views

Differentiable approximation of Brownian diffusion with unbounded volatility

Let $\{W_t\}_{t\in[0;T]}$ be a one-dimensional Brownian motion and let $\{\mathcal F_t\}_{t\in[0;T]}$ be the augmented filtration generated by this Brownian motion. Let $\{\sigma_t\}_{t\in[0;T]}$ be ...
Kolodez's user avatar
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1 vote
1 answer
136 views

Differentiable approximation of Brownian diffusion with bounded volatility

Let $\{W_t\}_{t\in[0;T]}$ be a one-dimensional Brownian motion and let $\{\mathcal F_t\}_{t\in[0;T]}$ be the augmented filtration generated by this Brownian motion. Let $\{\sigma_t\}_{t\in[0;T]}$ be ...
Kolodez's user avatar
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4 votes
0 answers
155 views

Occupation time of SDE

Let $b:\mathbb{R}^d\to\mathbb{R}^d$ be locally Lipschitz and assume that, for any $x\in\mathbb{R}^d$ and any $f\in C^{\infty}([0,1],\mathbb{R}^d)$, the equation $$ X_t^{x,f}=x+\int_0^t b(X_s^{x,f})\,...
julian's user avatar
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1 vote
0 answers
217 views

Is my quadratic variation derivative bounded?

Let $\{W_t\}_{t\in[0;T]}$ be a Brownian motion, let $\mu,\sigma\colon [0;T]\times\mathbb R \to \mathbb R$ be continuous, bounded and Lipschitz continuous in the second argument, let $X$ be the unique ...
Kolodez's user avatar
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5 votes
1 answer
150 views

Superharmonicity at infinity

Some authors define superharmonicity at infinity in the following way. A function $u$ is superharmonic on an open set $V\subset\mathbb{R}^m\cup\{\infty\}$ (one point compactification), containing ...
M. Rahmat's user avatar
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0 votes
1 answer
244 views

Associativity rule for integration against fractional Brownian motion

In Itô calculus, it is easy to construct an associativity rule. Namely, if $B_t$ is a Brownian motion and $M_t = \int_0^t X_s dB_s$ for suitable $X_t$, then we have the following associativity rule: $...
Jose Avilez's user avatar
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0 answers
44 views

Superharmonic extension 3

This question is related to the MO post Superharmonic extension 2. Let $u$ be a superharmonic function on $\mathbb{R}^m$ ($m>2$) such that for some $\alpha\in\mathbb{R}$ and $\beta$, $R>0$, $$u(...
M. Rahmat's user avatar
  • 411
0 votes
1 answer
146 views

Probability to cross dynamic boundary for 1D-random walk?

context: Imagine we have an evolving bit sequence (ex: 001011...) where the probability to get 0 or 1 is 1/2. n is the lengh of my sequence (the number of bits) I can make an analogy with random walk: ...
Jonathan's user avatar
1 vote
1 answer
166 views

Is a stopped Ito-integral integrable if the Ito integrand is only square-integrable on an open interval?

Assume a filtered probability space $(\Omega,\{\mathcal F_t\}_{t\in[0;T)}, \mathbb P)$ with an $\mathbb R^n$-valued Brownian motion $\{W_t\}_{t\in[0;T)}$ and the filtration $\{\mathcal F_t\}_{t\in[0;T)...
Kolodez's user avatar
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2 votes
2 answers
409 views

Use stochastic process to express solution to Laplace equation in the whole space

Consider the Laplace equation in $\mathcal{R}^3$ \begin{equation} \Delta u = f, ~~~\lim_{x\to \infty} u(x) = 0. \end{equation} Here we assume $f$ is a smooth, compactly supported function. Of course, $...
Jacob Lu's user avatar
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0 answers
592 views

Local martingale but not martingale

For a 3-dimensional Brownian motion $B = (B_t, t ≥ 0)$ and $x ∈ \mathbb{R}^3 \backslash \{0\}$ define the process $Y = (Y_t, t ≥ 0)$ via $Y_t =\frac{1}{|B_t+x|}$ how come this is a continuous local ...
Martin Weizenguss's user avatar
1 vote
0 answers
60 views

2d interpolation minimizing the integral of the norm of the Hessian

It is well known that cubic interpolation is the solution of the interpolation problem that minimizes the integral of the square of the second derivative: $$ min_{f \text{ s.t. } f(x_i)=y_i} \int (f''(...
Bernard 's user avatar
3 votes
2 answers
1k views

proof that the covariance function for a fractional Brownian motion / fractional Gaussian free field is well defined

Given $0 < t_1 < \dots < t_n$, we can show that the matrix $\Omega$ whose entries are defined by $M_{i,j} = min(t_i,t_j)$ is symmetric definite positive. The proof is immediate once one ...
Bernard 's user avatar
5 votes
1 answer
240 views

Malliavin derivative of stopped Brownian motion

Cross-posted from: "https://math.stackexchange.com/questions/3917971/malliavin-derivative-of-stopped-brownian-motion" I have a small question concerning the Malliavin derivatives. It could ...
Cain's user avatar
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0 votes
1 answer
187 views

Does convergence of a sequence of subharmonic functions imply the vague convergence of their Riesz measures?

Suppose $D$ is a bounded domain of $\mathbb{R}^m$ for $m>1$ and $\{u_n\}_{n\geq1}$ is a sequence of subharmonic functions on $D$. Assume $u_n\to u_0$ pointwise on $D$ and $u_0$ is subharmonic on $D$...
M. Rahmat's user avatar
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2 votes
0 answers
99 views

The Itō isometry for Riemannian manifolds

If $\alpha$ is a real smooth $1$-form, and if $\mathcal C$ is the space of continuous functions $c : [0,1] \to \mathbb R^n$, endowed with the Wiener measure $w$, and if $I_\alpha : \mathcal C \to \...
Alex M.'s user avatar
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0 answers
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Independent increments for the Brownian motion on a Riemannian manifold

In am not a probabilist, but I must do some stochastic-flavoured work on a connected Riemannian manifold $M$. A nice thing about the Brownian motion on $\mathbb R^n$ is that we may talk about its ...
Alex M.'s user avatar
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0 votes
1 answer
134 views

A simple clarification on Riesz decomposition theorem

Let $D$ be a domain of $\mathbb{R}^{m}$ and let $K(x)= \log|x|$ if $m=2$, and $K(x)=|x|^{2-m}$ if $m>2$. According to Riesz decomposition theorem (Hayman and Kennedy, "subharmonic functions&...
M. Rahmat's user avatar
  • 411
1 vote
0 answers
196 views

Intersection of a Poisson bridge and a Brownian bridge

Take a Poisson process $N_t$, a Brownian motion $W_t$ and constants $T > 0$ and $a > 0$. Suppose $N$ and $W$ are independent. I'm interested in the probability that $W$ does not cross over $a + ...
zab's user avatar
  • 222
1 vote
2 answers
2k views

Expectation of Brownian motion increment and exponent of it

While reading a proof of a theorem I stumbled upon the following derivation which I failed to replicate myself. Let $\mu$ be a constant and $B(t)$ be a standard Brownian motion with $t > s$. Show ...
James's user avatar
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1 vote
1 answer
274 views

Martingale derivation by direct calculation

I'm reading the proof of a theorem and stumbled across the following derivation which I cannot replicate myself. Let $W(t)$ be a $Q$-martingale and be given by $W(t) = B(t) + \mu t$ with $B(t)$ a ...
James's user avatar
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2 votes
0 answers
75 views

Is the $\sqrt{{\rm time}}$ spread of a stochastic process about the global minima the ubiquitous phenomenon?

Given a function $f$ with a global minima at $x^*$, consider a stochastic process given as, $x_{t+1} = x_t - \nabla f(x_t) + \xi$ where $\xi$ is a random variable. Now we want to understand the ...
gradstudent's user avatar
  • 2,136
0 votes
1 answer
207 views

Large deviation for Brownian occupation time

I am asking for reference about the large deviation principle (LDP) for the occupation time of a Brownian motion/bridge. Let $f:\mathbb{R} \to \mathbb{R}$ be smooth and compactly supported. My ...
lye012's user avatar
  • 103
1 vote
0 answers
76 views

"Return map" for Brownian motion

Consider a Brownian motion $W$ reflected at the boundary of a domain $D$ in Euclidean space. I want to look at the process obtained by "restricting" it to the boundary. I was thinking of ...
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