# Tagged Questions

**9**

votes

**1**answer

259 views

### Trapping a particle

A particle starts a brownian walk in the middle of a long tunnel in the plane, at one end of the tunnel is a region Y of given area A.
Does the shape of region Y affect average time for the particle ...

**2**

votes

**1**answer

91 views

### Fractional Brownian motion via Hilbert space

The Brownian motion has the following (Levy-Ciesielski?) construction via Hilbert space isomorphisms:
Let $\{ Z_i \}_{i \in \mathbb{Z}}$ be i.i.d. $N(0,1)$ random variables defined on $(\Omega, ...

**3**

votes

**0**answers

66 views

### Reference request: Stochastic integration and martingale theory on the whole real line

I'm looking for a thorough treatment of stochastic integration and/or martingale theory on the whole real line, i.e. a way to construct a Brownian motion $(B_s)_{s \in \mathbb{R}}$ (if a two-sided BM ...

**0**

votes

**0**answers

44 views

### Reference for “Newtonian capacity estimates probability that A is hit by a Brownian motion”

I am looking for the following statement
"In fact, the Newtonian (logarithmic) capacity gives an estimate, up to a constant factor, the probability that A is hit by a Brownian motion started, say, ...

**0**

votes

**0**answers

75 views

### Probability that d-Brownian Motion ,d>3, avoids a set A

In other words, the probability that Brownian motion stays within $A^{c}$. So far I found that it is 1, for random cylinders and thorns (http://www.math.upenn.edu/~pemantle/papers/burdzy.pdf).
What ...

**3**

votes

**1**answer

102 views

### 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 ...

**1**

vote

**1**answer

93 views

### 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 ...

**5**

votes

**2**answers

265 views

### 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 ...

**1**

vote

**0**answers

128 views

### 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 ...

**6**

votes

**1**answer

275 views

### 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 ...

**1**

vote

**0**answers

98 views

### 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 ...

**5**

votes

**1**answer

135 views

### 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 ...

**1**

vote

**0**answers

230 views

### 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 ...

**4**

votes

**3**answers

310 views

### 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?

**4**

votes

**2**answers

197 views

### 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 ...

**1**

vote

**1**answer

156 views

### 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 ...

**4**

votes

**1**answer

288 views

### 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 ...

**8**

votes

**2**answers

391 views

### 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 ...

**8**

votes

**1**answer

295 views

### 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 ...

**3**

votes

**2**answers

218 views

### 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 ...

**2**

votes

**0**answers

59 views

### 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 ...

**1**

vote

**1**answer

124 views

### 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 ...

**4**

votes

**0**answers

146 views

### 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. ...

**2**

votes

**0**answers

202 views

### 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 ...

**1**

vote

**1**answer

215 views

### 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}
...

**2**

votes

**2**answers

291 views

### 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 $\Pi$ ...

**3**

votes

**2**answers

580 views

### 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, ...