# Questions tagged [brownian-motion]

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### Second Skorokhod embedding in high dimensions

The first Skorokhod embedding theorem says that any random variable $X$ with $\mathbb E X=0$ and $\mathbb E X^2<\infty$ can be written as $X=B_{\tau }$ where $B$ is a Brownian motion and $\tau$ is ...
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### Quantitative Skorokhod embedding

The Skorokhod embedding theorem says that any random variable $X$ with $\mathbb E X=0$ and $\mathbb E[X^2]<\infty$ can be written as $X=B_{\tau }$ where $B$ is a Brownian motion and $\tau$ is a ...
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### Running maximum/supremum of Brownian motion: add information to make it a Markov process?

Let $B_t$ be standard Brownian motion, and let $M_t = \sup_{0 \leq s \leq t} B_s$ be its running maximum. $M_t$ is not a Markov process, but we can augment it with additional information to make it ...
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### Feynman-Kac formula with non-zero boundary condition

Let $D \subseteq \mathbb{R}^m$ be a bounded domain. The Feynman-Kac formula for the heat equation with initial condition $u(t, x) = f(x)$ and boundary condition $u(t, x)|_{\partial D} = 0$ is given by ...
1 vote
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### What new fractional brownian motion (fBm) simulation methods have emerged since 2010? [closed]

I want to describe new methods for simulating fBm, as in the work of Coerjolly and Dieker, but new methods are not very easy to find.
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### Known examples of Laplace transform/distribution of the occupation time of Brownian motion under a moving barrier

Let $(B_t)_{t\geq 0}$ be a Brownian motion with $B_0 = x$. For a function $b:(0,\infty) \to \Bbb R$ let $\Gamma_t^b := \int_0^t 1_{(-\infty , b(s))}(B_s)d s$ the "occupation time" under the &...
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1 vote
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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 $\epsilon \in (-1-t_0,1-t_0)$, ...
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### 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 ...
1 vote
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### 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 ...
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 ...