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In other words where is the boundary between truly random and
almost deterministic behavior? I believe that very little randomness
is needed. For example consider the following model. Let f1 : : : f...
We consider a stochastic flow driven by a finite-dimensional Brownian
motion. We show that almost every realization of such a flow exhibits strong
statistical properties such as th...
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Sample path deviations Wiener Ornstein-Uhlenbeck process
2010/11/9
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these repres...
Yule process sample path asymptotics
Large deviations random trees branching process fluid limit Yule process
2009/4/22
This paper presents two results on sample paths for the Yule process: one fluid limit theorem and one sample path large deviation result. The main interest is to understand the way large deviation occ...
ON THE QUADRATIC WIENER FUNCTIONAL ASSOCIATED WITH THE MALLIAVIN DERIVATIVE OF THE SQUARE NORM OF BROWNIAN SAMPLE PATH ON INTERVAL
reflected Brownian motion with drift stationarydistriution reflection principl
2009/4/22
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relyin...
This paper presents two results on sample paths for the Yule process: one fluid limit theorem and one sample path large deviation result. The main interest is to understand the way large deviation occ...
On the Quadratic Wiener Functional Associated with the Malliavin Derivative of the Square Norm of Brownian Sample Path on Interval
Quadratic Functional Sample Path Interval
2009/4/1
Exact expressions of the stochastic oscillatory integrals with the phase function, which is the quadratic Wiener functional obtained from the Malliavin derivative of the square norm of the Brownian sa...
