EuDML | Browse

The search session has expired. Please query the service again.

Items

All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Displaying 41 – 60 of 66

On the exponential Orlicz norms of stopped Brownian motion

Goran Peškir (1996)

Studia Mathematica

Necessary and sufficient conditions are found for the exponential Orlicz norm (generated by $ψ_{p} (x) = {e x p (| x |}^{p}) - 1$ with 0 < p ≤ 2) of $m a x_{0 \leq t \leq τ} | B_{t} |$ or $| B_{τ} |$ to be finite, where $B = {(B_{t})}_{t \geq 0}$ is a standard Brownian motion and τ is a stopping time for B. The conditions are in terms of the moments of the stopping time τ. For instance, we find that $∥ m a x_{0 \leq t \leq τ} | B_{t} | ∥_{ψ_{1}} < \infty$ as soon as $E (τ^{k}) = O (C^{k} k^{k})$ for some constant C > 0 as k → ∞ (or equivalently $∥ τ ∥_{ψ_{1}} < \infty$ ). In particular, if τ ∼ Exp(λ) or $| N (0, σ^{2}) |$ then the last condition is satisfied, and we obtain $∥ m a x_{0 \leq t \leq τ} | B_{t} | ∥_{ψ_{1}} \leq K \sqrt E (τ)$ with some universal constant K > 0....

On the first-passage time of integrated Brownian motion.

Hesse, Christian H. (2005)

Journal of Applied Mathematics and Stochastic Analysis

On the increments of the principal value of Brownian local time.

Csáki, Endre, Hu, Yueyun (2005)

Electronic Journal of Probability [electronic only]

On the integrability of Banach space valued Walsh polynomials

Christer Borell (1979)

Séminaire de probabilités de Strasbourg

On the joining of sticky brownian motion

Jonathan Warren (1999)

Séminaire de probabilités de Strasbourg

On the Lévy transformation of brownian motions and continuous martingales

Lester E. Dubins, Michel Émery, Marc Yor (1993)

Séminaire de probabilités de Strasbourg

On the maximum of a diffusion process in a drifted brownian environment

Kiyoshi Kawazu, Hiroshi Tanaka (1993)

Séminaire de probabilités de Strasbourg

On the noncoalescence of a two point brownian motion reflecting on a circle

M. Cranston, Y. le Jan (1989)

Annales de l'I.H.P. Probabilités et statistiques

On the occupation time of Brownian excursion.

Hooghiemstra, Gerard (1999)

Electronic Communications in Probability [electronic only]

On the regularity of stochastic currents, fractional brownian motion and applications to a turbulence model

Franco Flandoli, Massimiliano Gubinelli, Francesco Russo (2009)

Annales de l'I.H.P. Probabilités et statistiques

We study the pathwise regularity of the map φ↦I(φ)=∫0T〈φ(Xt), dXt〉, where φ is a vector function on ℝd belonging to some Banach space V, X is a stochastic process and the integral is some version of a stochastic integral defined via regularization. A continuous version of this map, seen as a random element of the topological dual of V will be called stochastic current. We give sufficient conditions for the current to live in some Sobolev space of distributions and we provide elements to conjecture...

On the relation between elliptic and parabolic Harnack inequalities

Waldemar Hebisch, Laurent Saloff-Coste (2001)

Annales de l’institut Fourier

We show that, if a certain Sobolev inequality holds, then a scale-invariant elliptic Harnack inequality suffices to imply its a priori stronger parabolic counterpart. Neither the relative Sobolev inequality nor the elliptic Harnack inequality alone suffices to imply the parabolic Harnack inequality in question; both are necessary conditions. As an application, we show the equivalence between parabolic Harnack inequality for $Δ$ on $M$ , (i.e., for $\partial_{t} + Δ$ ) and elliptic Harnack inequality for $- \partial_{t}^{2} + Δ$ on $ℝ \times M$ .

Currently displaying 41 – 60 of 66

Previous Page 3 Next

Displaying 41 – 60 of 66

On the exponential Orlicz norms of stopped Brownian motion

On the first-passage time of integrated Brownian motion.

On the increments of the principal value of Brownian local time.

On the integrability of Banach space valued Walsh polynomials

On the joining of sticky brownian motion

On the Lévy transformation of brownian motions and continuous martingales

On the maximum of a diffusion process in a drifted brownian environment

On the noncoalescence of a two point brownian motion reflecting on a circle

On the occupation time of Brownian excursion.

On the regularity of stochastic currents, fractional brownian motion and applications to a turbulence model

On the relation between elliptic and parabolic Harnack inequalities

On the relative lengths of excursions derived from a stable subordinator

On the sample path behavior of the first passage time process of a brownian motion with drift

On the self-intersection local time of Brownian motion via chaos expansion.

On the sojourn times of killed brownian motion

On the space of vector-valued functions integrable with respect to the white noise

On the Spitzer and Chung laws of the iterated logarithm for brownian motion

On the sum of two Brownian paths

On the time of the maximum of Brownian motion with drift.

On the upcrossing chains of stopped brownian motion

Currently displaying 41 – 60 of 66