Stochastic analysis of Bernoulli processes.
Stochastic differential equations with jumps.
Stochastische Bewegungen und ihre ersten Integrale.
The Dyson Brownian Minor Process
Consider an Hermitean matrix valued stochastic process where the elements evolve according to Ornstein-Uhlenbeck processes. It is well known that the eigenvalues perform a so called Dyson Brownian motion, that is they behave as Ornstein-Uhlenbeck processes conditioned never to intersect.In this paper we study not only the eigenvalues of the full matrix, but also the eigenvalues of all the principal minors. That is, the eigenvalues of the minors in the upper left corner of . Projecting this...
The geometry of Brownian surfaces.
The realization of positive random variables via absolutely continuous transformations of measure on Wiener space.
The Skorokhod embedding problem and its offspring.
Transformation of Markov processes
Uniqueness and non-uniqueness in percolation theory.