Heat kernel measure on central extension of current groups in any dimension.
Heat kernel of fractional Laplacian in cones
We give sharp estimates for the transition density of the isotropic stable Lévy process killed when leaving a right circular cone.
Heat kernel on manifolds with ends
We prove two-sided estimates of heat kernels on non-parabolic Riemannian manifolds with ends, assuming that the heat kernel on each end separately satisfies the Li-Yau estimate.
Hedging entry and exit decisions: Activating and deactivating barrier options.
Hermite and Laguerre polynomials and matrix-valued stochastic.
Hidden symmetries of stochastic models.
Hiding a constant drift
The following question is due to Marc Yor: Let B be a brownian motion and St=t+Bt. Can we define an -predictable process H such that the resulting stochastic integral (H⋅S) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of H we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor’s question. The original question, i.e.,...
Hierarchical equilibria of branching populations.
Hierarchically interacting Fleming-Viot processes with selection and mutation: Multiple space time scale analysis and quasi-equilibria.
Hirsch's integral test for the iterated brownian motion
Hitting a boundary point with reflected brownian motion
Hitting distributions domination and subordinate resolvents; an analytic approach
We give an analytic version of the well known Shih's theorem concerning the Markov processes whose hitting distributions are dominated by those of a given process. The treatment is purely analytic, completely different from Shih's arguments and improves essentially his result (in the case when the given processes are transient
Hitting distributions of geometric Brownian motion
Let τ be the first hitting time of the point 1 by the geometric Brownian motion X(t) = x exp(B(t) - 2μt) with drift μ ≥ 0 starting from x > 1. Here B(t) is the Brownian motion starting from 0 with EB²(t) = 2t. We provide an integral formula for the density function of the stopped exponential functional and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in [BGS], the present paper covers the case of arbitrary drifts μ ≥ 0 and provides a significant...
Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions
The purpose of the paper is to provide a general method for computing the hitting distributions of some regular subsets D for Ornstein-Uhlenbeck type operators of the form 1/2Δ + F·∇, with F bounded and orthogonal to the boundary of D. As an important application we obtain integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method developed in this paper is based on stochastic calculus and...
Hitting probabilities and potential theory for the brownian path-valued process
We consider the Brownian path-valued process studied in [LG1], [LG2], which is closely related to super Brownian motion. We obtain several potential-theoretic results related to this process. In particular, we give an explicit description of the capacitary distribution of certain subsets of the path space, such as the set of paths that hit a given closed set. These capacitary distributions are characterized as the laws of solutions of certain stochastic differential equations. They solve variational...
Hitting probabilities of killed brownian motion : a study on geometric regularity
Hitting times and spectral gap inequalities
Hölder norms and the support theorem for diffusions
Homogénéisation pour des processus associés à des frontières perméables
Homogeneous diffusions on the Sierpinski gasket