Levy area for the free Brownian motion: existence and non-existence

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

existence and measurability of the solution of the stochastic differential equations driven by fractional brownian motion

Existence of Gibbs measures relative to Brownian motion

We prove existence of infinite volume Gibbs measures relative to Brownian motion. We require the pair potential W to fulfill a uniform integrability condition, but otherwise our restrictions on the potentials are relatively weak. In particular, our results are applicable to the massless Nelson model. We also prove an upper bound for path fluctuations under the infinite volume Gibbs measures.

Underdamped scaled Brownian motion: (non-)existence of the overdamped limit in anomalous diffusion

It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients....

Existence Conditions of the Optimal Stopping Time: the Cases of Geometric Brownian Motion and Arithmetic Brownian Motion

A type of optimal investment problem can be regarded as an optimal stopping problem in the field of applied stochastic analysis. This study derives the existence conditions of the optimal stopping time when the stochastic process is a geometric Brownian motion or an arithmetic Brownian motion. The conditions concern the intrinsic value function and are natural extensions of the certainty case. ...