We consider Volterra Gaussian processes on [0, T ], where T > 0 is a fixed time horizon. These are processes of type Xt = R t 0 zX(t, s)dWs, t ∈ [0, T ], where zX is a square-integrable kernel, and W is a standard Brownian motion. An example is fractional Brownian motion. By using classical techniques from operator theory, we derive measure-preserving transformations of X, and their inherently ...

Vicious Brownian motion is a diffusion scaling limit of Fisher's vicious walk model, which is a system of Brownian particles in one dimension such that if two motions meet they kill each other. We consider the vicious Brownian motions conditioned never to collide with each other and call it noncolliding Brownian motion. This conditional diffusion process is equivalent to the eigenvalue process ...

In this paper, we develop Brownian motion and discuss its basic properties. We then turn our attention to the “size” of Brownian motion by defining Hausdorff dimension and its relationship to Brownian motion. This leads to the final result of the paper that for n ≥ 2, both the range and graph of Brownian motion have Hausdorff dimension 2.

We present in this note some variations of the Monte Carlo method for the randomwalk on spheres which allow to solve many elliptic and parabolic problems involving the Laplace operator or second-order differential operators. In these methods, the spheres are replaced by rectangles or parallelepipeds. Our first method constructs the exit time and the exit position of a rectangle for a Brownian m...

The Edwards model in one dimension is a transformed path measure for standard Brownian motion discouraging self-intersections. We prove a central limit theorem for the endpoint of the path, extending a law of large numbers proved by Westwater (1984). The scaled variance is characterized in terms of the largest eigenvalue of a one-parameter family of diierential operators, introduced and analyze...

The goal is to identify the class of distributions to which the distribution of the maximum of a Lévy process with no negative jumps and negative mean (equivalently, the stationary distribution of the reflected process) belongs. An explicit new distributional identity is obtained for the case where the Lévy process is an independent sum of a Brownian motion and a general subordinator (nondecrea...

Let B = (Bt)t≥0 be a standard Brownian motion started at zero, and let μ ∈ R be a given and fixed constant. Set B t = Bt+μt and S t = max 0≤s≤t B s for t ≥ 0 . Then the process: (x ∨ Sμ)−Bμ = ((x ∨ S t )−B t )t≥0 realises an explicit construction of the reflecting Brownian motion with drift −μ started at x in R+ . Moreover, if the latter process is denoted by Z = (Z t )t≥0 , then the classic Lé...

Suppose that one observes a process Y on the unit interval, where dY t = n1/2f t dt+dW t with an unknown function parameter f, given scale parameter n ≥ 1 (“sample size”) and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such as monotonicity or concavity. These tests are asymptotically optimal and adaptive in a certain sense. They ar...

We construct a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge. DOI: 10.1214/ECP.v4-1003 Posted at the Zurich Open Repository and Archive, University of Zurich ZORA URL: http://doi.org/10.5167/uzh-79487 Published Version Originally published at: Bertoin, Jean; Pitman, Jim; de Chavez, Juan Ruiz (1999). Constructions of a B...