We consider the stochastic equation X(t) = W(t) + βlX0(t), where W is a standard Wiener process and lX0(⋅) is the local time at zero of the unknown process X. There is a unique solution X (and it is adapted to the fields of W) if |β| ≤ 1, but no solutions exist if |β| > 1. In the former case, setting α = (β + 1)/2, the unique solution X is distributed as a skew Brownian motion with parameter α....

In this paper, we consider a class of time-dependent neutral stochastic evolution equations with the infinite delay and a fractional Brownian motion in a Hilbert space. We establish the existence and uniqueness of mild solutions for these equations under non-Lipschitz conditions with Lipschitz conditions being considered as a special case. An example is provided to illustrate the theory

The " knotting " properties of Brownian motion are investigated. Because the path of Brownian motion in 3-space intersects itself, the topological definition of a knot does not apply. A modified concept is defined; implication in a knot-tube. It is shown that 3-space Brownian motion is implicated in infinitely many disjoint knot-tubes in every time interval. As a corollary every segment of the ...

Let X be a drifted fractional Brownian motion with Hurst index H > 1/2. We prove that there exists a fractional backward representation of X , i.e. the time reversed process is a drifted fractional Brownian motion, which continuously extends the one obtained in the theory of time reversal of Brownian diffusions when H = 1/2. We then apply our result to stochastic differential equations driven b...

Let {W (t), t ≥ 0} be a standard Brownian motion. If I is a bounded interval on which W has no zero, an almost sure lower bound to inf{|W (t)|, t ∈ I} can be provided, when I is taken from a given countable family of intervals covering the positive half-line. 1 Main Result Let {W (t), t ≥ 0} be a standard Brownian motion. Let I be some bounded interval of R. Suppose W (t) 6= 0, for all t ∈ I. W...

Contributions to the Theory of Optimal Stopping for One–Dimensional Diffusions Savas Dayanik Advisor: Ioannis Karatzas We give a new characterization of excessive functions with respect to arbitrary one–dimensional regular diffusion processes, using the notion of concavity. We show that excessive functions are essentially concave functions, in some generalized sense, and vice–versa. This, in tu...

An identity in distribution due to F. Knight for Brownian motion is extended in two di erent ways: rstly by replacing the supremum of a re ecting Brownian motion by the range of an unre ected Brownian motion, and secondly by replacing the re ecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excurs...

An identity in distribution due to F. Knight for Brownian motion is extended in two diierent ways: rstly by replacing the supremum of a reeecting Brownian motion by the range of an unreeected Brownian motion, and secondly by replacing the reeecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excurs...