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van den Berg (2003) showed how subexponential behavior of the lifetime of killed Brownian motion in an unbounded domain implies subexponential behavior of the Dirichlet heat kernel..
We show that the Langevin equation with fractional Brownian mo- tion noise also has a stationary solution and that the decay of its auto-covariance function is like that of a
Neither of these features is present in higher dimensions: super–Brownian motion takes Lebesgue– singular values and the model we wish to construct has a law that is not
Recall that the excursions of the reflecting Brownian motion ξ from zero determine a family of rooted trees to which we add marks according to a Poisson point process of intensity 2
A proof of the increase in maturity of the expectation of a convex function of the arithmetic average of geometric brownian motion. Making Markov martingales meet marginals:
We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position.. The derivative is a linear
(This is also an instrumental a priori estimate in [23].) Similarly, the Brownian intersection exponent ξ (2 , 1) = 2 can be easily determined [9], and a direct proof also works
Key words: Exit place of Brownian motion, parabolic-type domain, horn-shaped domain, h - transform, Green function, harmonic measure.. AMS 2000 Subject Classification:
