Hariya, Yuu A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals. (English) Zbl 07948986 J. Theor. Probab. 38, No. 1, Paper No. 11, 23 p. (2025). MSC: 60J65 60J55 60G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Banerjee, Sayan; Budhiraja, Amarjit Long-time behavior of finite and infinite dimensional reflected Brownian motions. (English) Zbl 07951268 Athreya, Siva (ed.) et al., Probability and stochastic processes. A volume in honour of Rajeeva L. Karandikar. Singpore: Springer. Indian Stat. Inst. Ser., 69-108 (2024). MSC: 60J65 60J60 60H10 60K35 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pavlyukevich, Ilya; Pilipenko, Andrey Walsh’s Brownian motion and Donsker scaling limits of perturbed random walks. (English) Zbl 07940624 ALEA, Lat. Am. J. Probab. Math. Stat. 21, No. 2, 1669-1707 (2024). MSC: 60F17 60G42 60G50 60H10 60J10 60J55 60K37 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gairat, Alexander; Shcherbakov, Vadim Extreme ATM skew in a local volatility model with discontinuity: joint density approach. (English) Zbl 07927024 Finance Stoch. 28, No. 4, 1179-1202 (2024). MSC: 91G20 60J55 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sottinen, Tommi; Sönmez, Ercan; Viitasaari, Lauri On the existence and regularity of local times. (English) Zbl 07922275 Electron. J. Probab. 29, Paper No. 107, 27 p. (2024). MSC: 60J55 60H07 65C30 60G22 60G15 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dinvay, Evgueni; Selberg, Sigmund A conservative stochastic Dirac-Klein-Gordon system. (English) Zbl 1545.35157 J. Funct. Anal. 287, No. 8, Article ID 110565, 83 p. (2024). MSC: 35Q53 35Q41 60H15 60H05 60J65 60G55 35B65 35A01 35A02 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Plunkett, Claire E.; Lawley, Sean D. Boundary homogenization for partially reactive patches. (English) Zbl 1544.35029 Multiscale Model. Simul. 22, No. 2, 784-810 (2024). MSC: 35B25 35B27 35C20 35J05 92C05 92C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ernst, P. A.; Mei, H.; Peskir, G. Quickest real-time detection of multiple Brownian drifts. (English) Zbl 1541.60028 SIAM J. Control Optim. 62, No. 3, 1832-1856 (2024). MSC: 60G40 60J65 60H30 35H10 45G10 62C10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Csáki, Endre; Földes, Antónia On the local time of anisotropic random walk on \(\mathbb{Z}^2\). (English) Zbl 07865981 J. Theor. Probab. 37, No. 2, 1654-1673 (2024). MSC: 60G50 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bobrowski, Adam New semigroups from old: an approach to Feller boundary conditions. (English) Zbl 07862947 Discrete Contin. Dyn. Syst., Ser. S 17, No. 5-6, 2108-2140 (2024). MSC: 47Dxx 35B06 47D07 47D09 60J35 60J65 60J55 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Matsuda, Toyomu; Perkowski, Nicolas An extension of the stochastic sewing lemma and applications to fractional stochastic calculus. (English) Zbl 1535.60064 Forum Math. Sigma 12, Paper No. e52, 53 p. (2024). MSC: 60G22 60H05 60H10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Borodin, A. N. Brownian local time of the second order. (English. Russian original) Zbl 1537.60105 J. Math. Sci., New York 281, No. 1, 50-58 (2024); translation from Zap. Nauchn. Semin. POMI 505, 75-86 (2021). Reviewer: Weiping Li (Guanghan) MSC: 60J60 33C10 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Ngana, A. Ndongmo; Razafimandimby, P. A. On the existence of global weak solutions to the 3D electrically conductive Rosensweig system and their convergence towards quasi-equilibrium. (English) Zbl 1536.35243 Appl. Math. Optim. 89, No. 2, Paper No. 55, 57 p. (2024). MSC: 35Q30 35Q35 35Q60 76W05 76T20 76U05 35D30 35A01 35A02 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Costantini, Cristina; Kurtz, Thomas G. Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains. (English) Zbl 1534.60103 Stochastic Processes Appl. 170, Article ID 104295, 15 p. (2024). MSC: 60J60 60H10 60J55 60G17 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Arnaudon, Marc; Coulibaly-Pasquier, Koléhè; Miclo, Laurent Couplings of Brownian motions with set-valued dual processes on Riemannian manifolds. (Couplage des mouvements Browniens avec des processus duaux à valeurs ensembles sur des variétés Riemanniennes.) (English. French summary) Zbl 1534.60100 J. Éc. Polytech., Math. 11, 473-522 (2024). Reviewer: Pavel Stoynov (Sofia) MSC: 60J60 60J65 60H10 58J65 53E10 60J55 35K93 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Yu-Ting Delta-Bose gas from the viewpoint of the two-dimensional stochastic heat equation. (English) Zbl 1533.60130 Ann. Probab. 52, No. 1, 127-187 (2024). MSC: 60J55 60J65 60H30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hariya, Yuu Invariance of Brownian motion associated with exponential functionals. (English) Zbl 1534.60111 Stochastic Processes Appl. 167, Article ID 104235, 22 p. (2024). Reviewer: Nasir N. Ganikhodjaev (Tashkent) MSC: 60J65 60J55 60G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Buckner, Dean; Dowd, Kevin; Hulley, Hardy Arbitrage problems with reflected geometric Brownian motion. (English) Zbl 1530.91544 Finance Stoch. 28, No. 1, 1-26 (2024). MSC: 91G15 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nasiri, T.; Zakeri, A.; Aminataei, A. A numerical solution for a quasi solution of the time-fractional stochastic backward parabolic equation. (English) Zbl 1527.65088 J. Comput. Appl. Math. 437, Article ID 115441, 20 p. (2024). Reviewer: Abdallah Bradji (Annaba) MSC: 65M32 65M30 65M06 65T60 65K10 65J20 65F22 65M12 65M15 60G22 35A15 41A50 35A01 35A02 35R30 26A33 35R11 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Sauzedde, Isao Renormalised Amperean Area of Brownian Motions and Symanzik Representation of the 2D Abelian Yang–Mills–Higgs Field. arXiv:2412.16781 Preprint, arXiv:2412.16781 [math.PR] (2024). MSC: 60J65 60J55 81T13 60H30 × Cite Format Result Cite Full Text: arXiv
Atar, Rami; Budhiraja, Amarjit Diffusion limits in the quarter plane and non-semimartingale reflected Brownian motion. arXiv:2403.00320 Preprint, arXiv:2403.00320 [math.PR] (2024). MSC: 60J65 60B10 60J55 60J70 × Cite Format Result Cite Full Text: arXiv
Anzeletti, Lukas; Richard, Alexandre; Tanré, Etienne Regularisation by fractional noise for one-dimensional differential equations with distributional drift. (English) Zbl 1528.60074 Electron. J. Probab. 28, Paper No. 135, 49 p. (2023). MSC: 60H50 34A06 60G22 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Menshikov, Mikhail V.; Mijatović, Aleksandar; Wade, Andrew R. Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity. (English) Zbl 1536.60071 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 4, 1813-1843 (2023). Reviewer: Romeo Negrea (Timişoara) MSC: 60J60 60F15 60J55 60J65 60K50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bressloff, Paul C. Encounter-based reaction-subdiffusion model. I: Surface adsorption and the local time propagator. (English) Zbl 07753598 J. Phys. A, Math. Theor. 56, No. 43, Article ID 435004, 23 p. (2023). MSC: 82C31 82C41 60J65 60J60 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dubey, Ashutosh; Pal, Arnab First-passage functionals for Ornstein-Uhlenbeck process with stochastic resetting. (English) Zbl 07753594 J. Phys. A, Math. Theor. 56, No. 43, Article ID 435002, 19 p. (2023). MSC: 60J65 60J60 82C31 82B31 60J70 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kondratiev, Yuri; da Silva, José L. Compound Poisson processes: potentials, Green measures and random times. (English) Zbl 1515.60271 Stat. Probab. Lett. 197, Article ID 109815, 8 p. (2023). MSC: 60J65 60J55 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bass, Richard F. The rate of escape of the most visited site of Brownian motion. (English) Zbl 1517.60098 Electron. J. Probab. 28, Paper No. 20, 12 p. (2023). MSC: 60J55 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Peskir, Goran; Roodman, David Sticky Feller diffusions. (English) Zbl 1517.60101 Electron. J. Probab. 28, Paper No. 29, 28 p. (2023). MSC: 60J60 60J80 60J65 60H20 35C15 35K20 35K67 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yu, Qian; Chang, Qiangqiang; Shen, Guangjun Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion. (English) Zbl 07706254 Commun. Stat., Theory Methods 52, No. 10, 3541-3556 (2023). MSC: 60G22 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Yen, Ju-Yi Limit theorems of Brownian additive functionals. (English) Zbl 1517.60032 Japan J. Ind. Appl. Math. 40, No. 2, 809-822 (2023). Reviewer: Fraser Daly (Edinburgh) MSC: 60F05 60J55 60G51 60G55 × Cite Format Result Cite Review PDF Full Text: DOI
Tuan, Nguyen Huy; Caraballo, Tomás; Thach, Tran Ngoc Stochastic fractional diffusion equations containing finite and infinite delays with multiplicative noise. (English) Zbl 1529.35539 Asymptotic Anal. 133, No. 1-2, 227-254 (2023). MSC: 35Q99 35A01 35A02 35B65 60J65 60H40 26A33 35R11 35R07 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Banerjee, Sayan; Brown, Brendan Dimension-free local convergence and perturbations for reflected Brownian motions. (English) Zbl 1523.60132 Ann. Appl. Probab. 33, No. 1, 376-416 (2023). Reviewer: Pavel Gapeev (London) MSC: 60J65 60J60 60J55 60K37 37A25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jaramillo, Arturo; Nourdin, Ivan; Nualart, David; Peccati, Giovanni Limit theorems for additive functionals of the fractional Brownian motion. (English) Zbl 07690056 Ann. Probab. 51, No. 3, 1066-1111 (2023). MSC: 62E17 60F05 60G22 60J55 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kay, Toby; Giuggioli, Luca Subdiffusion in the presence of reactive boundaries: a generalized Feynman-Kac approach. (English) Zbl 1532.60226 J. Stat. Phys. 190, No. 5, Paper No. 92, 25 p. (2023). MSC: 60K50 60J65 82C31 60G50 35K57 82C41 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dobson, Matthew; Geraldo, Abdel Kader A. Convergence of nonequilibrium Langevin dynamics for planar flows. (English) Zbl 1520.82032 J. Stat. Phys. 190, No. 5, Paper No. 91, 15 p. (2023). Reviewer: Franco Fagnola (Milano) MSC: 82C31 82D15 60J60 60J65 35B65 35A01 35A02 35Q84 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bock, Wolfgang; Grothaus, Martin; Orge, Karlo Stochastic analysis for vector-valued generalized grey Brownian motion. (English) Zbl 1511.60064 Theory Probab. Math. Stat. 108, 1-27 (2023). MSC: 60G22 60G20 46F25 46F12 33E12 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Oçafrain, William An ergodic theorem for asymptotically periodic time-inhomogeneous Markov processes, with application to quasi-stationarity with moving boundaries. (English) Zbl 1512.60049 Adv. Appl. Probab. 55, No. 2, 672-700 (2023). MSC: 60J25 60F25 60J55 60J60 60J65 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Iksanov, Alexander; Pilipenko, Andrey On a skew stable Lévy process. (English) Zbl 1504.60055 Stochastic Processes Appl. 156, 44-68 (2023). MSC: 60F17 60G51 60J65 60J35 60J50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bogdanskii, Victor; Pavlyukevich, Ilya; Pilipenko, Andrey Limit behaviour of random walks on \(\mathbb{Z}^m\) with two-sided membrane. (English) Zbl 1520.60036 ESAIM, Probab. Stat. 26, 352-377 (2022). MSC: 60J10 60G42 60G50 60H10 60J55 60K37 60J65 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xu, Jiaohui; Caraballo, Tomás Well-posedness of stochastic time fractional 2D-Stokes models with finite and infinite delay. (English) Zbl 1505.35291 Electron. J. Differ. Equ. 2022, Paper No. 86, 29 p. (2022). MSC: 35Q30 35B65 35A01 35A02 33E12 60J65 60G22 60H15 65F08 65F10 26A33 35R11 35R07 35R60 × Cite Format Result Cite Review PDF Full Text: Link
Wang, Wei; Zhai, Jianliang; Zhang, Tusheng Stochastic two-dimensional Navier-Stokes equations on time-dependent domains. (English) Zbl 1502.35088 J. Theor. Probab. 35, No. 4, 2916-2939 (2022). MSC: 35Q30 76D05 60H15 35D35 35A01 35A02 60J65 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Csáki, Endre; Földes, Antónia Strong approximation of the anisotropic random walk revisited. (English) Zbl 07621032 J. Theor. Probab. 35, No. 4, 2879-2895 (2022); correction ibid. 36, No. 2, 1339 (2023). MSC: 60G50 60J65 60F15 60J10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Kim, Donghan Local times for continuous paths of arbitrary regularity. (English) Zbl 1515.60267 J. Theor. Probab. 35, No. 4, 2540-2568 (2022). MSC: 60J55 60H05 60G15 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Deng Strichartz and local smoothing estimates for stochastic dispersive equations with linear multiplicative noise. (English) Zbl 1507.35222 SIAM J. Math. Anal. 54, No. 6, 5981-6017 (2022). Reviewer: Vedran Sohinger (Coventry) MSC: 35Q41 35Q55 35R60 35S05 60H15 35B65 60J65 35A01 35A02 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ernst, Philip A.; Peskir, Goran Quickest real-time detection of a Brownian coordinate drift. (English) Zbl 1499.60129 Ann. Appl. Probab. 32, No. 4, 2652-2670 (2022). MSC: 60G40 60J65 60H30 35J15 45G10 62C10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Al Motairi, Hessah Discounted optimal stopping problems in first-passage time models with random thresholds. (English) Zbl 1517.60046 J. Appl. Probab. 59, No. 3, 714-733 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 60J60 35R35 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mukherjee, Chiranjib Central limit theorem for Gibbs measures on path spaces including long range and singular interactions and homogenization of the stochastic heat equation. (English) Zbl 1496.60021 Ann. Appl. Probab. 32, No. 3, 2028-2062 (2022). MSC: 60F05 60J65 60H15 60H30 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Li, Libo Perpetual American standard and lookback options with event risk and asymmetric information. (English) Zbl 1508.91559 SIAM J. Financ. Math. 13, No. 3, 773-801 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 91G20 60G40 35R35 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V. Discounted optimal stopping problems in continuous hidden Markov models. (English) Zbl 1503.60049 Stochastics 94, No. 3, 335-364 (2022). Reviewer: Yana Kinderknecht (Saarbrücken) MSC: 60G40 91G20 60J22 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N.; Thijssen, Jacco J. J. Optimal double stopping problems for maxima and minima of geometric Brownian motions. (English) Zbl 1490.60097 Methodol. Comput. Appl. Probab. 24, No. 2, 789-813 (2022). MSC: 60G40 91G20 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V. Perpetual American double lookback options on drawdowns and drawups with floating strikes. (English) Zbl 1489.91259 Methodol. Comput. Appl. Probab. 24, No. 2, 749-788 (2022). MSC: 91G20 60J60 91B70 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Kaikina, Elena I.; Sotelo-Garcia, Norma; Vázquez-Esquivel, Alexis V. Stochastic nonlinear Schrödinger equation on half-line with boundary noise. (English) Zbl 1491.35404 J. Differ. Equations 331, 70-98 (2022). MSC: 35Q55 35Q41 35B65 35A01 35A02 44A10 60H15 60H40 60J65 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Gairat, Alexander; Shcherbakov, Vadim Skew Brownian motion with dry friction: joint density approach. (English) Zbl 1487.60147 Stat. Probab. Lett. 187, Article ID 109511, 4 p. (2022). MSC: 60J65 60J70 60J60 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Li, Libo Optimal stopping problems for maxima and minima in models with asymmetric information. (English) Zbl 1497.60060 Stochastics 94, No. 4, 602-628 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Barnes, Clayton Convergence of jump processes with stochastic intensity to Brownian motion with inert drift. (English) Zbl 1489.60136 Bernoulli 28, No. 2, 1491-1518 (2022). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60J76 60J65 60G50 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Afanasyev, V. I. On the local time of a stopped random walk attaining a high level. (English. Russian original) Zbl 07517596 Proc. Steklov Inst. Math. 316, 5-25 (2022); translation from Tr. Mat. Inst. Steklova 316, 11-31 (2022). MSC: 60G50 60F17 × Cite Format Result Cite Review PDF Full Text: DOI
Monthus, Cécile Microcanonical conditioning of Markov processes on time-additive observables. (English) Zbl 1539.60096 J. Stat. Mech. Theory Exp. 2022, No. 2, Article ID 023207, 39 p. (2022). MSC: 60J55 82C41 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hariya, Yuu Extensions of Bougerol’s identity in law and the associated anticipative path transformations. (English) Zbl 1484.60089 Stochastic Processes Appl. 146, 311-334 (2022). MSC: 60J65 60J55 60G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Okada, Izumi; Yanagida, Eiji Probabilistic approach to the heat equation with a dynamic Hardy-type potential. (English) Zbl 1480.60193 Stochastic Processes Appl. 145, 204-225 (2022). MSC: 60H30 35K57 35K67 60J65 35K15 60J55 × Cite Format Result Cite Review PDF Full Text: DOI
Das, Kaustav; Markowsky, Greg Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion. (English) Zbl 1480.60101 Stochastic Anal. Appl. 40, No. 1, 133-157 (2022). MSC: 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Yu-Ting Two-dimensional delta-Bose gas: skew-product relative motion and exact non-Gaussianity for the stochastic heat equation. arXiv:2207.06331 Preprint, arXiv:2207.06331 [math.PR] (2022). MSC: 60J55 60J65 60H30 × Cite Format Result Cite Full Text: arXiv OA License
Grebenkov, Denis S. Statistics of boundary encounters by a particle diffusing outside a compact planar domain. (English) Zbl 1519.82091 J. Phys. A, Math. Theor. 54, No. 1, Article ID 015003, 17 p. (2021). MSC: 82C31 60J70 82C70 35J25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Pène, Françoise Limit theorems for additive functionals of random walks in random scenery. (English) Zbl 1483.60039 Electron. J. Probab. 26, Paper No. 128, 46 p. (2021). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60F05 60F17 60G15 60G18 60K37 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Kort, Peter M.; Lavrutich, Maria N. Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs. (English) Zbl 1497.60059 Adv. Appl. Probab. 53, No. 1, 189-219 (2021). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 60J27 35R35 × Cite Format Result Cite Review PDF Full Text: DOI Link
Durga, N.; Muthukumar, P.; Fu, Xianlong Stochastic time-optimal control for time-fractional Ginzburg-Landau equation with mixed fractional Brownian motion. (English) Zbl 1479.35833 Stochastic Anal. Appl. 39, No. 6, 1144-1165 (2021). MSC: 35Q56 26A33 35R11 49J20 60G22 60G57 60H15 35A01 × Cite Format Result Cite Review PDF Full Text: DOI
Sarantsev, Andrey Penalty method for obliquely reflected diffusions. (English) Zbl 07441583 Lith. Math. J. 61, No. 4, 518-549 (2021). Reviewer: Alexander I. Zejfman (Vologda) MSC: 60J60 60J55 60J65 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ma, Tianyu; Matveev, Vladimir S.; Pavlyukevich, Ilya Geodesic random walks, diffusion processes and Brownian motion on Finsler manifolds. (English) Zbl 1482.82030 J. Geom. Anal. 31, No. 12, 12446-12484 (2021). MSC: 82B41 82C41 53B40 53C60 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Eyi Obiang, Fulgence Resolution of the skew Brownian motion equations with stochastic calculus for signed measures. (English) Zbl 1482.60059 Stochastic Anal. Appl. 39, No. 5, 775-803 (2021). MSC: 60G44 60J65 60H10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Touhami, Wajdi On skew sticky Brownian motion. (English) Zbl 1476.60141 Stat. Probab. Lett. 173, Article ID 109086, 9 p. (2021). MSC: 60J60 60J65 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Hong, Minhao; Xu, Fangjun Derivatives of local times for some Gaussian fields. II. (English) Zbl 1476.60070 Stat. Probab. Lett. 172, Article ID 109063, 9 p. (2021). MSC: 60F25 60G15 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jaramillo, Arturo; Nourdin, Ivan; Peccati, Giovanni Approximation of fractional local times: zero energy and derivatives. (English) Zbl 1476.60068 Ann. Appl. Probab. 31, No. 5, 2143-2191 (2021). MSC: 60F17 60G22 60H07 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Erhard, Dirk; Franco, Tertuliano; da Silva, Diogo S. The slow bond random walk and the snapping out Brownian motion. (English) Zbl 1476.60048 Ann. Appl. Probab. 31, No. 1, 99-127 (2021). MSC: 60F05 60F17 60J27 60J65 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Wang, Chen; Yang, Saisai; Zhang, Tusheng Reflected Brownian motion with singular drift. (English) Zbl 1480.60173 Bernoulli 27, No. 2, 866-898 (2021). MSC: 60H10 60J60 60H20 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, X. Condition for the intersection occupation measure to be absolutely continuous. (English. Ukrainian original) Zbl 1480.60108 Ukr. Math. J. 72, No. 9, 1503-1512 (2021); translation from Ukr. Mat. Zh. 72, No. 9, 1304-1312 (2020). MSC: 60G50 60J55 60G15 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Nguyen, Thu Dang Thien Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem. (English) Zbl 1462.35161 Math. Phys. Anal. Geom. 24, No. 2, Paper No. 10, 16 p. (2021). MSC: 35K20 60J55 60J60 60J65 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sun, Xichao; Yan, Litan; Yu, Xianye Quadratic covariations for the solution to a stochastic heat equation with space-time white noise. (English) Zbl 1482.60055 Adv. Difference Equ. 2020, Paper No. 254, 42 p. (2020). MSC: 60G15 60H05 60H15 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Banerjee, Sayan; Budhiraja, Amarjit Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions. (English) Zbl 1472.60135 Ann. Appl. Probab. 30, No. 5, 2005-2029 (2020). MSC: 60J60 60H10 60J65 60K25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Barnes, Clayton L. Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. (English) Zbl 1464.60080 Ann. Appl. Probab. 30, No. 4, 1582-1613 (2020). MSC: 60K35 60H10 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Ernst, P. A.; Peskir, Goran; Zhou, Q. Optimal real-time detection of a drifting Brownian coordinate. (English) Zbl 1476.60078 Ann. Appl. Probab. 30, No. 3, 1032-1065 (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60J65 60H30 35J15 45G10 62C10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Gapeev, Pavel V. Optimal stopping problems for running minima with positive discounting rates. (English) Zbl 1464.60036 Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 91G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hong, Jieliang On the boundary local time measure of super-Brownian motion. (English) Zbl 1471.60071 Electron. J. Probab. 25, Paper No. 106, 66 p. (2020). MSC: 60G57 60J68 60H30 35J75 60J80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Nilssen, Torstein Rough linear PDE’s with discontinuous coefficients – existence of solutions via regularization by fractional Brownian motion. (English) Zbl 1441.60048 Electron. J. Probab. 25, Paper No. 34, 33 p. (2020). MSC: 60H15 60H10 60G22 60H05 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Capitanelli, Raffaela; D’Ovidio, Mirko Delayed and rushed motions through time change. (English) Zbl 1446.60032 ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 1, 183-204 (2020). MSC: 60G22 35R11 60H15 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Wiśniewolski, Maciej Integral functionals under the excursion measure. (English) Zbl 1434.60210 J. Appl. Probab. 57, No. 1, 137-155 (2020). MSC: 60J45 60J55 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Yan, Litan; Li, Yumiao; He, Kun Rough path analysis for local time of \(G\)-Brownian motion. (English) Zbl 1444.60089 Appl. Anal. 99, No. 6, 899-921 (2020). MSC: 60L20 60G65 60H05 60H30 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Shi, Qun Fractional smoothness of derivative of self-intersection local times with respect to bi-fractional Brownian motion. (English) Zbl 1436.93063 Syst. Control Lett. 138, Article ID 104627, 9 p. (2020). MSC: 93C15 60G22 60G15 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wensheng; Su, Zhonggen; Xiao, Yimin The moduli of non-differentiability for Gaussian random fields with stationary increments. (English) Zbl 1466.60104 Bernoulli 26, No. 2, 1410-1430 (2020). MSC: 60G60 60G15 60G17 60G22 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Pavlyukevich, Ilya; Shevchenko, Georgiy Stratonovich stochastic differential equation with irregular coefficients: Girsanov’s example revisited. (English) Zbl 1466.60120 Bernoulli 26, No. 2, 1381-1409 (2020). MSC: 60H10 60J60 60K50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Pal, Arnab; Chatterjee, Rakesh; Reuveni, Shlomi; Kundu, Anupam Local time of diffusion with stochastic resetting. (English) Zbl 1509.60151 J. Phys. A, Math. Theor. 52, No. 26, Article ID 264002, 31 p. (2019). MSC: 60J70 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yu, Xianye Smoothness of self-intersection local time of multidimensional fractional Brownian motion. (English) Zbl 1508.60051 Commun. Stat., Theory Methods 48, No. 17, 4278-4293 (2019). MSC: 60G22 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Zhenlong; Sang, Liheng; Hao, Xiaozhen Correction to: “Renormalized self-intersection local time of bifractional Brownian motion”. (English) Zbl 1499.60122 J. Inequal. Appl. 2019, Paper No. 21, 2 p. (2019). MSC: 60G22 60G15 60J55 60G18 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V. Perpetual dual American barrier options for short sellers. (English) Zbl 1434.62221 Steland, Ansgar (ed.) et al., Stochastic models, statistics and their applications. Collected papers based on the presentations at the 14th workshop, Dresden, Germany, March 6–8, 2019. Cham: Springer. Springer Proc. Math. Stat. 294, 85-99 (2019). MSC: 62P05 60G40 60J65 91G30 × Cite Format Result Cite Review PDF Full Text: DOI Link
Bröker, Yannic; Mukherjee, Chiranjib Localization of the Gaussian multiplicative chaos in the Wiener space and the stochastic heat equation in strong disorder. (English) Zbl 1432.60088 Ann. Appl. Probab. 29, No. 6, 3745-3785 (2019). MSC: 60K35 60J65 60J55 60F10 35R60 35Q82 60H15 82D60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Hughes, Thomas; Perkins, Edwin On the boundary of the zero set of super-Brownian motion and its local time. (English. French summary) Zbl 1434.60234 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 4, 2395-2422 (2019). MSC: 60J68 60J55 60H15 28A78 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Bröker, Yannic; Mukherjee, Chiranjib Quenched central limit theorem for the stochastic heat equation in weak disorder. (English) Zbl 1430.60063 Friz, Peter (ed.) et al., Probability and analysis in interacting physical systems. In honor of S. R. S. Varadhan. Based on a workshop on the occasion of Varadhan’s 75th birthday, TU Berlin, Germany, August 15–19, 2016. Cham: Springer. Springer Proc. Math. Stat. 283, 173-189 (2019). MSC: 60J65 60J55 60F10 82D60 35R60 80A19 82B44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zervos, Mihail; Rodosthenous, Neofytos; Lon, Pui Chan; Bernhardt, Thomas Discretionary stopping of stochastic differential equations with generalised drift. (English) Zbl 1427.60071 Electron. J. Probab. 24, Paper No. 140, 39 p. (2019). MSC: 60G40 60J55 60J60 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Meunier, Nicolas; Mouhot, Clément; Roux, Raphaël Long time behavior in locally activated random walks. (English) Zbl 1428.35628 Commun. Math. Sci. 17, No. 4, 1071-1094 (2019). MSC: 35Q92 60J65 35B40 35A01 35B44 82C41 92D25 92C17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Krajenbrink, Alexandre; Lacroix-A-Chez-Toine, Bertrand; Le Doussal, Pierre Distribution of Brownian coincidences. (English) Zbl 1480.60249 J. Stat. Phys. 177, No. 1, 119-150 (2019). MSC: 60J65 82C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Hui Scaling limit of the local time of the reflected \((1, 2)\)-random walk. (English) Zbl 1422.60151 Stat. Probab. Lett. 155, Article ID 108578, 8 p. (2019). MSC: 60J80 60G50 × Cite Format Result Cite Review PDF Full Text: DOI
He, Xue Dong; Hu, Sang; Obłój, Jan; Zhou, Xun Yu Two explicit Skorokhod embeddings for simple symmetric random walk. (English) Zbl 1479.60081 Stochastic Processes Appl. 129, No. 9, 3431-3445 (2019). MSC: 60G40 60G50 60J55 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv