Now showing items 41-50 of 84
The supremum of Brownian local times on Holder curves
For f : [maps the set] [0, 1] [into the set of real numbers] R, we consider L ([to the power of] f [subscript] t), the local time of spacetime Brownian motion on the curve f. Let S [subscript alpha] be the class of all functions whose Holder norm of order [alpha] is less than or equal to 1. We show that the supremum of L ...
A probabilistic proof of the boundary Harnack principle
(Birkhauser Boston, Inc., 1990)
The main purpose of this paper is to give a probabilistic proof of Theorem 1.1, one using elementary properties of Brownian motion. We also obtain the fact that the Martin boundary equals the Euclidean boundary as an easy corollary of Theorem 1.1. The boundary Harnack principle may be viewed as a Harnack inequality for ...
On Neumann eigenfunctions in lip domains
(American Mathematical Society, 2004)
A "lip domain" is a planar set lying between graphs of two Lipschitz functions with constant 1. We show that the second Neumann eigenvalue is simple in every lip domain except the square. The corresponding eigenfunction attains its maximum and minimum at the boundary points at the extreme left and right. This settles the ...
No triple point of planar Brownian motion is accessible
(Institute of Mathematical Statistics, 1996-01)
We show that the boundary of a connected component of the complement of a planar Brownian path on a fixed time-interval contains almost surely no triple point of this Brownian path.
A Skorobod-type lemma and a decomposition of reflected Brownian motion
(Institute of Mathematical Statistics, 1995-04)
We consider two-dimensional reflected Brownian motions in sharp thorns pointed downward with horizontal vectors of reflection. We present a decomposition of the process into a Brownian motion and a process which has bounded variation away from the tip of the thorn. The construction is based on a new Skorohod-type lemma.
Brownian motion in a Brownian crack
(Institute of Mathematical Statistics, 1998-08)
Let D be the Wiener sausage of width [epsilon] around two-sided Brownian motion. The components of two-dimensional reflected Brownian motion in D converge to one-dimensional Brownian motion and iterated Brownian motion, resp., as [epsilon] goes to 0.
On the time and direction of stochastic bifurcation
This paper is a mathematical companion to an article introducing a new economics model, by Burdzy, Frankel and Pauzner (1997). The motivation of this paper is applied, but the results may have some mathematical interest in their own right. Our model, i.e., equation (1.1) below, does not seem to be known in literature. Despite ...
Positivity of Brownian transition densities
(Electronic Journal of Probability, 1997-09-24)
Let B be a Borel subset of R [to the power of] d and let p(t, x, y) be the transition densities of Brownian motion killed on leaving B. Fix x and y in B. If p(t, x, y) is positive for one t, it is positive for every value of t. Some related results are given.
Coalescence of synchronous couplings
(Springer-Verlag GmbH, 2002-08)
We consider a pair of reflected Brownian motions in a Lipschitz planar domain starting from different points but driven by the same Brownian motion. First we construct such a pair of processes in a certain weak sense, since it is not known whether a strong solution to the Skorohod equation in Lipschitz domains exists. Then ...
Fast equilibrium selection by rational players living in a changing world
(The Econometric Society, 2001-01)
We study a coordination game with randomly changing payoffs and small frictions in changing actions. Using only backwards induction, we find that players must coordinate on the risk-dominant equilibrium. More precisely, a continuum of fully rational players are randomly matched to play a symmetric 2 x 2 game. The payoff matrix ...