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Now showing items 71-80 of 84

#### 2-D Brownian motion in a system of reflecting barriers: effective diffusivity by a sampling method

(Institute of Physics, 1994-02-07)

We study two-dimensional Brownian motion in an ordered periodic system of linear reflecting barriers using the sampling method and conformal transformations. We calculate the effective diffusivity for the Brownian particle. When the periods are fixed but the length of the barrier goes to zero, the effective diffusivity in ...

#### Iterated law of iterated logarithm

(Institute of Mathematical Statistics, 1995-10)

Suppose [epsilon] [is a member of the set] [0, 1) and let theta [subscipt epsilon] (t) = (1 − [epsilon]) [square root of] (2tln [subscript] 2 t). Let L [to the power of epsilon] [subscript] t denote the amount of local time spent by Brownian motion on the curve [theta subscript epsilon] (s) before time t. If [epsilon] > 0 ...

#### Lifetimes of conditioned diffusions

(Springer-Verlag GmbH, 1992)

We investigate when an upper bound on expected lifetimes of conditioned diffusions associated with elliptic operators in divergence and non-divergence form can be found. The critical value of the parameter is found for each of the following classes of domains: L [to the power of p] domains (p = n − 1), uniformly regular twisted ...

#### Coalescence of skew Brownian motions

(Springer-Verlag, 2001)

The purpose of this short note is to prove almost sure coalescence of two skew Brownian motions starting from different initial points, assuming that they are driven by the same Brownian motion. The result is very simple but we would like to record it in print as it has already become the foundation of a research project of ...

#### Shocks and business cycles

(Berkeley Electronic Press, 2005)

A popular theory of business cycles is that they are driven by animal spirits: shifts in expectations brought on by sunspots. A prominent example is Howitt and McAfee (AER, 1992). We show that this model has a unique equilibrium if there are payoff shocks of any size. This equilibrium still has the desirable property that ...

#### Synchronous couplings of reflected Brownian motions in smooth domains

(2005)

For every bounded planar domain D with a smooth boundary, we define a "Lyapunov exponent" [Lambda](D) using a fairly explicit formula. We consider two reflected Brownian motions in D, driven by the same Brownian motion (i.e., a "synchronous coupling"). If [Lambda] (D) > 0 then the distance between the two Brownian particles ...

#### Traps for Reflected Brownian Motion

(Springer-Verlag GmbH, 2005-08-16)

Consider an open set D [is an element of the set] R [The set of Real Numbers] [superscript]d, d [is greater than or equal to] 2, and a closed ball B [is a proper subset of] D. Let E[superscript]xT[subscript]B denote the expectation of the hitting time of B for reflected Brownian motion in D starting from x [is an element of ...

#### The Heat Equation and Reflected Brownian Motion in Time-Dependent Domains

(Institute of Mathematical Statistics, 2004-01)

The paper is concerned with reflecting Brownian motion (RBM) in domains with deterministic moving boundaries, also known as "non-cylindrical domains," and its connections with partial differential equations. Construction is given for reflecting Brownian motion in C3-smooth time-dependent domains in the n-dimensional Euclidean ...

#### The "hot spots" problem in planar domains with one hole.

(Duke University Press, 2005)

There exists a planar domain with piecewise smooth boundary and one hole such that the second eigenfunction for the Laplacian with Neumann boundary conditions attains its maximum and minimum inside the domain.

#### An annihilating-branching particle model for the heat equation with average temperature zero

(2005)

We consider two species of particles performing random walks in a domain in [Real numbers] [superscript] d with reflecting boundary conditions, which annihilate on contact. In addition there is a conservation law so that the total number of particles of each type is preserved: When the two particles of different species ...