Browsing Mathematics, Department of by Author "Barlow, Martin T."
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Coalescence of skew Brownian motions
Burdzy, Krzysztof; Barlow, Martin T.; Kaspi, Haya; Mandelbaum, Avi (SpringerVerlag, 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 ... 
Positivity of Brownian transition densities
Burdzy, Krzysztof; Barlow, Martin T.; Bass, Richard F. (Electronic Journal of Probability, 19970924)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 ... 
Variably skewed Brownian motion
Burdzy, Krzysztof; Barlow, Martin T.; Kaspi, Haya; Mandelbaum, Avi (Institute of Mathematical Statistics, 20000301)Given a standard Brownian motion B, we show that the equation X [subscript] t = x [subscript] 0 + B [subscript] t + [beta](L [to the power of X] [subscript] t ); t [is greater than or equal to] 0 ; has a unique strong ...