Stochastic calculus for Brownian motion on a Brownian fracture
From MaRDI portal
Publication:1578583
DOI10.1214/aoap/1029962807zbMath0956.60054OpenAlexW2090226811MaRDI QIDQ1578583
Davar Khoshnevisan, Thomas M. Lewis
Publication date: 4 September 2000
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1029962807
stochastic integrationexcursion theoryBrownian motion in random sceneryiterated Brownian motionsample-path variation
Stochastic integrals (60H05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items
A weak version of path-dependent functional Itô calculus ⋮ Iterated Brownian motion in an open set. ⋮ Iterated Brownian motion in bounded domains in \(\mathbb {R}^n\) ⋮ Random walks at random times: convergence to iterated Lévy motion, fractional stable motions, and other self-similar processes ⋮ Asymptotic properties of Brownian motion delayed by inverse subordinators ⋮ A linearized Kuramoto-Sivashinsky PDE via an imaginary-Brownian-time-Brownian-angle process ⋮ Isoperimetric-type inequalities for iterated Brownian motion in \(\mathbb R^n\) ⋮ Path Properties of Subdiffusion—A Martingale Approach ⋮ Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$ ⋮ Iterated Brownian motion in parabola-shaped domains ⋮ Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Asymptotic behavior of weighted power variations of fractional Brownian motion in Brownian time ⋮ A law of the iterated logarithm for stable processes in random scenery ⋮ Brownian subordinators and fractional Cauchy problems ⋮ Brownian motion in a Brownian crack ⋮ Fluctuations of the power variation of fractional Brownian motion in Brownian time
Cites Work
- The uniform modulus of continuity of iterated Brownian motion
- Probabilistic construction of the solution of some higher order parabolic differential equation
- A self normalized law of the iterated logarithm for random walk in random scenery
- A law of the iterated logarithm for random walk in random scenery with deterministic normalizers
- Local times and related properties of multidimensional iterated Brownian motion
- Differential equations driven by rough signals
- Brownian excursions on combs
- Brownian motion in a Brownian crack
- Exact rates of convergence to Brownian local time
- A central limit theorem for two-dimensional random walks in random sceneries
- Laws of the iterated logarithm for iterated Wiener processes
- Lower limits of iterated Wiener processes
- The Csörgö-Révész modulus of non-differentiability of iterated Brownian motion
- On the law of the iterated logarithm for Gaussian processes
- Iterated Brownian motion and stable \((1/4)\) subordinator
- Chung's law of the iterated logarithm for iterated Brownian motion
- The local time of iterated Brownian motion
- Some properties of a special class of self-similar processes
- A Limit Theorem for Brownian Motion in a Random Scenery
- A limit theorem related to a new class of self similar processes
- Strongly correlated random fields as observed by a random walker
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
