Markov Processes, Gaussian Processes, and Local Times

DOI10.1017/CBO9780511617997zbMATH Open1129.60002OpenAlexW1575826768MaRDI QIDQ5484937FDOQ5484937

Authors: Michael B. Marcus, Jay Rosen 

Publication date: 22 August 2006

Full work available at URL: https://doi.org/10.1017/cbo9780511617997

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zbMATH Keywords

Stochastic ProcessesPotential TheoryBrownian MotionMarkov ProcessesDiffusion ProcessesModulus of ContinuityGaussian ProcessesSample Path PropertiesLocal TimesDynkin IsomorphismLévy ProcessesRay-Knight TheoremRegularity of Sample Paths

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Random fields (60G60) Diffusion processes (60J60) Stationary stochastic processes (60G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Local time and additive functionals (60J55) Right processes (60J40)

Cited In (only showing first 100 items - show all)

• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• On the shape of trajectories of Gaussian processes having large massive excursions. II
• Explicit formula for the density of local times of Markov jump processes
• The suprema of infinitely divisible processes
• Phase transitions in asymptotically singular Anderson Hamiltonian and parabolic model
• Decompositions of infinitely divisible nonnegative processes
• The first passage sets of the 2D Gaussian free field: convergence and isomorphisms
• Path and semimartingale properties of chaos processes
• Occupation densities for certain processes related to fractional Brownian motion
• On bulk deviations for the local behavior of random interlacements
• Local times of self-intersection
• Variants on the Berz sublinearity theorem
• On pinned fields, interlacements, and random walk on \(({\mathbb {Z}}/N {\mathbb {Z}})^2\)
• Isomorphism theorems for Markov chains.
• On coupling and ``Vacant set level set percolation
• Covariant Symanzik identities
• On sojourn of Brownian motion inside moving boundaries
• Diffusion transformations, Black-Scholes equation and optimal stopping
• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Persistence probabilities for stationary increment processes
• Asymptotic expansions for functions of the increments of certain Gaussian processes
• Beyond Haar and Cameron-Martin: the Steinhaus support
• Inverting the coupling of the signed Gaussian free field with a loop-soup
• On the favorite points of symmetric Lévy processes
• Restrictions of Hölder continuous functions
• Representations and isomorphism identities for infinitely divisible processes
• A stochastic sewing lemma and applications
• Squared Bessel processes of positive and negative dimension embedded in Brownian local times
• Maximal inequalities and some applications
• Exponential concentration of cover times
• Powers of Brownian Green potentials
• Prediction theory for stationary functional time series
• Local nondeterminism and the exact modulus of continuity for stochastic wave equation
• Maximal moments and uniform modulus of continuity for stable random fields
• The rate of escape of the most visited site of Brownian motion
• Regularity of Gaussian processes on Dirichlet spaces
• A class of fractional Brownian fields from branching systems and their regularity properties
• Strong local nondeterminism and exact modulus of continuity for spherical Gaussian fields
• Occupation densities for certain processes related to subfractional Brownian motion
• Stochastic differential equation for Brox diffusion
• Inverting the ray-knight identity on the line
• Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin
• Diffusion approximations in the online increasing subsequence problem
• Central limit theorems for the local times of certain Markov processes and the squares of Gaussian processes
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• On the laws of total local times for \(h\)-paths and bridges of symmetric Lévy processes
• Reaction-diffusion on metric graphs: from 3D to 1D
• Non-stationary multi-layered Gaussian priors for Bayesian inversion
• Title not available (Why is that?)
• A functional CLT for the \(L^2\) modulus of continuity of local time
• Isomorphism theorems: Markov processes, Gaussian processes and beyond
• Sample path properties of permanental processes
• \(L^p\) moduli of continuity of Gaussian processes and local times of symmetric Lévy processes
• The geometry of random walk isomorphism theorems
• Sample paths properties of the set-indexed fractional Brownian motion
• Limit theorems for additive functionals of random walks in random scenery
• Chemical distances for percolation of planar Gaussian free fields and critical random walk loop soups
• The sign clusters of the massless Gaussian free field percolate on \(\mathbb{Z}^{d}\), \(d \geqslant 3\) (and more)
• On Piecing Together Locally Defined Markov Processes
• Uniform Hausdorff dimension result for the inverse images of stable Lévy processes
• An optimal regularity result on the quasi-invariant Gaussian measures for the cubic fourth order nonlinear Schrödinger equation
• Nonlinear Young integrals and differential systems in Hölder media
• Large deviations for self-intersection local times of stable random walks
• Intersection local times for interlacements
• Fernique-type inequalities and moduli of continuity for anisotropic Gaussian random fields
• On the stochastic heat equation with spatially-colored random forcing
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• A decomposition for additive functionals of Lévy processes
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• The subleading order of two dimensional cover times
• A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
• Applying Brownian motion to the study of birth-death chains
• Steady-state GI/G/\(n\) queue in the Halfin-Whitt regime
• Permanental vectors
• Diffusivity bounds for 1D Brownian polymers
• Random interlacements and the Gaussian free field
• Title not available (Why is that?)
• Gaussian fields, equilibrium potentials and multiplicative chaos for Dirichlet forms
• Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
• On the local time of Gaussian and Lévy processes
• Estimating the volatility occupation time via regularized Laplace inversion
• Gaussian random fields on the sphere and sphere cross line
• Characterization of positively correlated squared Gaussian processes
• Mosco-convergence and Wiener measures for conductive thin boundaries
• Markov bridges: SDE representation
• Symmetric Markov processes, time change, and boundary theory
• A Ray-Knight theorem for symmetric Markov processes.
• Exact moduli of continuity for operator-scaling Gaussian random fields
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Intersection local times, loop soups and permanental Wick powers
• On permanental processes
• Semilinear stochastic equations with bilinear fractional noise
• Mixed fractional Brownian sheets and their applications
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Local time-space calculus for symmetric Lévy processes
• On scaling limits and Brownian interlacements
• On the continuity of local times of Borel right Markov processes
• A local-time correspondence for stochastic partial differential equations
• Large deviations for Riesz potentials of additive processes
• Inverting Ray-Knight identity

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