Markov Processes, Brownian Motion, and Time Symmetry

DOI10.1007/0-387-28696-9MaRDI QIDQ5692144zbMATH OpenOpenAlexFDO

Authors Kai Lai Chung, John B. Walsh

Publication date 27 September 2005

Published in Grundlehren der mathematischen Wissenschaften (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-28696-9

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Cited in

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Intrinsic ultracontractivity of non-symmetric diffusion semigroups in bounded domains
Path transformations for local times of one-dimensional diffusions
Diffusion transformations, Black-Scholes equation and optimal stopping
Excessive measures for linear diffusions
Sample path properties of permanental processes
Pointwise weak existence for diffusions associated with degenerate elliptic forms and 2-admissible weights
Multidimensional investment problem
The transition density of Brownian motion killed on a bounded set
Irreducible decomposition for Markov processes
Generalized refracted Lévy process and its application to exit problem
Semilinear equations for non-local operators: beyond the fractional Laplacian
Periodic homogenization of a Lévy-type process with small jumps
Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)
Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes
A free boundary characterisation of the root barrier for Markov processes
Concatenation and pasting of right processes
Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary
Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes
Fokker-Planck equation for Feynman-Kac transform of anomalous processes
Regime switching optimal growth model with risk sensitive preferences
Generalized scale functions of standard processes with no positive jumps
Optimal trading of imbalance options for power systems using an energy storage device
Dirichlet forms and polymer models based on stable processes
Factorization and estimates of Dirichlet heat kernels for non-local operators with critical killings
Superdiffusions with super-exponential growth: construction, mass and spread
Existence, uniqueness and ergodic properties for time-homogeneous Itô-SDEs with locally integrable drifts and Sobolev diffusion coefficients
Independence times for iid sequences, random walks and Lévy processes
Stable processes conditioned to avoid an interval
Stable processes conditioned to hit an interval continuously from the outside
Green function for gradient perturbation of unimodal Lévy processes in the real line
Inverting the coupling of the signed Gaussian free field with a loop-soup
Resolvent-techniques for multiple exercise problems
On the existence of the dual right Markov process and applications
Barriers, exit time and survival probability for unimodal Lévy processes
Pointwise eigenfunction estimates and intrinsic ultracontractivity-type properties of Feynman-Kac semigroups for a class of Lévy processes
Quenched invariance principles for random walks and elliptic diffusions in random media with boundary
Functional central limit theorems for supercritical superprocesses
The Markovian hyperbolic triangulation
A class of solvable multiple entry problems with forced exits
Lévy processes with finite variance conditioned to avoid an interval
Trace operator and the Dirichlet problem for elliptic equations on arbitrary bounded open sets
\(h \hat h\)-transforms of positivity preserving semigroups and associated Markov processes
On the notion(s) of duality for Markov processes
On dual processes of non-symmetric diffusions with measure-valued drifts
Dirichlet heat kernel estimates for stable processes with singular drift in unbounded \(C^{1,1}\) open sets
Applying Dynkin's isomorphism: an alternative approach to understand the Markov property of the de Wijs process
Stochastic exponentials and logarithms on stochastic intervals. A survey
Hyperbolic Green function estimates
Evolving systems of stochastic differential equations
Hopf type lemmas for subsolutions of integro-differential equations
Harnack inequality and interior regularity for Markov processes with degenerate jump kernels
Transient one-dimensional diffusions conditioned to converge to a different limit point
Integral representations of certain measures in the one-dimensional diffusions excursion theory
On h-transforms of one-dimensional diffusions stopped upon hitting zero
Estimates on the amplitude of the first Dirichlet eigenvector in discrete frameworks
An effective method for the explicit solution of sequential problems on the real line
On harmonic functions for trace processes
Semi-Markov approach to continuous time random walk limit processes
Reciprocal processes. A measure-theoretical point of view
Skip-free Markov chains
Continuously monitored barrier options under Markov processes
Limit theorems and governing equations for Lévy walks
Nonequilibrium Markov processes conditioned on large deviations
Spectral projections correlation structure for short-to-long range dependent processes
Existence of positive continuous weak solutions for some semilinear elliptic eigenvalue problems
Some harmonic functions for killed Markov branching processes with immigration and culling
Monte Carlo Methods for the Neutron Transport Equation
Entrance laws at the origin of self-similar Markov processes in high dimensions
Information thermodynamics for interacting stochastic systems without bipartite structure
Completely asymmetric stable processes conditioned to avoid an interval
Exit Problems as the Generalized Solutions of Dirichlet Problems
Impulse control and expected suprema
On first exit times and their means for Brownian bridges
American Option Valuation under Continuous-Time Markov Chains
On the stochastic regularity of distorted Brownian motions
On Lévy processes conditioned to avoid zero
Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale
Boundary Harnack inequality for Markov processes with jumps
Markov bridges: SDE representation
On the Feller-Dynkin and the martingale property of one-dimensional diffusions
A reverse duality for the ASEP with open boundaries
Positive continuous solutions for some semilinear elliptic problems in the half space
Percolation for the Gaussian free field on the cable system: counterexamples
Minimal subharmonic functions and related integral representations
Three-point correlation functions in the \(\mathfrak{sl}_3\) Toda theory. I: Reflection coefficients
Fleming-Viot couples live forever
On the Modeling of Impulse Control with Random Effects for Continuous Markov Processes
New semigroups from old: an approach to Feller boundary conditions
Non-symmetric stable processes: Dirichlet heat kernel, Martin kernel and Yaglom limit
General path integrals and stable SDEs
The fractional Laplacian with reflections
On the spine of the two-particle Fleming-Viot process driven by Brownian motion
Ray-Knight compactification of birth and death processes
Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes
Palm problems arising in BAR approach and its applications
Ray-Knight compactification of bilateral birth-death processes
Asymptotic behaviors of subcritical branching killed Lévy processes
Ramifications of generalized Feller theory
Long-time behaviour of a multidimensional age-dependent branching process with a singular jump kernel modelling telomere shortening
Asymptotic behaviors of subcritical branching killed Brownian motion with drift

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