scholarly journals Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times, VIII

2008 ◽  
Vol 255 (9) ◽  
pp. 2606-2640 ◽  
Author(s):  
B. Roynette ◽  
M. Yor
Keyword(s):  
Brownian Motion ◽  
Last Passage Times ◽  
Passage Times

scholarly journals Local stationarity in exponential last-passage percolation

2021 ◽  
Author(s):  
Márton Balázs ◽  
Ofer Busani ◽  
Timo Seppäläinen
Keyword(s):  
Brownian Motion ◽  
Total Variation ◽  
High Probability ◽  
Probabilistic Methods ◽  
Side Length ◽  
Last Passage Percolation ◽  
Last Passage Times ◽  
Starting Point ◽  
Point To Point ◽  
Passage Times

AbstractWe consider point-to-point last-passage times to every vertex in a neighbourhood of size $$\delta N^{\nicefrac {2}{3}}$$ δ N 2 3 at distance N from the starting point. The increments of the last-passage times in this neighbourhood are shown to be jointly equal to their stationary versions with high probability that depends only on $$\delta $$ δ . Through this result we show that (1) the $$\text {Airy}_2$$ Airy 2 process is locally close to a Brownian motion in total variation; (2) the tree of point-to-point geodesics from every vertex in a box of side length $$\delta N^{\nicefrac {2}{3}}$$ δ N 2 3 going to a point at distance N agrees inside the box with the tree of semi-infinite geodesics going in the same direction; (3) two point-to-point geodesics started at distance $$N^{\nicefrac {2}{3}}$$ N 2 3 from each other, to a point at distance N, will not coalesce close to either endpoint on the scale N. Our main results rely on probabilistic methods only.

The distribution of Brownian quantiles

1995 ◽  
Vol 32 (2) ◽  
pp. 405-416 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Last Passage Times ◽  
Related Integral ◽  
Passage Times

The distribution of Brownian quantiles is determined, simplifying related integral expressions obtained by Lévy [9], [10] and more recently by Miura [11]. Three proofs are given, two of them involving last-passage times of Brownian motion, before time 1, at a given level.

The distribution of Brownian quantiles

1995 ◽  
Vol 32 (02) ◽  
pp. 405-416 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Last Passage Times ◽  
Related Integral ◽  
Passage Times

The distribution of Brownian quantiles is determined, simplifying related integral expressions obtained by Lévy [9], [10] and more recently by Miura [11]. Three proofs are given, two of them involving last-passage times of Brownian motion, before time 1, at a given level.

scholarly journals RANDOM MATRIX MINOR PROCESSES RELATED TO PERCOLATION THEORY

2013 ◽  
Vol 02 (04) ◽  
pp. 1350008 ◽  
Author(s):  
MARK ADLER ◽  
PIERRE VAN MOERBEKE ◽  
DONG WANG
Keyword(s):  
Transition Probability ◽  
External Source ◽  
Finite Width ◽  
Infinite Strip ◽  
Determinantal Point Process ◽  
Last Passage Percolation ◽  
Common Features ◽  
Last Passage Times ◽  
Precise Relationship ◽  
Passage Times

This paper studies a number of matrix models of size n and the associated Markov chains for the eigenvalues of the models for consecutive n's. They are consecutive principal minors for two of the models, GUE with external source and the multiple Laguerre matrix model, and merely properly defined consecutive matrices for the third one, the Jacobi–Piñeiro model; nevertheless the eigenvalues of the consecutive models all interlace. We show: (i) For each of those finite models, we give the transition probability of the associated Markov chain and the joint distribution of the entire interlacing set of eigenvalues; we show this is a determinantal point process whose extended kernels share many common features. (ii) To each of these models and their set of eigenvalues, we associate a last-passage percolation model, either finite percolation or percolation along an infinite strip of finite width, yielding a precise relationship between the last-passage times and the eigenvalues. (iii) Finally, it is shown that for appropriate choices of exponential distribution on the percolation, with very small means, the rescaled last-passage times lead to the Pearcey process; this should connect the Pearcey statistics with random directed polymers.

First-passage times of two-dimensional Brownian motion

2016 ◽  
Vol 48 (4) ◽  
pp. 1045-1060 ◽  
Author(s):  
Steven Kou ◽  
Haowen Zhong
Keyword(s):  
Brownian Motion ◽  
Analytical Solutions ◽  
Laplace Transforms ◽  
First Passage Times ◽  
Absolute Difference ◽  
Two Dimensional ◽  
First Passage ◽  
Quantitative Finance ◽  
The 1960S ◽  
Passage Times

AbstractFirst-passage times (FPTs) of two-dimensional Brownian motion have many applications in quantitative finance. However, despite various attempts since the 1960s, there are few analytical solutions available. By solving a nonhomogeneous modified Helmholtz equation in an infinite wedge, we find analytical solutions for the Laplace transforms of FPTs; these Laplace transforms can be inverted numerically. The FPT problems lead to a class of bivariate exponential distributions which are absolute continuous but do not have the memoryless property. We also prove that the density of the absolute difference of FPTs tends to ∞ if and only if the correlation between the two Brownian motions is positive.

Sign in / Sign up

Export Citation Format

Share Document