scholarly journals Estimates of the transition densities for the reflected Brownian motion on simple nested fractals

2019 ◽  
Vol 39 (2) ◽  
pp. 423-440
Author(s):  
Mariusz Olszewski

We give sharp two-sided estimates for the functions gMt, x, y and gMt, x, y − gt, x, y, where gMt, x, y are the transition probability densities of the reflected Brownian motion on an Mcomplex of order M ∈ Z of an unbounded planar simple nested fractal and gt, x, y are the transition probability densities of the “free” Brownian motion on this fractal. This is done for a large class of planar simple nested fractals with the good labeling property.

Fractals ◽  
2019 ◽  
Vol 27 (06) ◽  
pp. 1950104
Author(s):  
KAMIL KALETA ◽  
MARIUSZ OLSZEWSKI ◽  
KATARZYNA PIETRUSKA-PAŁUBA

For a large class of planar simple nested fractals, we prove the existence of the reflected diffusion on a complex of an arbitrary size. Such a process is obtained as a folding projection of the free Brownian motion from the unbounded fractal. We give sharp necessary geometric conditions for the fractal under which this projection can be well defined, and illustrate them by numerous examples. We then construct a proper version of the transition probability densities for the reflected process and we prove that it is a continuous, bounded and symmetric function which satisfies the Chapman–Kolmogorov equations. These provide us with further regularity properties of the reflected process such us Markov, Feller and strong Feller property.


Axioms ◽  
2021 ◽  
Vol 10 (2) ◽  
pp. 59
Author(s):  
Bruno Carbonaro ◽  
Marco Menale

A complex system is a system involving particles whose pairwise interactions cannot be composed in the same way as in classical Mechanics, i.e., the result of interaction of each particle with all the remaining ones cannot be expressed as a sum of its interactions with each of them (we cannot even know the functional dependence of the total interaction on the single interactions). Moreover, in view of the wide range of its applications to biologic, social, and economic problems, the variables describing the state of the system (i.e., the states of all of its particles) are not always (only) the usual mechanical variables (position and velocity), but (also) many additional variables describing e.g., health, wealth, social condition, social rôle ⋯, and so on. Thus, in order to achieve a mathematical description of the problems of everyday’s life of any human society, either at a microscopic or at a macroscpoic scale, a new mathematical theory (or, more precisely, a scheme of mathematical models), called KTAP, has been devised, which provides an equation which is a generalized version of the Boltzmann equation, to describe in terms of probability distributions the evolution of a non-mechanical complex system. In connection with applications, the classical problems about existence, uniqueness, continuous dependence, and stability of its solutions turn out to be particularly relevant. As far as we are aware, however, the problem of continuous dependence and stability of solutions with respect to perturbations of the parameters expressing the interaction rates of particles and the transition probability densities (see Section The Basic Equations has not been tackled yet). Accordingly, the present paper aims to give some initial results concerning these two basic problems. In particular, Theorem 2 reveals to be stable with respect to small perturbations of parameters, and, as far as instability of solutions with respect to perturbations of parameters is concerned, Theorem 3 shows that solutions are unstable with respect to “large” perturbations of interaction rates; these hints are illustrated by numerical simulations that point out how much solutions corresponding to different values of parameters stay away from each other as t→+∞.


2019 ◽  
Vol 20 (03) ◽  
pp. 2050015 ◽  
Author(s):  
Hua Zhang

In this paper, we prove a moderate deviation principle for the multivalued stochastic differential equations whose proof are based on recently well-developed weak convergence approach. As an application, we obtain the moderate deviation principle for reflected Brownian motion.


1979 ◽  
Vol 16 (3) ◽  
pp. 665-670 ◽  
Author(s):  
Burt V. Bronk

Some inequalities for moments and coefficients of variation of probability densities over the positive real line are obtained by means of simple geometrical relationships. As an illustrative application rigorous bounds are obtained for the ratio of weight average to number average molecular weight for a large class of distributions of macromolecules, giving a more precise characterization of this empirical measure of heterogeneity.


1981 ◽  
Vol 41 (2) ◽  
pp. 345-361 ◽  
Author(s):  
J. Michael Harrison ◽  
Martin I. Reiman

1986 ◽  
Vol 18 (04) ◽  
pp. 1017-1018 ◽  
Author(s):  
J.-P. Imhof

Limit theorems of Berman involve the total time spent by Brownian motion with negative drift above a fixed or exponentially distributed negative level. We give explicitly the probability densities and distribution functions, obtained via an equivalence of laws.


1992 ◽  
Vol 29 (04) ◽  
pp. 996-1002 ◽  
Author(s):  
R. J. Williams

A direct derivation is given of a formula for the normalized asymptotic variance parameters of the boundary local times of reflected Brownian motion (with drift) on a compact interval. This formula was previously obtained by Berger and Whitt using an M/M/1/C queue approximation to the reflected Brownian motion. The bivariate Laplace transform of the hitting time of a level and the boundary local time up to that hitting time, for a one-dimensional reflected Brownian motion with drift, is obtained as part of the derivation.


2012 ◽  
Vol 49 (3) ◽  
pp. 883-887 ◽  
Author(s):  
Offer Kella

The goal is to identify the class of distributions to which the distribution of the maximum of a Lévy process with no negative jumps and negative mean (equivalently, the stationary distribution of the reflected process) belongs. An explicit new distributional identity is obtained for the case where the Lévy process is an independent sum of a Brownian motion and a general subordinator (nondecreasing Lévy process) in terms of a geometrically distributed sum of independent random variables. This generalizes both the distributional form of the standard Pollaczek-Khinchine formula for the stationary workload distribution in the M/G/1 queue and the exponential stationary distribution of a reflected Brownian motion.


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