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Search: All articles in the CJM digital archive with keyword Brownian motion

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1. CJM 2011 (vol 64 pp. 805)

Chapon, François; Defosseux, Manon
Quantum Random Walks and Minors of Hermitian Brownian Motion
Considering quantum random walks, we construct discrete-time approximations of the eigenvalues processes of minors of Hermitian Brownian motion. It has been recently proved by Adler, Nordenstam, and van Moerbeke that the process of eigenvalues of two consecutive minors of a Hermitian Brownian motion is a Markov process; whereas, if one considers more than two consecutive minors, the Markov property fails. We show that there are analog results in the noncommutative counterpart and establish the Markov property of eigenvalues of some particular submatrices of Hermitian Brownian motion.

Keywords:quantum random walk, quantum Markov chain, generalized casimir operators, Hermitian Brownian motion, diffusions, random matrices, minor process
Categories:46L53, 60B20, 14L24

2. CJM 2005 (vol 57 pp. 204)

Xiong, Jie; Zhou, Xiaowen
On the Duality between Coalescing Brownian Motions
A duality formula is found for coalescing Brownian motions on the real line. It is shown that the joint distribution of a coalescing Brownian motion can be determined by another coalescing Brownian motion running backward. This duality is used to study a measure-valued process arising as the high density limit of the empirical measures of coalescing Brownian motions.

Keywords:coalescing Brownian motions, duality, martingale problem,, measure-valued processes
Categories:60J65, 60G57

3. CJM 2003 (vol 55 pp. 292)

Pitman, Jim; Yor, Marc
Infinitely Divisible Laws Associated with Hyperbolic Functions
The infinitely divisible distributions on $\mathbb{R}^+$ of random variables $C_t$, $S_t$ and $T_t$ with Laplace transforms $$ \left( \frac{1}{\cosh \sqrt{2\lambda}} \right)^t, \quad \left( \frac{\sqrt{2\lambda}}{\sinh \sqrt{2\lambda}} \right)^t, \quad \text{and} \quad \left( \frac{\tanh \sqrt{2\lambda}}{\sqrt{2\lambda}} \right)^t $$ respectively are characterized for various $t>0$ in a number of different ways: by simple relations between their moments and cumulants, by corresponding relations between the distributions and their L\'evy measures, by recursions for their Mellin transforms, and by differential equations satisfied by their Laplace transforms. Some of these results are interpreted probabilistically via known appearances of these distributions for $t=1$ or $2$ in the description of the laws of various functionals of Brownian motion and Bessel processes, such as the heights and lengths of excursions of a one-dimensional Brownian motion. The distributions of $C_1$ and $S_2$ are also known to appear in the Mellin representations of two important functions in analytic number theory, the Riemann zeta function and the Dirichlet $L$-function associated with the quadratic character modulo~4. Related families of infinitely divisible laws, including the gamma, logistic and generalized hyperbolic secant distributions, are derived from $S_t$ and $C_t$ by operations such as Brownian subordination, exponential tilting, and weak limits, and characterized in various ways.

Keywords:Riemann zeta function, Mellin transform, characterization of distributions, Brownian motion, Bessel process, Lévy process, gamma process, Meixner process
Categories:11M06, 60J65, 60E07

4. CJM 1999 (vol 51 pp. 673)

Barlow, Martin T.; Bass, Richard F.
Brownian Motion and Harmonic Analysis on Sierpinski Carpets
We consider a class of fractal subsets of $\R^d$ formed in a manner analogous to the construction of the Sierpinski carpet. We prove a uniform Harnack inequality for positive harmonic functions; study the heat equation, and obtain upper and lower bounds on the heat kernel which are, up to constants, the best possible; construct a locally isotropic diffusion $X$ and determine its basic properties; and extend some classical Sobolev and Poincar\'e inequalities to this setting.

Keywords:Sierpinski carpet, fractal, Hausdorff dimension, spectral dimension, Brownian motion, heat equation, harmonic functions, potentials, reflecting Brownian motion, coupling, Harnack inequality, transition densities, fundamental solutions
Categories:60J60, 60B05, 60J35

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