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Roughly speaking, a space with varying dimension consists of at least two components with different dimensions. In this paper we will concentrate on the one, which can be treated as $mathbb{R}^3$ tying a half line not contained by $mathbb{R}^3$ at the origin. The aim is twofold. On one hand, we will introduce so-called distorted Brownian motions on this space with varying dimension (dBMVDs in abbreviation) and study their basic properties by means of Dirichlet forms. On the other hand, we will prove the joint continuity of the transition density functions of these dBMVDs and derive the short-time heat kernel estimates for them.
We study a natural continuous time version of excited random walks, introduced by Norris, Rogers and Williams about twenty years ago. We obtain a necessary and sufficient condition for recurrence and for positive speed. This is analogous to results for excited (or cookie) random walks.
Consider a system of particles moving independently as Brownian motions until two of them meet, when the colliding pair annihilates instantly. The construction of such a system of annihilating Brownian motions (aBMs) is straightforward as long as we
Let $D$ be an unbounded domain in $RR^d$ with $dgeq 3$. We show that if $D$ contains an unbounded uniform domain, then the symmetric reflecting Brownian motion (RBM) on $overline D$ is transient. Next assume that RBM $X$ on $overline D$ is transient
In this note we consider generalized diffusion equations in which the diffusivity coefficient is not necessarily constant in time, but instead it solves a nonlinear fractional differential equation involving fractional Riemann-Liouville time-derivati
In this paper, we consider a reflected backward stochastic differential equation driven by a $G$-Brownian motion ($G$-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori e