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Consider a queue with a stochastic fluid input process modeled as fractional Brownian motion (fBM). When the queue is stable, we prove that the maximum of the workload process observed over an interva...
This paper proposes a new fBm (fractional Brownian motion) interpolation/reconstruction method from partially known samples based on CS (Compressive Sampling). Since 1/f property implies power law ...
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p...
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...
Weak convergence to the Brownian motion of the partial sums of infima of independent random variables。
On the rate of convergence to Brownian motion of the partial sums of infima of independent random variables。
The paper identifies the Dirichlet form of the "path- ' wise-defined" reflected Brownian motion on the Sierpiriski gasket with the Dirichlet form on the Sierpiliski gasket introduced by Fukushima a...
A Brownian motion on the Sierpiriski gasket gets absorbed at the boundary of a cloud of balls with centers distributed according to an independent Poisson law. The aim of this paper is to investiga...
A variational representation for positive functionals of a Hilbert space valued Wiener process (w(.)is) p roved. This representation is then used to prove a large deviations principle for the family...
We study the heat diffusion in a domain with an obstacle inside. More precisely, we are interested in the quantity of heat in so far as a function of the position of the heat source at time 0. This ...
We consider the problem of estimating the tail of the distribution of the supremum of scaled Brownian motion ~ ( j ( t )p)ro - cesses with hear drift. I Using the local time technique we obtain asy...
In this paper, we consider some distributions of maxima of excursions and related variables for standard random walk and Brownian motion. We discuss the infinite divisibility properties of these di...
We investigate the fine structure of the complex hyperbolic Brownian motion in the unit ball of Cn. It turns out that the generator of the process is locally very close to the generator of some simp...

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