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Continuous paths in Brownian motion

Mathematical Physics & Probability

Speaker: Wenpin Tang, UC Berkeley
Location: 1147 MSB
Start time: Wed, Feb 11 2015, 4:10PM

In this talk, we deal with the problem of embedding some continuous-time processes of unit length into a Brownian path. Beginning with a discrete version of the problem, we derive the asymptotics of the expected waiting time for several interesting patterns. These suggest corresponding results on the existence or non-existence of continuous paths embedded in Brownian motion. With further effort, we are able to prove some of these existence and non-existence results by various stochastic analysis tools: potential theory, filling scheme, Palm theory...etc. This is based on joint work with Jim Pitman.