The inverse first passage time problem asks whether, for a Brownian motion
$B$ and a nonnegative random variable $\zeta$, there exists a time-varying
barrier $b$ such that $\mathbb{P}\{B_s > b(s), \, 0 \le s \le t\} =
\mathbb{P}\{\zeta > t\}$. We study a "smoothed" version of this problem and ask
whether there is a "barrier" $b$ such that $\mathbb{E}[\exp(-\lambda \int_0^t
\psi(B_s - b(s)) \, ds)] = \mathbb{P}\{\zeta > t\}$, where $\lambda$ is a
killing rate parameter and $\psi: \mathbb{R} \to [0,1]$ is a non-increasing
function.
For $\alpha > 0$, the $\alpha$-Lipschitz minorant of a function $f:
\mathbb{R} \to \mathbb{R}$ is the greatest function $m : \mathbb{R} \to
\mathbb{R}$ such that $m \leq f$ and $|m(s)-m(t)| \le \alpha |s-t|$ for all
$s,t \in \mathbb{R}$, should such a function exist. If $X=(X_t)_{t \in
\mathbb{R}}$ is a real-valued L\'evy process that is not pure linear drift with
slope $\pm \alpha$, then the sample paths of $X$ have an $\alpha$-Lipschitz
minorant almost surely if and only if $| \mathbb{E}[X_1] | < \alpha$.
A short proof is given of a necessary and sufficient condition for the
normalized occupation measure of a L\'evy process in a metrizable compact group
to be asymptotically uniform with probability one.
We consider stochastic equations of the form $X_k = \phi_k(X_{k+1}) Z_k$, $k
\in \mathbb{N}$, where $X_k$ and $Z_k$ are random variables taking values in a
compact group $G_k$, $\phi_k: G_{k+1} \to G_k$ is a continuous homomorphism,
and the noise $(Z_k)_{k \in \mathbb{N}}$ is a sequence of independent random
variables.
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a
group of firms at the end of a given time period. The ingredients in the model
are a graph, where the vertices correspond to the firms and the edges describe
the network of interdependencies between the firms, a parameter for each vertex
that captures the individual propensity of that firm to default, and a
parameter for each edge that captures the joint propensity of the two connected
firms to default.
If we follow an asexually reproducing population through time, then the
amount of time that has passed since the most recent common ancestor (MRCA) of
all current individuals lived will change as time progresses. The resulting
"MRCA age" process has been studied previously when the population has a
constant large size and evolves via the diffusion limit of standard
Wright--Fisher dynamics. For any population model, the sample paths of the MRCA
age process are made up of periods of linear upward drift with slope +1
punctuated by downward jumps.
A well-known result of Arratia shows that one can make rigorous the notion of
starting an independent Brownian motion at every point of an arbitrary closed
subset of the real line and then building a set-valued process by requiring
particles to coalesce when they collide.
A L\'evy noise on $\mathbb{R}^d$ assigns a random real "mass" $\Pi(B)$ to
each Borel subset $B$ of $\mathbb{R}^d$ with finite Lebesgue measure. The
distribution of $\Pi(B)$ only depends on the Lebesgue measure of $B$, and if
$B_1, ..., B_n$ is a finite collection of pairwise disjoint sets, then the
random variables $\Pi(B_1), ..., \Pi(B_n)$ are independent with $\Pi(B_1 \cup
>... \cup B_n) = \Pi(B_1) + ... + \Pi(B_n)$ almost surely.