arXiv subjects
Publications and source records attributed to Daniel W. Stroock.
It is shown that affine functions are the only continuous real valued functions on R whose integrals with respect to compactly supported probability measures depend only on the mean value of the measure.
Kirchhoff's matrix tree theorem is a well-known result that gives a formula for the number of spanning trees in a finite, connected graph in terms of the graph Laplacian matrix. A closely related result is Wilson's algorithm for putting the uniform distribution on the set of spanning trees. We will show that when one follows Greg Lawler's strategy for proving Wilson's algorithm, Kirchhoff's theorem follows almost immediately after one applies some elementary linear algebra. We also show that the same ideas can be applied to other computations related to general Markov chains and processes on a finite state space.
In this paper we consider the Stratonovich reflected stochastic differential equation $dX_t=σ(X_t)\circ dW_t+b(X_t)dt+dL_t$ in a bounded domain $Ø$ which satisfies conditions, introduced by Lions and Sznitman, which are specified below. Letting $W^N_t$ be the $N$-dyadic piecewise linear interpolation of $W_t$ what we show is that one can solve the reflected ordinary differential equation $\dot X^N_t=σ(X^N_t)\dot W^N_t+b(X^N_t)+\dot L^N_t$ and that the distribution of the pair $(X^N_t,L^N_t)$ converges weakly to that of $(X_t,L_t)$. Hence, what we prove is a distributional version for reflected diffusions of the famous result of Wong and Zakai. Perhaps the most valuable contribution made by our procedure derives from the representation of $\dot X^N_t$ in terms of a projection of $\dot W_t^N$. In particular, we apply our result in hand to derive some geometric properties of coupled reflected Brownian motion in certain domains, especially those properties which have been used in recent work on the "hot spots" conjecture for special domain.
In this paper we consider a one-dimensional diffusion equation on the interval $[0,1]$ satisfying non-Feller boundary conditions. As a consequence, the initial value Cauchy problem fails to preserve nonnegativity or boundedness. Nonetheless, probability theory plays an interesting role in our analysis and understanding of solutions to this equation.