We construct a Brownian path conditioned on its minimum value over a fixed time interval by a simple transformation of a Brownian bridge.

Noise sensitivity of functions on the leaves of a binary tree is studied, and a hypercontractive inequality is obtained. We deduce that the spider walk is not noise stable.

Recently, Kalvin M. Jansons derived in an elegant way the Laplace transform of the time spent by an excursion above a given level $a>0$. This result can also be derived from previous work of the author on the occupation time…

We study a class of Borel probability measures, called correlation measures. Our results are of two types: first, we give explicit constructions of non-trivial correlation measures; second, we examine some of the properties of the set of correlation measures. In…

In this note, we study the Gaussian fluctuations of the edge occupation measure for a reversible Markov chain and give a nice description of the covariance matrix. Then we give some large deviations results concerning this occupation measure.

We present a Gaussian correlation inequality which is closely related to a result of Schechtman, Schlumprecht and Zinn (1998) on the well-known Gaussian correlation conjecture. The usefulness of the inequality is demonstrated by several important applications to the estimates of…

This paper studies heavy traffic behavior of a G/G/1 last-in-first-out (LIFO) preemptive resume queue, by extending the techniques developed in Limic (1999). The queue length process exhibits a perhaps unexpected heavy traffic behavior. The diffusion limit depends on the type…

This paper provides transition probability estimates of transient reversible Markov chains. The key condition of the result is the spatial symmetry and polynomial decay of the Green's function of the chain.

We establish a formula for the distribution of loop-erased random walks at certain random times. Several classical results on spanning trees, including Wilson's algorithm, follow easily, as well as a method to construct random Hamiltonian cycles.

We determine the law of the convex minorant $(M_s, s\in [0,1])$ of a real-valued Cauchy process on the unit time interval, in terms of the gamma process. In particular, this enables us to deduce that the paths of $M$ have…