We are interested in the law of the first passage time of an Ornstein–Uhlenbeck process to time-varying thresholds. We show that this problem is connected to the laws of the first passage time of the process to members of a two-parameter family of functional transformations of a time-varying boundary. For specific values of the parameters, these transformations appear in a realisation of a standard Ornstein–Uhlenbeck bridge. We provide three different proofs of this connection. The first is based on a similar result for Brownian motion, the second uses a generalisation of the so-called Gauss–Markov processes, and the third relies on the Lie group symmetry method. We investigate the properties of these transformations and study the algebraic and analytical properties of an involution operator which is used in constructing them. We also show that these transformations map the space of solutions of Sturm–Liouville equations into the space of solutions of the associated nonlinear ordinary differential equations. Lastly, we interpret our results through the method of images and give new examples of curves with explicit first passage time densities.

We prove that the hitting measure is singular with respect to the Lebesgue measure for random walks driven by finitely supported measures on cocompact, hyperelliptic Fuchsian groups. Moreover, the Hausdorff dimension of the hitting measure is strictly less than one. Equivalently, the inequality between entropy and drift is strict. A similar statement is proven for Coxeter groups.

We prove that many, but not all, injective factors arise as crossed products by nonsingular Bernoulli actions of the group $\mathbb {Z}$. We obtain this result by proving a completely general result on the ergodicity, type and Krieger’s associated flow for Bernoulli shifts with arbitrary base spaces. We prove that the associated flow must satisfy a structural property of infinite divisibility. Conversely, we prove that all almost periodic flows, as well as many other ergodic flows, do arise as associated flow of a weakly mixing Bernoulli action of any infinite amenable group. As a byproduct, we prove that all injective factors with almost periodic flow of weights are infinite tensor products of $2 \times 2$ matrices. Finally, we construct Poisson suspension actions with prescribed associated flow for any locally compact second countable group that does not have property (T).

We give sufficient conditions for the non-triviality of the Poisson boundary of random walks on $H(\mathbb{Z})$ and its subgroups. The group $H(\mathbb{Z})$ is the group of piecewise projective homeomorphisms over the integers defined by Monod [Groups of piecewise projective homeomorphisms. Proc. Natl Acad. Sci. USA110(12) (2013), 4524–4527]. For a finitely generated subgroup $H$ of $H(\mathbb{Z})$ , we prove that either $H$ is solvable or every measure on $H$ with finite first moment that generates it as a semigroup has non-trivial Poisson boundary. In particular, we prove the non-triviality of the Poisson boundary of measures on Thompson’s group $F$ that generate it as a semigroup and have finite first moment, which answers a question by Kaimanovich [Thompson’s group $F$ is not Liouville. Groups, Graphs and Random Walks (London Mathematical Society Lecture Note Series). Eds. T. Ceccherini-Silberstein, M. Salvatori and E. Sava-Huss. Cambridge University Press, Cambridge, 2017, pp. 300–342, 7.A].

Let $p$ be a real number greater than one and let $\Gamma $ be a graph of bounded degree. We investigate links between the $p$-harmonic boundary of $\Gamma $ and the ${D}_{p} $-massive subsets of $\Gamma $. In particular, if there are $n$ pairwise disjoint ${D}_{p} $-massive subsets of $\Gamma $, then the $p$-harmonic boundary of $\Gamma $ consists of at least $n$ elements. We show that the converse of this statement is also true.

We identify the Poisson boundary of the dual of the universal compact quantum group Au(F) with a measurable field of ITPFI (infinite tensor product of finite type I) factors.

Motivated by Feller's coin-tossing problem, we consider the problem of conditioning an irreducible Markov chain never to wait too long at 0. Denoting by τ the first time that the chain, X, waits for at least one unit of time at the origin, we consider conditioning the chain on the event (τ›T). We show that there is a weak limit as T→∞ in the cases where either the state space is finite or X is transient. We give sufficient conditions for the existence of a weak limit in other cases and show that we have vague convergence to a defective limit if the time to hit zero has a lighter tail than τ and τ is subexponential.

In this paper we consider reflected diffusions with positive and negative jumps, constrained to lie in the nonnegative orthant of ℝn . We allow for the drift and diffusion coefficients, as well as for the directions of reflection, to be random fields over time and space. We provide a boundary behavior characterization, generalizing known results in the nonrandom coefficients and constant directions of the reflection case. In particular, the regulator processes are related to semimartingale local times at the boundaries, and they are shown not to charge the times the process expends at the intersection of boundary faces. Using the boundary results, we extend the conditions for product-form distributions in the stationary regime to the case when the drift and diffusion coefficients, as well as the directions of reflection, are random fields over space.

We show that the positive Wiener-Hopf factor of a Lévy process with positive jumps having a rational Fourier transform is a rational function itself, expressed in terms of the parameters of the jump distribution and the roots of an associated equation. Based on this, we give the closed form of the ruin probability for a Lévy process, with completely arbitrary negatively distributed jumps, and finite intensity positive jumps with a distribution characterized by a rational Fourier transform. We also obtain results for the ladder process and its Laplace exponent. A key role is played by the analytic properties of the characteristic exponent of the process and by a Baxter-Donsker-type formula for the positive factor that we derive.

The Poisson and Martin boundaries for invariant random walks on the dual of the orthogonal quantum groups $A_{\mathrm{o}}(F)$ are identified with higher-dimensional Podleś spheres that we describe in terms of generators and relations. This provides the first such identification for random walks on non-amenable discrete quantum groups.

Let $G$ be a locally compact group and $\pi $ a representation of $G$ by weakly* continuous isometries acting in a dual Banach space $E$ . Given a probability measure $\mu $ on $G$ , we study the Choquet–Deny equation $\pi (\mu )x\,=\,x,\,x\,\in \,E$ . We prove that the solutions of this equation form the range of a projection of norm 1 and can be represented by means of a “Poisson formula” on the same boundary space that is used to represent the bounded harmonic functions of the random walk of law $\mu $ . The relation between the space of solutions of the Choquet–Deny equation in $E$ and the space of bounded harmonic functions can be understood in terms of a construction resembling the ${{W}^{*}}$ -crossed product and coinciding precisely with the crossed product in the special case of the Choquet–Deny equation in the space $E\,=\,B({{L}^{2}}(G))$ of bounded linear operators on ${{L}^{2}}(G)$ . Other general properties of the Choquet–Deny equation in a Banach space are also discussed.

In this paper, we study the stationary distributions for reflected diffusions with jumps in the positive orthant. Under the assumption that the stationary distribution possesses a density in R + n that satisfies certain finiteness conditions, we characterize the Fokker-Planck equation. We then provide necessary and sufficient conditions for the existence of a product-form distribution for diffusions with oblique boundary reflections and jumps. To do so, we exploit a recent characterization of the boundary properties of such reflected processes. In particular, we show that the conditions generalize those for semimartingale reflecting Brownian motions and reflected Lévy processes. We provide explicit results for some models of interest.

In this paper we use the exit time theory for Lévy processes to derive new closed-form results for the busy period distribution of finite-capacity fluid M/G/1 queues. Based on this result, we then obtain the busy period distribution for finite-capacity queues with on–off inputs when the off times are exponentially distributed.

A discrete group $G$ is called identity excluding if the only irreducible unitary representation of $G$ which weakly contains the 1-dimensional identity representation is the 1-dimensional identity representation itself. Given a unitary representation $\pi $ of $G$ and a probability measure $\mu $ on $G$ , let ${{P}_{\mu }}$ denote the $\mu $ -average $\int{\pi (g)\mu (dg)}$ . The goal of this article is twofold: (1) to study the asymptotic behaviour of the powers $P_{\mu }^{n}$ , and (2) to provide a characterization of countable amenable identity excluding groups. We prove that for every adapted probability measure $\mu $ on an identity excluding group and every unitary representation $\pi $ there exists and orthogonal projection ${{E}_{\mu }}$ onto a $\pi $ -invariant subspace such that $s-{{\lim }_{n\to \infty }}\,(P_{\mu }^{n}\,-\,\pi {{(a)}^{n}}\,{{E}_{\mu }})\,\,=\,0$ for every $a\,\in $ supp $\mu $ . This also remains true for suitably defined identity excluding locally compact groups. We show that the class of countable amenable identity excluding groups coincides with the class of $\text{FC}$ -hypercentral groups; in the finitely generated case this is precisely the class of groups of polynomial growth. We also establish that every adapted random walk on a countable amenable identity excluding group is ergodic.

We explicitly identify the possible probability entrance laws for a class of measure-valued processes that are constructed by taking a particular measure-valued Markov branching process and conditioning it to stay away from the zero measure trap. The set of extreme points of the entrance space is larger than the state space of the conditioned process, and contains elements which correspond to starting the conditioned process at the zero measure.

Let {Pi } be a sequence of real (Laurent) polynomials each of which has no negative coefficients, and suppose that f is a real polynomial. Consider the problem of deciding whether

for all integers k, there exists Nsuch that the product of polynomials

(*) Pk+1. Pk+2.....Pk+N ·ƒ has no negative coefficients.