We give a counterexample to a conjecture of Hammersley and Welsh (1965) about the convexity of the time constant in first-passage percolation, as a functional on the space of distribution functions. The present counterexample only works for first-passage percolation on $Z^d$ for $d$ large.

S. G. Bobkov and C. Houdré recently posed the following question on the Internet (Problem posed in Stochastic Analysis Digest no. 15 (9/15/1995)): Let $X,Y$ be symmetric i.i.d. random variables such that $$P(|X+Y|/2 \geq t) \leq P(|X| \geq t),$$ for each $t>0$. Does it follow that $X$ has finite second moment (which then easily implies that $X$ is Gaussian)? In this note we give an affirmative answer to this problem and present a proof. Using a dierent method K. Oleszkiewicz has found another proof of this conjecture, as well as further related results.

We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this MDP is the tightness of the method of bounded martingale differences in the regime of moderate deviations.

We slightly improve the upper bounds of disconnection exponents for planar Brownian motion that we derived in an earlier paper. We also give a proof of the lower bound $1/(2\pi)$ for the disconnection exponent for one path.

Let $B$ be a two dimensional Brownian motion and let the frontier of $B[0,1]$ be defined as the set of all points in $B[0,1]$ that are in the closure of the unbounded connected component of its complement. We prove that the Hausdorff dimension of the frontier equals $2(1 - \alpha)$ where $\alpha$ is an exponent for Brownian motion called the two-sided disconnection exponent. In particular, using an estimate on $\alpha$ due to Werner, the Hausdorff dimension is greater than $1.015$.

Using Monte-Carlo simulations, we estimate numerically disconnection exponents for planar Brownian motions. These simulations tend to confirm conjectures by Duplantier and Mandelbrot.

This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and use the alternative approach of Ito excursion theory. This leads to a duality for Ito excursion rates.

A comprehensive study of percolation in a more general context than the usual $Z^d$ setting is proposed, with particular focus on Cayley graphs, almost transitive graphs, and planar graphs. Results concerning uniqueness of infinite clusters and inequalities for the critical value $p_c$ are given, and a simple planar example exhibiting uniqueness and non-uniqueness for different $p>p_c$ is analyzed. Numerous varied conjectures and problems are proposed, with the hope of setting goals for future research in percolation theory.

Using a transportation approach we prove that for every probability measures $P,Q_1,Q_2$ on $\Omega^N$ with $P$ a product measure there exist r.c.p.d. $\nu_j$ such that $\int \nu_j (\cdot|x) dP(x) = Q_j(\cdot)$ and $$ \int dP (x) \int \frac{dP}{dQ_1} (y)^\beta \frac{dP}{dQ_2} (z)^\beta (1+\beta (1-2\beta))^{f_N(x,y,z)} d\nu_1 (y|x) d\nu_2 (z|x) \le 1 \;, $$ for every $\beta \in (0,1/2)$. Here $f_N$ counts the number of coordinates $k$ for which $x_k \neq y_k$ and $x_k \neq z_k$. In case $Q_1=Q_2$ one may take $\nu_1=\nu_2$. In the special case of $Q_j(\cdot)=P(\cdot|A)$ we recover some of Talagrand's sharper concentration inequalities in product spaces.