Related papers: Brownian excursion area, Wright's constants in gra…
Sina\u{i} initiated the study of random walks with persistently positive area processes, motivated by shock waves in solutions to the inviscid Burgers' equation. We find the precise asymptotic probability that the area process of a random…
Brownian motion in confinement and at interfaces is a canonical situation, encountered from fundamental biophysics to nanoscale engineering. Using the Lorenz-Mie framework, we optically record the thermally-induced tridimensional…
We present a diagrammatic formulation of a theory for the time dependence of density fluctuations in equilibrium systems of interacting Brownian particles. To facilitate derivation of the diagrammatic expansion we introduce a basis that…
The Brownian motion over the space of fluid velocity configurations driven by the hydrodynamical equations is considered. The Green function is computed in the form of an asymptotic series close to the standard diffusion kernel. The high…
We consider $n$ independent, identically distributed one-dimensional Brownian motions, $B_j(t)$, where $B_j(0)$ has a rapidly decreasing, smooth density function $f$. The empirical quantiles, or pointwise order statistics, are denoted by…
We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the…
We consider near-critical two-dimensional statistical systems at phase coexistence on the half plane with boundary conditions leading to the formation of a droplet separating coexisting phases. General low-energy properties of…
Exact and asymptotic formulas relating to dynamical correlations for overdamped Brownian motion are obtained. These formulas include a generalization of the $f$-sum rule from the theory of quantum fluids, a formula relating the static…
We introduce a family of two-dimensional reflected random walks in the positive quadrant and study their Martin boundary. While the minimal boundary is systematically equal to a union of two points, the full Martin boundary exhibits an…
In this paper we investigate the class of grey Brownian motions $B_{\alpha,\beta}$ ($0<\alpha<2$, $0<\beta\leq1$). We show that grey Brownian motion admits different representations in terms of certain known processes, such as fractional…
We present a collection of eight data sets, from state-of-the-art experiments and numerical simulations on turbulent velocity statistics along particle trajectories obtained in different flows with Reynolds numbers in the range $R_\lambda…
Random walks in the quarter plane are an important object both of combinatorics and probability theory. Of particular interest for their study, there is an analytic approach initiated by Fayolle, Iasnogorodski and Malyshev, and further…
Simultaneous diffusive and inertial motion of Brownian particles in laminar Couette flow is investigated via Lagrangian and Eulerian descriptions to determine the effect of particle inertia on diffusive transport in the long-time. The…
We consider two-dimensional L\'evy processes reflected to stay in the positive quadrant. Our focus is on the non-standard regime when the mean of the free process is negative but the reflection vectors point away from the origin, so that…
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula. The…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
Aldous and Pitman (1994) studied asymptotic distributions, as n tends to infinity, of various functionals of a uniform random mapping of a set of n elements, by constructing a mapping-walk and showing these mapping-walks converge weakly to…
We derive the first two moments of generic positive stochastic functionals in terms of the one- and two-time probability density functions of the underlying random walk, and we prove ergodicity of observables in stationary random walks.…
We establish an invariance principle connecting boundary random walks on $\mathbb N$ with Feller's Brownian motions on $[0,\infty)$. A Feller's Brownian motion is a Feller process on $[0,\infty)$ whose excursions away from the boundary $0$…
We consider classical particles coupled to the quantized electromagnetic field in the background of a spatially flat Robertson-Walker universe. We find that these particles typically undergo Brownian motion and acquire a non-zero mean…