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We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
Despite the success of fractional Brownian motion (fBm) in modeling systems that exhibit anomalous diffusion due to temporal correlations, recent experimental and theoretical studies highlight the necessity for a more comprehensive approach…
We consider the problem of optimal estimation of the value of a vector parameter $\thetavector=(\theta_0,\ldots,\theta_n)^{\top}$ of the drift term in a fractional Brownian motion represented by the finite sum…
Brownian motors and Feymann ratchets have been intensively studied in the past decades due to their significance to the foundation of statistical physics. In this work we propose a new type of Brownian motor, i.e., a self-driven motor that…
We consider a class of autonomous Hamiltonian systems subject to small, time-periodic perturbations. When the perturbation parameter is set to zero, the energy of the system is preserved. This is no longer the case when the perturbation…
We study the coherence of transport of an overdamped Brownian particle in frictional ratchet system in the presence of external Gaussian white noise fluctuations. The analytical expressions for the particle velocity and diffusion…
We focus on a paradigmatic two-dimensional model of a nanoscale heat engine, - the so-called Brownian gyrator - whose stochastic dynamics is described by a pair of coupled Langevin equations with different temperature noise terms. This…
We consider the motion of a particle governed by a weakly random Hamiltonian flow. We identify temporal and spatial scales on which the particle trajectory converges to a spatial Brownian motion. The main technical issue in the proof is to…
We propose a bivariate model for a pair of dependent unit vectors which is generated by Brownian motion. Both marginals have uniform distributions on the sphere, while the conditionals follow so-called ``exit'' distributions. Some…
A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two methods. On one hand, we propose a locally linear estimator…
In this paper we propose a simple yet powerful vortex method to numerically approximate the dynamics of an incompressible flow. The idea is to sample the distribution of the initial vortices of the fluid flow in question then follow vortex…
We revisit the problem of the overdamped (large friction) limit of the Brownian dynamics in an inhomogeneous medium characterized by a position-dependent friction coefficient and a multiplicative noise (local temperature) in one space…
We show that Brownian motion is spatially not symmetric for mesoscopic particles embedded in a fluid if the particle is not in thermal equilibrium and its shape is not spherical. In view of applications on molecular motors in biological…
The question how to introduce thermal fluctuations in the equation of motion of a magnetic system is addressed. Using the approach of the fluctuation-dissipation theorem we calculate the properties of the noise for both, the fluctuating…
We establish an effective Markov theory for the rotational Brownian motion of hot nanobeads and nanorods. Compact analytical expressions for the effective temperature and friction are derived from the fluctuating hydrodynamic equations of…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
We study transport properties of an inertial Brownian particle moving in viscous symmetric periodic structures and driven by an oscillating signal of two harmonic components. We analyze the influence of symmetric, antisymmetric and…
We study a model of diffusion in a brownian potential. This model was firstly introduced by T. Brox (1986) as a continuous time analogue of random walk in random environment. We estimate the deviations of this process above or under its…
In this paper, we study the charged-particle dynamics under strong magnetic field in a toroidal axi-symmetric geometry. Using modulated Fourier expansions of the exact and numerical solutions, the long-term drift motion of the exact…