Related papers: Integral Equations and the First Passage Time of B…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
We revisit the model of a system made up of a Brownian quantum oscillator under the influence of an external classical force and linearly coupled to an environment made up of many quantum oscillators at zero or finite temperature. We show…
This article deals with boundary integral equation preconditioning for the multiple scattering problem. The focus is put on the single scattering preconditioner, corresponding to the diagonal part of the integral operator, for which two…
We consider a run-and-tumble particle on a finite interval $[a,b]$ with two absorbing end points. The particle has an internal velocity state that switches between three values $v,0,-v$ at exponential times, thus incorporating positive…
We consider any dynamical system that starts from a given ensemble of configurations and evolves in time until the system reaches a certain fixed stopping criterion, with the mean first-passage time the quantity of interest. We present a…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent L\'{e}vy process and an independent Brownian motion (BSVIELs). We prove the existence and…
Fractional Brownian motion is a generalised Gaussian diffusive process that is found to describe numerous stochastic phenomena in physics and biology. Here we introduce a multi-dimensional fractional Brownian motion (FBM) defined as a…
Traditional boundary integral methods suffer from the singularity of Green's kernels. The paper develops, for a model problem of 2D scattering as an illustrative example, singularity-free boundary difference equations. Instead of converting…
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…
A novel approach to account for hard-body interactions in (overdamped) Brownian dynamics simulations is proposed for systems with non-vanishing force fields. The scheme exploits the analytically known transition probability for a Brownian…
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability…
The Schr\"odinger integral-equation approach for calculating the classical first-passage time (C-fpt) probability density is extended to the case of quantum first-passage time (Q-fpt). Using this extension, we have calculated analytically…
Let v be a bounded function with bounded support in R^d, d>=3. Let x,y in R^d. Let Z(t) denote the path integral of v along the path of a Brownian bridge in R^d which runs for time t, starting at x and ending at y. As t->infty, it is…
Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
This paper is a step in the direction of understanding the behavior of non-intersecting Brownian motions on the real line, when the number of particles becomes large. Consider 2k non-intersecting Brownian motions, all starting at the…
We consider the problem of determining the arrival statistics of unbiased planar random walkers to complex target configurations. In contrast to problems posed in finite domains, simple moments of the distribution, such as the mean (MFPT)…
Spacetime is foliated by spatial hypersurfaces in the 3+1 split of General Relativity. The initial value problem then consists of specifying initial data for all relevant fields on one such a spatial hypersurface. These fields are the…
We discuss a problem of cyclization of a polymer molecule, which is an important example of reaction in a system showing strongly non-Markovian behavior on the timescales of interest. We show that the knowledge of the joint three-time…
The general, multidimensional barrier crossing problem for diffusive processes under the action of conservative forces is studied with the goal of developing tractable approximations. Particular attention is given to the effect of different…