Related papers: Kingman's coalescent and Brownian motion
Bifractional Brownian motion (bfBm) is a centered Gaussian process with covariance \[ R^{(H,K)}(s,t)= 2^{-K} \left( \left(|s|^{2H}+|t|^{2H} \right)^{K}-|t-s|^{2HK}\right), \qquad s,t\in R. \] We study the existence of bfBm for a given pair…
The question how the extremal values of a stochastic process achieved on different time intervals are correlated to each other has been discussed within the last few years on examples of the running maximum of a Brownian motion, of a…
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
The coalescing Brownian flow on $\mathbb{R}$ is a process which was introduced by Arratia [Coalescing Brownian motions on the line (1979) Univ. Wisconsin, Madison] and T\'{o}th and Werner [Probab. Theory Related Fields 111 (1998) 375-452],…
We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…
This paper provides a new construction of \Lambda-coalescents called "measure division construction". This construction is pathwise and consists of dividing the characteristic measure \Lambda into several parts and adding them one by one to…
Using quantum parallelism on random walks as original seed, we introduce new quantum stochastic processes, the open quantum Brownian motions. They describe the behaviors of quantum walkers -- with internal degrees of freedom which serve as…
We study the movement of the living organism in a band form towards the presence of chemical substrate based on a system of partial differential evolution equations. We incorporate the Einstein's method of Brownian motion to deduce the…
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 consider a superprocess with coalescing Brownian spatial motion. We first prove a dual relationship between two systems of coalescing Brownian motions. In consequence we can express the Laplace functionals for the superprocess in terms…
For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the…
We briefly go through the problem of the quantum description of Brownian motion, concentrating on recent results about the connection between dynamics of the particle and dynamic structure factor of the medium.
We provide a detailed description of all possible Feller processes on infinite} star graphs with finite number of edges, processes that while away from the graph's center behave like a one-dimensional Brownian motion. The description can be…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for…
We show that for all positive beta the semigroups of beta-Dyson Brownian motions of different dimensions are intertwined. The proof relates beta-Dyson Brownian motions directly to Jack symmetric polynomials and omits an approximation of the…
In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
We construct a coupling between two seemingly very different constructions of the standard additive coalescent, which describes the evolution of masses merging pairwise at rates proportional to their sums. The first construction, due to…
We derive a quantum master equation from first principles to describe friction in one dimensional, collisional Brownian motion. We are the first to avoid an ill-defined square of the Dirac delta function by using localized wave packets…
We show that the total number of collisions in the exchangeable coalescent process driven by the beta $(1,b)$ measure converges in distribution to a 1-stable law, as the initial number of particles goes to infinity. The stable limit law is…