Related papers: Area Distribution of Elastic Brownian Motion
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the…
We present an interesting connection between Brownian motion and magnetism. We use this to determine the distribution of areas enclosed by the path of a particle diffusing on a sphere. In addition, we find a bound on the free energy of an…
We study the motion of a solid particle immersed in a Newtonian fluid and confined between two parallel elastic membranes possessing shear and bending rigidity. The hydrodynamic mobility depends on the frequency of the particle motion due…
The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…
In this paper, following earlier results in [2] we derive the asymptotic distribution as $t \to \infty$, of the excursion of Brownian motion straddling $t$, into an interval $(a,b)$, conditional on the event that there is such an excursion.
Basing on main principles of statistical mechanics only, an exact virial expansion for path probability distribution of molecular Brownian particle in a fluid is derived which connects response of the distribution to perturbations of the…
We calculate the effective long-term convective velocity and dispersive motion of an ellipsoidal Brownian particle in three dimensions when it is subjected to a constant external force. This long-term motion results as a "net" average…
Motivated by the goal of understanding the evolution of populations undergoing selection, we consider branching Brownian motion in which particles independently move according to one-dimensional Brownian motion with drift, each particle may…
We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…
In this Letter, we clarify the physical origin of effective transport in periodic and tilted periodic systems. When Brownian dynamics is examined on the scale of a single period, the particle displacement admits a natural separation into a…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
We consider a 1-dimensional Brownian motion whose diffusion coefficient varies when it crosses the origin. We study the long time behavior and we establish different regimes, depending on the variations of the diffusion coefficient:…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
Area fluctuations of a Brownian excursion are described by the Airy distribution, which found applications in different areas of physics, mathematics and computer science. Here we generalize this distribution to describe the area…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
We study a spatial branching model, where the underlying motion is Brownian motion and the branching is affected by a random collection of reproduction blocking sets called "mild" obstacles. We show that the quenched local growth rate is…
Physical self-adjoint extensions and their spectra of the simplest one-dimensional Hamiltonian operator in which the mass is constant except for a finite jump at one point of the real axis are correctly found. Some self-adjoint extensions…
We construct a Brownian motion on complex partial flag manifolds with blocks of equal size as a matrix-valued diffusion from a Brownian motion on the unitary group. This construction leads to an explicit expression for the characteristic…