Related papers: Area Distribution of Elastic Brownian Motion
We present a model of anomalous diffusion consisting of an ensemble of particles undergoing homogeneous Brownian motion except for confinement by randomly placed reflecting boundaries. For power-law distributed compartment sizes, we…
In this work, we have performed a detailed holographic analysis of the stochastic dynamics of a heavy particle propagating through a strongly coupled plasma moving with a constant velocity along a fixed spatial direction. To model this…
The fundamental insight into Brownian motion by Einstein is that all substances exhibit continual fluctuations due to thermal agitation balancing with the frictional resistance. However, even at thermal equilibrium, biological activity can…
We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some…
We consider a one dimensional L\'evy bridge x_B of length n and index 0 < \alpha < 2, i.e. a L\'evy random walk constrained to start and end at the origin after n time steps, x_B(0) = x_B(n)=0. We compute the distribution P_B(A,n) of the…
We show that the correlated stochastic fluctuation of the friction coefficient can give rise to long-range directional motion of a particle undergoing Brownian random walk in a constant periodic energy potential landscape. The occurrence of…
Quantum brownian motion is a fundamental model for a proper understanding of open quantum systems in different contexts such as chemistry, condensed matter physics, bio-physics and opto- mechamics. In this paper we propose a novel approach…
We consider the influence of active speed fluctuations on the dynamics of a $d$-dimensional active Brownian particle performing a persistent stochastic motion. We use the Laplace transform of the Fokker-Planck equation to obtain exact…
We investigate self-moving particles which prefer to hop with a certain turning angle equally distributed to the right or left. We assume this turning angle distribution to be given by a double Gaussian distribution. Based on the model of…
We present a method that allows, under suitable equivariance and regularity conditions, to determine the Poisson boundary of a diffusion starting from the Poisson boundary of a sub-diffusion of the original one. We then give two examples of…
The purpose of the paper is to find the joint distribution of the hitting time and place of two-dimensional Brownian motion hitting the negative horizontal axis. We provide various formulas for Green functions as well as for the conditional…
Consider a d-dimensional Brownian motion in a random potential defined by attaching a nonnegative and polynomially decaying potential around Poisson points. We introduce a repulsive interaction between the Brownian path and the Poisson…
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…
In this work, we report a new method to simulate active Brownian particles (ABPs) in molecular dynamics (MD) simulations. Immersed in a fluid, each ABP consists of a head particle and a spherical phantom region of fluid where the flagellum…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
Brownian motion in R 2 + with covariance matrix $\Sigma$ and drift $\mu$ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…
The area enclosed by the two-dimensional Brownian motion in the plane was studied by L\'evy, who found the characteristic function and probability density of this random variable. For other planar processes, in particular ergodic diffusions…