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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…
We give an explicit construction of the Brownian sphere biased by the distance between two distinguished points, which is based on the Miermont bijection for quadrangulations. We then describe various conditionings of this object, which are…
Three particles floating on a fluid surface define a triangle. The aim of this paper is to characterise the shape of the triangle, defined by two of its angles, as the three vertices are subject to a complex or turbulent motion. We consider…
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…
Modelling multivariate circular time series is considered. The cross-sectional and serial dependence is described by circulas, which are analogs of copulas for circular distributions. In order to obtain a simple expression of the dependence…
The Brownian motion of a single particle is a paradigmatic model of the nonequilibrium dynamics of dissipative systems. In the system-plus-reservoir approach, one can derive the particle's equations of motion from the reversible dynamics of…
We define a new diffusive matrix model converging towards the $\beta$ -Dyson Brownian motion for all $\beta\in [0,2]$ that provides an explicit construction of $\beta$-ensembles of random matrices that is invariant under the…
The need for regression models to predict circular values arises in many scientific fields. In this work we explore a family of expressive and interpretable distributions over circle-valued random functions related to Gaussian processes…
The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form $X_t = \theta G(t) + B_t$, where $B$ is a Gaussian process, $G(t)$ is a known function,…
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent…
We construct a density estimator in the bivariate uniform deconvolution model. For this model we derive four inversion formulas to express the bivariate density that we want to estimate in terms of the bivariate density of the observations.…
We find the exact winding number distribution of Riemann-Liouville fractional Brownian motion for large times in two dimensions using the propagator of a free particle. The distribution is similar to the Brownian motion case and it is of…
In this paper we present a dynamical system to generate Brownian motion based on the Langevin equation without stochastic term and using fractional derivatives, i.e., a deterministic Brownian motion model is proposed. The stochastic process…
We propose a flexible family of distributions, generalized $t$-distributions, on the cylinder which is obtained as a conditional distribution of a trivariate $t$ distribution. The new distribution has unimodality or bimodality, symmetry or…
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…
Our primary result concerns the positivity of specific kernels constructed using the $q$-ultraspherical polynomials. In other words, it concerns a two-parameter family of bivariate, compactly supported distributions. Moreover, this family…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
We present a numerical method that consistently implements thermal fluctuations and hydrodynamic interactions to the motion of Brownian particles dispersed in incompressible host fluids. In this method, the thermal fluctuations are…
We analyze quantal Brownian motion in $d$ dimensions using the unified model for diffusion localization and dissipation, and Feynman-Vernon formalism. At high temperatures the propagator possess a Markovian property and we can write down an…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…