Related papers: Markov-modulated Brownian motion with two reflecti…
Our investigation is specially motivated by the stochastic version of a common model of potential spread in a dendritic tree. We do not assume the noise in the junction points to be Markovian. In fact, we allow for long-range dependence in…
We consider a two dimensional reflecting random walk on the nonnegative integer quadrant. It is assumed that this reflecting random walk has skip free transitions. We are concerned with its time reversed process assuming that the stationary…
We consider a diffusion process $X$ in a random potential $\V$ of the form $\V_x = \S_x -\delta x$ where $\delta$ is a positive drift and $\S$ is a strictly stable process of index $\alpha\in (1,2)$ with positive jumps. Then the diffusion…
In this paper, we study small noise asymptotics of Markov-modulated diffusion processes in the regime that the modulating Markov chain is rapidly switching. We prove the joint sample-path large deviations principle for the Markov-modulated…
In this work, we obtain third order linear differential equation for stationary distributions of run-and-tumble particles in two-dimensions in a harmonic trap. The equation represents the condition $j = 0$ where $j$ is a flux and is…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all the particles. If this local time drift is too strong, such…
The joint distribution of value and local time for Brownian Motion has been reported by Borodin and Salminen. Its asymptotic behavior for recurrent random walk has been presented by Jain and Pruitt. Motivated by the need for queue size…
Suppose that $(X_t)_{t \ge 0}$ is a one-dimensional Brownian motion with negative drift $-\mu$. It is possible to make sense of conditioning this process to be in the state $0$ at an independent exponential random time and if we kill the…
We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non--Markovian point process exhibit power--law scaling. We…
Consider a one-dimensional diffusion process which has state-dependent drift and deviation and is reflected at the origin, which is called a one-side reflected diffusion or simply reflected diffusion. We are particularly interested in the…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…
We consider a Markov modulated fluid network with a finite number of stations. We are interested in the tail asymptotics behavior of the stationary distribution of its buffer content process. Using two different approaches, we derive upper…
We study a class of Markov processes with finite state space and continuous time that have product form stationary distributions. We obtain a number of examples that can generate conjectures for diffusions with inert drift.
Consider a massive (inert) particle impinged from above by N Brownian particles that are instantaneously reflected upon collision with the inert particle. The velocity of the inert particle increases due to the influence of an external…
Motivated by nanoscale growth of ultra-thin films, we study a model of deposition, on an interval substrate, of particles that perform Brownian motions until any two meet, when they nucleate to form a static island, which acts as an…
We investigate the motion of an inert (massive) particle being impinged from below by a particle performing (reflected) Brownian motion. The velocity of the inert particle increases in proportion to the local time of collisions and…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
Restrictions to molecular motion by barriers (membranes) are ubiquitous in biological tissues, porous media and composite materials. A major challenge is to characterize the microstructure of a material or an organism nondestructively using…
We determine the processes obtained from a large class of reflected Brownian motions (RBMs) in the nonnegative orthant by means of time reversal. The class of RBMs we deal with includes, but is not limited to, RBMs in the so-called…