Related papers: Two-state free Brownian motions
We consider a two parameter family of unitarily invariant diffusion processes on the general linear group $\mathbb{GL}_N$ of $N\times N$ invertible matrices, that includes the standard Brownian motion as well as the usual unitary Brownian…
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance \int_0^{s\wedge t} u^a [(t-u)^b+(s-u)^b]du, parameters a>-1, -1<b\leq 1, |b|\leq 1+a, corresponds to fractional Brownian…
Spontaneous collapse models use non-linear stochastic modifications of the Schroedinger equation to suppress superpositions of eigenstates of the measured observable and drive the state to an eigenstate. It was recently demonstrated that…
We study a model of active particles that perform a simple random walk and on top of that have a preferred direction determined by an internal state which is modelled by a stationary Markov process. First we calculate the limiting diffusion…
A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain. In this work, we give a complete characterization of the recurrent property of…
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…
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…
We follow the guiding line offered by canonical operators on the full Fock space, in order to identify what kind of cumulant functionals should be considered for the concept of bi-free independence introduced in the recent work of…
This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, most notably the classical theory of partial differential…
We study the asymptotic behaviour of the extremal process of a cascading family of branching Brownian motions. This is a particle system on the real line such that each particle has a type in addition to his position. Particles of type $1$…
We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H\"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with…
In the context of stochastic thermodynamics, a minimal model for non equilibrium steady states has been recently proposed: the Brownian Gyrator (BG). It describes the stochastic overdamped motion of a particle in a two dimensional harmonic…
We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…
Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…
A major part of the many thermally driven processes in our natural environment as well as in engineering solutions of Carnot-type machinery is based on the second law of thermodynamics (or principle of entropy increase). An interesting link…
This paper describes the quality of convergence to an infinitely divisible law relative to free multiplicative convolution. We show that convergence in distribution for products of identically distributed and infinitesimal free random…
We investigate the classical Brownian motion of a particle in a two-dimensional noncommutative (NC) space. Using the standard NC algebra embodied by the sympletic Weyl-Moyal formalism we find that noncommutativity induces a non-vanishing…
Dynamical phase transitions (DPTs) arise from qualitative changes in the long-time behavior of stochastic trajectories, often observed in systems with kinetic constraints or driven out of equilibrium. Here we demonstrate that first-order…
The Newtonian motion of a macroscopic particle is derived from the linear Schr\"odinger equation with a Hamiltonian consisting of the free-particle term and a random Hamiltonian drawn from the Gaussian Unitary Ensemble. The random term…
We extend to the multivariate non-commutative context the descriptions of a "once-stripped" probability measure in terms of Jacobi parameters, orthogonal polynomials, and the moment generating function. The corresponding map Phi on states…