Related papers: On the stochastic behaviour of optional processes …
Given a sequence of resistance forms that converges with respect to the Gromov-Hausdorff-vague topology and satisfies a uniform volume doubling condition, we show the convergence of corresponding Brownian motions and local times. As a…
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability... The usual procedure is to use discretiza-tion schemes…
We study the existence and regularity of local times for general $d$-dimensional stochastic processes. We give a general condition for their existence and regularity properties. To emphasize the contribution of our results, we show that…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
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…
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…
This paper motivates the use of random-bridges -- stochastic processes conditioned to take target distributions at fixed timepoints -- in the realm of generative modelling. Herein, random-bridges can act as stochastic transports between two…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…
The normalised partial sums of values of a nonnegative multiplicative function over divisors with appropriately restricted sizes of a random permutation from the symmetric group define trajectories of a stochastic process. We prove a…
We consider the dynamical evolution of a Brownian particle undergoing stochastic resetting, meaning that after random periods of time it is forced to return to the starting position. The intervals after which the random motion is stopped…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
The paper is devoted to the study of the asymptotic behaviour of Moran process in random environment, say random selection. In finite population, the Moran process may be degenerate in finite time, thus we will study its limiting process in…
In this work, I derive the time-dependent probability density function of classical observables using the Hamiltonian mechanics approach, extending the notion of fluctuation theorems for any observables. In particular, the time-dependent…
Let $B=(B_t)_{t\in {\mathbb{R}}}$ be a two-sided standard Brownian motion. An unbiased shift of $B$ is a random time $T$, which is a measurable function of $B$, such that $(B_{T+t}-B_T)_{t\in {\mathbb{R}}}$ is a Brownian motion independent…
In this paper, we investigate a Brownian motion (BM) with purely time dependent drift and difusion by suggesting and examining several Brownian functionals which characterize the lifetime and reactivity of such stochastic processes. We…
We consider a discrete-time random walk on the nodes of an unbounded hexagonal lattice. We determine the probability generating functions, the transition probabilities and the relevant moments. The convergence of the stochastic process to a…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…