Related papers: What can we still learn from Brownian motion?
In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose covariance depends on the so-called Hurst parameter $H\in…
We consider a (one-dimensional) branching Brownian motion process with a general offspring distribution having at least two moments, and in which all particles have a drift towards the origin where they are immediately absorbed. It is…
In this article, it is suggested that a pedagogical point of departure in the teaching of classical mechanics is the Liouville theorem. The theorem is interpreted to define the condition that describe the conservation of information in…
We present certain mathematical aspects of an information method which was formulated in an attempt to investigate diffusion phenomena. We imagine a regular dynamical hamiltonian systems under the random perturbation of thermal (molecular)…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the…
A short review of the classical theory of Brownian motion is presented. A new method is proposed for derivation of the Fokker-Planck equations, describing the probability density evolution, from stochastic differential equations. It is also…
Fractional Brownian motion is a non-Markovian Gaussian process indexed by the Hurst exponent $H\in [0,1]$, generalising standard Brownian motion to account for anomalous diffusion. Functionals of this process are important for practical…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
We report in this paper a thorough study on the the dynamical mechanics of the fractional Brownian motion systems. Where several non-trivial properties are revealed such as the abundant non-Markovian effects resulted from the fractional…
A stochastic Langevin equation is derived, describing the thermal motion of a molecule immersed in a rested fluid of identical molecules. The fluctuation-dissipation theorem is proved and a number of correlation characteristics of the…
Dynamical random walk of classical particle in thermodynamically equilibrium fluctuating medium, - Gaussian random potential field, - is considered in the framework of explicit stochastic representation of deterministic interactions. We…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…