Related papers: On an imaginary exponential functional of Brownian…
Using a minimal-coupling-scheme we investigate the quantum Brownian motion of a particle in an anisotropic-dissipative-medium under the influence of an arbitrary potential in both relativistic and non-relativistic regimes. A general quantum…
In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and…
We study the stochastic motion of an intruder in a dilute driven granular gas. All particles are coupled to a thermostat, representing the external energy source, which is the sum of random forces and a viscous drag. The dynamics of the…
We present a functional formalism to derive a generating functional for correlation functions of a multiplicative stochastic process represented by a Langevin equation. We deduce a path integral over a set of fermionic and bosonic variables…
We discuss chains of interacting Brownian motions. Their time reversal invariance is broken because of asymmetry in the interaction strength between left and right neighbor. In the limit of a very steep and short range potential one arrives…
Spatially dependent birth-death processes can be modelled by kinetic models such as the BBGKY hierarchy. Diffusion in infinite dimensional systems can be modelled with Brownian motion in Hilbert space. In this work Doi field theoretic…
We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of the Brownian motion arise in the study of electronic transport in weakly…
A class of Brownian dynamics algorithms for stochastic reaction-diffusion models which include reversible bimolecular reactions is presented and analyzed. The method is a generalization of the $\lambda$--$\newrho$ model for irreversible…
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…
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, which can change the structure of the underlying…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we…
The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical…
Statistical inference can be seen as information processing involving input information and output information that updates belief about some unknown parameters. We consider the Bayesian framework for making inferences about dynamical…
In this paper we study Doob's transform of fractional Brownian motion (FBM). It is well known that Doob's transform of standard Brownian motion is identical in law with the Ornstein-Uhlenbeck diffusion defined as the solution of the…
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…
This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and…
We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
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…