Related papers: Bessel process, Schramm-Loewner evolution, and Dys…

A Bessel excursion is a Bessel process that begins at the origin and first returns there at some given time $T$. We study the distribution of the area under such an excursion, which recently found application in the context of laser…

In this paper, we introduce $ G $-Bessel processes for a class of $ d $-dimensional $ G $-Brownian motions. Under the condition of dimensionality $ d $, we obtain that the $ G $-Bessel process is the solution of the stochastic differential…

Dyson's Brownian motion model with the parameter $\beta=2$, which we simply call the Dyson model in the present paper, is realized as an $h$-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial…

Dyson's model is a one-dimensional system of Brownian motions with long-range repulsive forces acting between any pair of particles with strength proportional to the inverse of distances with proportionality constant $\beta/2$. We give…

Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $\beta=2$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a…

It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous…

The Carleman approach is well-known in the field of deterministic classical dynamics as a method to replace a finite number $d$ of non-linear differential equations by an infinite-dimensional linear system. Here this approach is applied to…

The Keller-Segel partial differential equation is a two-dimensional model for chemotaxis. When the total mass of the initial density is one, it is known to exhibit blow-up in finite time as soon as the sensitivity $\chi$ of bacteria to the…

Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge…

Complex solutions to squared Bessel SDEs appear naturally in relation to Schramm-Loewner evolutions. We prove a large deviation principle for such solutions as the dimension parameter tends to $-\infty$.

Path transformations are fundamental to the study of Brownian motion and related stochastic processes, offering elegant constructions of the Brownian bridge, meander, and excursion. Central to this theory is the well-established link…

We prove a Feynman-Kac-type formula for the relative motion of the two-body delta-Bose gas in two dimensions. The multiplicative functional is not exponential, and the process is a skew-product diffusion uniquely extended in law, in the…

We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the correspondence between the description of the…

We establish a process level large deviation principle for systems of interacting Bessel-like diffusion processes. By establishing weak uniqueness for the limiting non-local SDE of McKean-Vlasov type, we conclude that the latter describes…

Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this…

Let (B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t + \mu t) be a three-dimensional Brownian motion with drift \mu, starting at the origin. Then X_t = ||(B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t +\mu t)||, its distance from the starting point, is a diffusion with…

This work introduces a construction of conformal processes that combines the theory of branching processes with chordal Loewner evolution. The main novelty lies in the choice of driving measure for the Loewner evolution: given a finite…

We review and study a one-parameter family of functional transformations, denoted by $(S^{(\beta)})_{\beta\in \R}$, which, in the case $\beta<0$, provides a path realization of bridges associated to the family of diffusion processes…

We consider a variant of Bessel SDE by allowing the solution to be complex valued. Such SDEs appear naturally while studying the trace of Schramm-Loewner-Evolutions (SLE). We establish the existence and uniqueness of the strong solution to…

A fractal oscillatority of solutions of second-order differential equations near infinity is measured by oscillatory and phase dimensions. The phase dimension is defined as a box dimension of the trajectory $(x,\dot{x})$ in $\mathbb{R}^2$…