Related papers: On a non-linear transformation between Brownian ma…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
First, classes of Markov processes that scale exactly with a Hurst exponent H are derived in closed form. A special case of one class is the Tsallis density, advertised elsewhere as nonlinear diffusion or diffusion with nonlinear feedback.…
Within the framework of the frozen temperature approximation we develop a strongly-nonlinear theory of one-dimensional pattern formation during directional solidification of binary mixture under nonequilibrium segregation. In the case of…
It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…
Recent progress in experimental techniques such as single particle tracking allows to analyze both nonequilibrium properties and approach to equilibrium. There are examples showing that processes occurring at finite timescales are…
Considering the example of interacting Brownian particles we present a linear response derivation of the boundary condition for the corresponding hydrodynamic description (the diffusion equation). This requires us to identify a non-analytic…
Consider a chaotic dynamical system generating Brownian motion-like diffusion. Consider a second, non-chaotic system in which all particles localize. Let a particle experience a random combination of both systems by sampling between them in…
Brownian dynamics is a popular fine-grained method for simulating systems of interacting particles, such as chemical reactions. Though the method is simple to simulate, it is generally assumed that the dynamics is impossible to solve…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
Inertial effects in fluctuations of the work to sustain a system in a nonequilibrium steady state are discussed for a dragged massive Brownian particle model using a path integral approach. We calculate the work distribution function in the…
We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space $B$ using the language of stochastic calculus via regularizations, introduced in the case $B= \R$ by the…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
Normalizing flows attempt to model an arbitrary probability distribution through a set of invertible mappings. These transformations are required to achieve a tractable Jacobian determinant that can be used in high-dimensional scenarios.…
We show the variational convergence of an irreversible Markov jump process describing a finite stochastic particle system to the solution of a countable infinite system of deterministic time-inhomogeneous quadratic differential equations…
Consider a branching process $\{Z_n\}$ in a varying environment. Let $\{W_n\}$ be the natural martingale $Z_n/{\bf E}Z_n$. It converges to some random variable $W$ as $n\to\infty$. An important problem is to show that ${\bf P}(W>0)$ equals…
We study a spatial branching model, where the underlying motion is Brownian motion and the branching is affected by a random collection of reproduction blocking sets called "mild" obstacles. We show that the quenched local growth rate is…
This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…
The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In this context, our main result is to prove that the…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
We analyze and simulate a two dimensional Brownian multi-type particle system with death and branching (birth) depending on the position of particles of different types. The system is confined in the two dimensional box, whose boundaries…