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We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the…
An analytical representation for the spatial and temporal dynamics of the simplest of the diffusions -- Bronwian diffusion in an homogeneous slab geometry, with radial symmetry -- is presented. This representation is useful since it…
The theory of diffusion seeks to describe the motion of particles in a chaotic environment. Classical theory models individual particles as independent random walkers, effectively forgetting that particles evolve together in the same…
The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
This paper is concerned with the fractionalized diffusion equations governing the law of the fractional Brownian motion $B_H(t)$. We obtain solutions of these equations which are probability laws extending that of $B_H(t)$. Our analysis is…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
We develop diffusion models for time-varying correlation using stochastic processes defined on the unit circle. Specifically, we study Brownian motion on the circle and the von Mises diffusion, and propose their use as continuous-time…
The probability density is a fundamental quantity for characterizing diffusion processes. However, it is seldom known except in a few renowned cases, including Brownian motion and the Ornstein-Uhlenbeck process and their bridges, geometric…
We study the random walk of a particle in a compartmentalized environment, as realized in biological samples or solid state compounds. Each compartment is characterized by its length $L$ and the boundaries transmittance $T$. We identify two…
The Markovian diffusion theory in the phase space is generalized within the framework of the general theory of relativity. The introduction of moving orthonormal frame vectors both for the position as well the velocity space enables to…
Diffusion behavior of Brownian particles in confined spaces was studied for the displacements notably shorter than the confinement size. The confinements, resembling structure of porous solids, were modeled using a spatially-varying…
The diffusion equation and its time-fractional counterpart can be obtained via the diffusion limit of continuous-time random walks with exponential and heavy-tailed waiting time distributions. The space dependent variable-order…
As observers of the universe we are physical systems within it. If the universe is very large in space and/or time, the probability becomes significant that the data on which we base predictions is replicated at other locations in…
We study the biased diffusion of particles moving in one direction under the action of a constant force in the presence of a piecewise linear random potential. Using the overdamped equation of motion, we represent the first and second…
We present a method that allows, under suitable equivariance and regularity conditions, to determine the Poisson boundary of a diffusion starting from the Poisson boundary of a sub-diffusion of the original one. We then give two examples of…
In this paper, we propose a new class of distributions by exponentiating the random variables associated with the probability density functions of composite distributions. We also derive some mathematical properties of this new class of…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
This paper presents an {\it ab initio} derivation of the expression given by irreversible thermodynamics for the rate of entropy production for different classes of diffusive processes. The first class are Lorentz gases, where…
We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the…