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Ioffe's criterion and various reformulations of it have become a~standard tool in proving theorems guaranteeing various regularity properties such as metric regularity, i.e., the openness with a linear rate around the reference point, of…
This paper considers the orthogonal expansion of the fractional Brownian motion relative to the Legendre polynomials. Such an expansion has not only theoretical but also practical interest, since it can be applied to approximate and…
The arithmetic function of two variables is defined. Some properties of the function are given along with the formula that is an analog of the so-called Mobius' inversion formula. A heuristic statement is suggested.
It is well known that path probabilities of Brownian motion correspond to the equilibrium configurational probabilities of flexible Gaussian polymers, while those of active Brownian motion correspond to in-extensible semiflexible polymers.…
The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential…
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical…
Optimal sample path properties of stochastic processes often involve generalized H\"{o}lder- or variation norms. Following a classical result of Taylor, the exact variation of Brownian motion is measured in terms of $\psi (x) \equiv $…
We generalize the Green-Kubo approach, previously applied to bulk systems of spherically symmetric active particles [J. Chem. Phys. 145, 161101 (2016)], to include spatially inhomogeneous activity. The method is applied to predict the…
Classical density functional theory (DFT) provides an exact variational framework for determining the equilibrium properties of inhomogeneous fluids. We report a generalization of DFT to treat the non-equilibrium dynamics of classical…
The paper deals with a comprehensive theory of mappings, whose local behavior can be described by means of linear subspaces, contained in the graphs of two (primal and dual) generalized derivatives. This class of mappings includes the…
We present a Cameron--Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion,…
Motivated by the pressing request of methods able to create prediction sets in a general regression framework for a multivariate functional response and pushed by new methodological advancements in non-parametric prediction for functional…
This article begins with a brief review of random matrix theory, followed by a discussion of how the large-$N$ limit of random matrix models can be realized using operator algebras. I then explain the notion of "Brown measure," which play…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
The 1/N expansion can be successfully used to calculate the Green functions of the two-dimensional O(2N) Gross - Neveu model. In parallel, the methods of analytic perturbation theory are also applied. Comparing the results of these two…
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
Brownian motion of a particle with an arbitrary shape is investigated theoretically. Analytical expressions for the time-dependent cross-correlations of the Brownian translational and rotational displacements are derived from the…
This work deals with the overdamped motion of a particle in a fluctuating one-dimensional periodic potential. If the potential has no inversion symmetry and its fluctuations are asymmetric and correlated in time, a net flow can be generated…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
In this review paper, we first discuss some open problems related to two-dimensional self-avoiding paths and critical percolation. We then review some closely related results (joint work with Greg Lawler and Oded Schramm) on critical…