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We study a planar two-temperature diffusion of a Brownian particle in a parabolic potential. The diffusion process is defined in terms of two Langevin equations with two different effective temperatures in the X and the Y directions. In the…
Dunkl processes are generalizations of Brownian motion obtained by using the differential-difference operators known as Dunkl operators as a replacement of spatial partial derivatives in the heat equation. Special cases of these processes…
We investigate open quantum Brownian motions as quantum analogues of classical diffusion processes under interaction with an external enviroment. Building upon the microscopic derivation by Sinayskiy and Petruccione [20], we revisit the…
This paper reviews the formulation of the Feynman-Vernon model of linear dissipative systems for a standard Brownian particle moving in an external potential $V(x,t)$ and introduces the formulation of a generalized oscillator model of a…
We derive a general quantum formula giving the mean-square displacement of a diffusing particle as a function of time. Near {\bf 0 K} we find a universal logarithmic behavior (valid for times longer than the relaxation time), and deviations…
Overdamped Brownian motion of a self-propelled particle is studied by solving the Langevin equation analytically. On top of translational and rotational diffusion, in the context of the presented model, the "active" particle is driven along…
We prove that for a general diffusion process, certain assumptions on its behavior \emph{only within a fixed open subset} of the state space imply the existence and sub-Gaussian type off-diagonal upper bounds of the \emph{global} heat…
Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…
We consider the 1D motion of an overdamped Brownian particle in a general potential in the low temperature limit. We derive an explicit expression for the probability distribution for the heat transferred to the particle. We find that the…
Using Brownian motion in periodic potentials $V(x)$ tilted by a force $f$, we provide physical insight into the thermodynamic uncertainty relation, a recently conjectured principle for statistical errors and irreversible heat dissipation in…
A stochastic Langevin equation is derived, describing the thermal motion of a molecule immersed in a rested fluid of identical molecules. The fluctuation-dissipation theorem is proved and a number of correlation characteristics of the…
Starting from the Caldeira-Leggett (CL) model, we derive the equation describing the Quantum Brownian motion, which has been originally proposed by Dekker purely from phenomenological basis containing extra anomalous diffusion terms.…
Iterated Bessel processes R^\gamma(t), t>0, \gamma>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B^{hp}(t), t>0 are examined and their probability laws derived. The higher-order partial differential…
Veestraeten [1] recently derived inverse Laplace transforms for Laplace transforms that contain products of two parabolic cylinder functions by exploiting the link between the parabolic cylinder function and the transition density and…
We study some thermodynamics quantities for the Klein-Gordon equation with a linear plus inverse-linear, scalar potential. We obtain the energy eigenvalues with the help of the quantization rule coming from the biconfluent Heun's equation.…
This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, most notably the classical theory of partial differential…
In this paper hyperbolic partial differential equations with random coefficients are discussed. Such random partial differential equations appear for instance in traffic flow problems as well as in many physical processes in random media.…
We extend the classical Bernstein technique to the setting of integro-differential operators. As a consequence, we provide first and one-sided second derivative estimates for solutions to fractional equations, including some convex fully…
Matrix Dirichlet processes, in reference to their reversible measure, appear in a natural way in many different models in probability. Applying the language of diffusion operators and the method of boundary equations, we describe Dirichlet…
An integro-differential equation for the probability density of the generalized stochastic Ornstein-Uhlenbeck process with jump diffusion is considered. It is shown that for a certain ratio between the intensity of jumps and the speed of…