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The dynamical evolution of a Brownian particle in an inhomogeneous medium with spatially varying friction and temperature field is important to understand conceptually. It requires to address the basic problem of relative stability of…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
We analyse the behaviour of supercritical super-Brownian motion with a barrier through the pathwise backbone embedding of Berestycki et al. (2011). In particular, by considering existing results for branching Brownian motion due to Harris…
We apply Dirac's square root idea to constraints for embedded 4-geometries swept by a 3-dimensional membrane. The resulting Dirac-like equation is then analyzed for general coordinates as well as for the case of a Friedmann-Robertson-Walker…
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of Markovian excursions. Our setting allows to solve the Skorokhod embedding problem, in particular, for diffusions…
We solve the problem of formulating Brownian motion in a relativistically covariant framework in 1+1 and 3+1 dimensions. We obtain covariant Fokker-Planck equations with (for the isotropic case) a differential operator of invariant…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
We establish an integration by parts formula for the semi-group in time $T > 0$ of the kinetic Brownian motion in the Euclidean plane together with its speed in the circle. The stochastic differential equation of our kinetic Brownian motion…
We present an efficient method to solve the narrow capture and narrow escape problems for the sphere. The narrow capture problem models the equilibrium behavior of a Brownian particle in the exterior of a sphere whose surface is reflective,…
We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…
An iterative solution method for fully nonlinear boundary value problems governing self-similar flows with a free boundary is presented. Specifically, the method is developed for application to water entry problems, which can be studied…
We introduce the notion of pathwise entropy solutions for a class of degenerate parabolic-hyperbolic equations with non-isotropic nonlinearity and fluxes with rough time dependence and prove their well-posedness. In the case of Brownian…
In a transformation method the numerical solution of a given boundary value problem is obtained by solving one or more related initial value problems. This paper is concerned with the application of the iterative transformation method to…
We present a framework for the solution of Boltzmann's equation in the swarm limit for arbitrary mass ratio, allowing for solutions of electron or ion transport. An arbitrary basis set can be used in the framework, which is achieved by…
In this chapter, we review our recent work on first passage time (FPT) problems for absorption by a target whose interface is semipermeable. For pedagogical reasons, we focus on a single Brownian particle searching for a single target in a…
In this article we present a modified S-iteration process that we combine with inertial extrapolation to find a common solution to the split monotone inclusion problem and the fixed point problem in real Hilbert space.Our goal is to…
The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
We compare variants of Anderson Mixing with the Jacobian-Free Newton-Krylov and Broyden methods applied to an instance of the k-eigenvalue formulation of the linear Boltzmann transport equation. We present evidence that one variant of…
In a transformation method, the numerical solution of a given boundary value problem is obtained by solving one or more related initial value problems. Therefore, a transformation method, like a shooting method, is an initial value method.…