Related papers: Decomposable stationary distribution of a multidim…
With $M(t):=\sup_{s\in[0,t]}A(s)-s$ denoting the running maximum of a fractional Brownian motion $A(\cdot)$ with negative drift, this paper studies the rate of convergence of $\mathbb {P}(M(t)>x)$ to $\mathbb{P}(M>x)$. We define two metrics…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
The self-repelling Brownian polymer model (SRBP) initiated by Durrett and Rogers in [Durrett-Rogers (1992)] is the continuous space-time counterpart of the myopic (or 'true') self-avoiding walk model (MSAW) introduced in the physics…
Community detection seeks to recover mesoscopic structure from network data that may be binary, count-valued, signed, directed, weighted, or multilayer. The stochastic block model (SBM) explains such structure by positing a latent partition…
In attempting to quantify statistically the density structure of the interstellar medium, astronomers have considered a variety of fractal models. Here we argue that, to properly characterise a fractal model, one needs to define precisely…
Let $d\geq 2$. In this paper, we investigate the following stochastic differential equation (SDE) in ${\mathbb R}^d$ driven by Brownian motion $$ {\rm d} X_t=b(t,X_t){\rm d} t+\sqrt{2}{\rm d} W_t, $$ where $b$ belongs to the space ${\mathbb…
The ability to compute the exact divergence between two high-dimensional distributions is useful in many applications but doing so naively is intractable. Computing the alpha-beta divergence -- a family of divergences that includes the…
The steady state distribution of the position of a Brownian particle diffusing in logarithmic-harmonic potential with stochastic resetting is obtained analytically. We show that there are two critical conditions that determine the behavior…
The well-posedness is investigated for distribution dependent stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (\ff {\sq 5-1} 2,1)$ and distribution dependent multiplicative noise. To this…
The existence of stationary distributions to distribution dependent stochastic differential equations are investigated by using the ergodicity of the associated decoupled equation and the Schauder fixed point theorem. By using Zvonkin's…
We introduce a transient reflected Brownian motion in a multidimensional orthant, which is either absorbed at the apex of the cone or escapes to infinity. We address the question of computing the absorption probability, as a function of the…
We define a de Bruijn process with parameters n and L as a certain continuous-time Markov chain on the de Bruijn graph with words of length L over an n-letter alphabet as vertices. We determine explicitly its steady state distribution and…
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
A random dense countable set is characterized (in distribution) by independence and stationarity. Two examples are `Brownian local minima' and `unordered infinite sample'. They are identically distributed; the former ad hoc proof of this…
We consider non degenerate Brownian SDEs with H{\"o}lder continuous in space diffusion coefficient and unbounded drift with linear growth. We derive two sided bounds for the associated density and pointwise controls of its derivatives up to…
We study rare event simulations of semimartingale reflecting Brownian motions (SRBMs) in an orthant. The rare event of interest is that a $d$-dimensional positive recurrent SRBM enters the set $B_n = \{z\in\mathbb{R}^d: \sum_{k=1}^d z_k =…
\noindent Consider an infinite collection of particles on the real line moving according to independent Brownian motions and such that the $i$-th particle from the left gets the drift $g_{i-1}$. The case where $g_0=1$ and $g_{i}=0$ for all…
A model for anomalous transport of tracer particles diffusing in complex media in two dimensions is proposed. The model takes into account the characteristics of persistent motion that active bath transfer to the tracer, thus the model…
We show how the approach used in `N. Demni, T. Hmidi. Spectral Distribution of the Free unitary Brownian motion: another approach. Sem. Probab. XLIV. 2012. 191-206.' applies to describe the large-size limit of the marginal distribution of…
We analyze the stationary distribution of regulated Markov modulated Brownian motions (MMBM) modified so that their evolution is slowed down when the process reaches level zero --- level zero is said to be {\em sticky}. To determine the…