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In this paper, we will focus - in dimension one - on the SDEs of the type dX_t=s(X_t)dB_t+b(X_t)dt where B is a fractional Brownian motion. Our principal motivation is to describe one of the simplest theory - from our point of view -…
Geometric Brownian motion (GBM) is a key model for representing self-reproducing entities. Self-reproduction may be considered the definition of life [5], and the dynamics it induces are of interest to those concerned with living systems…
Self-similarity is widely considered the reference framework for modeling the scaling properties of real-world data. However, most theoretical studies and their practical use have remained univariate. Operator Fractional Brownian Motion…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We study quasi-stationary distributions and quasi-limiting behavior of Markov chains in general reducible state spaces with absorption. We propose a set of assumptions dealing with particular situations where the state space can be…
This paper considers the segregation of a granular mixture in a rotating drum. Extending a recent kinematic model for grain transport on sandpile surfaces to the case of rotating drums, an analysis is presented for radial segregation in the…
This paper proves joint convergence of the approximation error for several stochastic integrals with respect to local Brownian semimartingales, for nonequidistant and random grids. The conditions needed for convergence are that the Lebesgue…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We introduce and study a model in one dimension of $N$ run-and-tumble particles (RTP) which repel each other logarithmically in the presence of an external quadratic potential. This is an "active'' version of the well-known Dyson Brownian…
We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coefficients, and with a full range of patterns of behavior upon collision that range from totally frictionless interaction, to elastic…
Consider a massive (inert) particle impinged from above by N Brownian particles that are instantaneously reflected upon collision with the inert particle. The velocity of the inert particle increases due to the influence of an external…
Our object is to formulate and analyze a physically plausible and mathematically sound model to better understand the phenomenon of clumping in colloid dispersions. Our model is stochastic but rigorously derived from a deterministic setup…
We derive multiscale statistics for deconvolution in order to detect qualitative features of the unknown density. An important example covered within this framework is to test for local monotonicity on all scales simultaneously. We…
Consider a reflecting diffusion in a domain in $R^d$ that acquires drift in proportion to the amount of local time spent on the boundary of the domain. We show that the stationary distribution for the joint law of the position of the…
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion…
A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…
In many applications, for example when computing statistics of fast subsystems in a multiscale setting, we wish to find the stationary distributions of systems of continuous time Markov chains. Here we present a class of models that appears…
Flip-flop processes refer to a family of stochastic fluid processes which converge to either a standard Brownian motion (SBM) or to a Markov modulated Brownian motion (MMBM). In recent years, it has been shown that complex distributional…
Some short-period, detached binary systems have recently been reported to experience very rapid orbital decay, much faster than is expected from the angular-momentum loss caused by gravitational radiation alone. As these systems contain…