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We construct a family of processes, from a single Poisson process, that converges in law to a complex Brownian motion. Moreover, we find realizations of these processes that converge almost surely to the complex Brownian motion, uniformly…
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…
In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains $D$ in $\mathbb{R}^n$ that includes all bounded Lipschitz domains…
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other…
This article contains both a point process and a sequential description of the greatest convex minorant of Brownian motion on a finite interval. We use these descriptions to provide new analysis of various features of the convex minorant…
We study a Brownian motion with drift in a wedge of angle $\beta$ which is obliquely reflected on each edge along angles $\varepsilon$ and $\delta$. We assume that the classical parameter $\alpha=\frac{\delta+\varepsilon - \pi}{\beta}$ is…
The work developed in the paper concerns the multivariate fractional Brownian motion (mfBm) viewed through the lens of the wavelet transform. After recalling some basic properties on the mfBm, we calculate the correlation structure of its…
We introduce new multilevel methods for solving large-scale unconstrained optimization problems. Specifically, the philosophy of multilevel methods is applied to Newton-type methods that regularize the Newton sub-problem using second order…
The Dyson Brownian Motion (DBM) describes the stochastic evolution of $N$ points on the line driven by an applied potential, a Coulombic repulsion and identical, independent Brownian forcing at each point. We use an explicit tamed Euler…
Consider an $n\times n$ Hermitean matrix valued stochastic process $\{H_t\}_{t\geq 0}$ where the matrix elements evolve according to Ornstein-Uhlenbeck processes. It is well known that the eigenvalues perform a so called Dyson Brownian…
We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…
Excursion reflected Brownian motion (ERBM) is a strong Markov process defined in a finitely connected domain $D \subset \mathbb{C}$ that behaves like a Brownian motion away from the boundary of $D$ and picks a point according to harmonic…
For some discrete parameters $k\ge0$, multivariate (Dunkl-)Bessel processes on Weyl chambers $C$ associated with root systems appear as projections of Brownian motions without drift on Euclidean spaces $V$, and the associated transition…
We consider Brownian motion on symmetric matrices of octonions, and study the law of the spectrum. Due to the fact that the octonion algebra is nonassociative, the dimension of the matrices plays a special role. We provide two specific…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…
We derive a quantum master equation from first principles to describe friction in one dimensional, collisional Brownian motion. We are the first to avoid an ill-defined square of the Dirac delta function by using localized wave packets…
The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the…
The two-fermion two-point correlation function in the pairing channel is discussed in the equation of motion framework. Starting from the bare two-fermion interaction, we derive the equation of motion for the two-fermion pair propagator in…
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…
In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…