Related papers: On the multi-dimensional skew Brownian motion
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…
We examine the behavior of $n$ Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient…
We present general theorems solving the long-standing problem of the existence and pathwise uniqueness of strong solutions of infinite-dimensional stochastic differential equations (ISDEs) called interacting Brownian motions. These ISDEs…
We study a simple microscopic model for the one-dimensional stochastic motion of a (non)relativistic Brownian particle, embedded into a heat bath consisting of (non)relativistic particles. The stationary momentum distributions are…
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 introduce a new method of proving pathwise uniqueness, and we apply it to the degenerate stochastic differential equation \[dX_t=|X_t|^{\alpha} dW_t,\] where $W_t$ is a one-dimensional Brownian motion and $\alpha\in(0,1/2)$. Weak…
We present an exact solution for one-dimensional overdamped dynamics near a hard wall, allowing us to connect steady-state distributions under confinement with the extreme value statistics of unconfined stochastic processes. This mapping…
We consider the motion of a particle in a two-dimensional spatially homogeneous mixing potential and show that its momentum converges to the Brownian motion on a circle. This complements the limit theorem of Kesten and Papanicolaou…
We deduce stability and pathwise uniqueness for a McKean-Vlasov equation with random coefficients and a multidimensional Brownian motion as driver. Our analysis focuses on a non-Lipschitz drift coefficient and includes moment estimates for…
We study a two-dimensional stochastic differential equation that has a unique weak solution but no strong solution. We show that this SDE shares notable properties with Tsirelson's example of a one-dimensional SDE with no strong solution.…
It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for…
For any starting point in $\mathbb{R}^d$, we identify the stochastic differential equation that is satisfied by distorted Brownian motion with respect to a certain discontinuous Muckenhoupt $A_2$-weight $\psi$. The discontinuities of $\psi$…
We briefly go through the problem of the quantum description of Brownian motion, concentrating on recent results about the connection between dynamics of the particle and dynamic structure factor of the medium.
Motivated by the probabilistic representation for solutions of the Navier-Stokes equations, we introduce a novel class of stochastic differential equations that depend on the entire flow of its time marginals. We establish the existence and…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
In this paper we study the well-posedness of the kinetic stochastic differential equation (SDE) in $\mathbb R^{2d}(d\geq2)$ driven by Brownian motion: $$\mathord{{\rm d}} X_t=V_t\mathord{{\rm d}} t,\ \mathord{{\rm d}}…
We consider the dynamics of point particles which are confined to a bounded, possibly nonconvex domain $\Omega$. Collisions with the boundary are described as purely elastic collisions. This turns the description of the particle dynamics…
We prove the existence and uniqueness of a mild solution for a class of non-autonomous parabolic mixed stochastic partial differential equations defined on a bounded open subset $D \subset \mathbb{R}^d$ and involving standard and fractional…
The Caughey-Dieness process, also known as the Brownian motion with two valued drift, is used in theoretical physics as an advanced model of the Brownian particle velocity if the resistant force is assumed to be dry friction. This process…
Brownian dynamics of colloidal particles on complex surfaces has found important applications in diverse physical, chemical and biological processes. However, current Brownian dynamics simulation algorithms mostly work for relatively simple…