Related papers: Polymer Measure: Varadhan's Renormalization Revisi…
In the paper Dynkin construction for self-intersection local time of planar Wiener process is extended on Hilbert-valued weights.
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…
In this paper we study the rate of convergence of the iterates of \iid random piecewise constant monotone maps to the time-$1$ transport map for the process of coalescing Brownian motions. We prove that the rate of convergence is given by a…
We consider the maximal displacement of one dimensional branching Brownian motion with (macroscopically) time varying profiles. For monotone decreasing variances, we show that the correction from linear displacement is not logarithmic but…
We estimate the mean first time, called the mean rotation time (MRT), for a planar random polymer to wind around a point. This polymer is modeled as a collection of n rods, each of them being parameterized by a Brownian angle. We are led to…
We consider a system of $N$ Brownian particles, with or without inertia, interacting in the mean-field regime via a weak, smooth, long-range potential, and starting initially from an arbitrary exchangeable $N$-particle distribution. In this…
We prove strong small deviations results for Brownian motion under independent time-changes satisfying their own asymptotic criteria. We then apply these results to certain stochastic integrals which are elements of second-order homogeneous…
We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
We report experimental measurements of Lagrangian accelerations in the bulk of intense turbulent flows of dilute polymer solutions by following tracer particles with a high-speed optical tracking system. We observed a significant decrease…
Motivated by a theorem of Barbour, we revisit some of the classical limit theorems in probability from the viewpoint of the Stein method. We setup the framework to bound Wasserstein distances between some distributions on infinite…
We consider $p$ independent Brownian motions in $\R^d$. We assume that $p\geq 2$ and $p(d-2)<d$. Let $\ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $\R^d$ that assigns to any measurable…
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an…
We propose a generalization of the stochastic resetting mechanism for a Brownian particle diffusing in a one-dimensional periodic potential: randomly in time, the particle gets reset at the bottom of the potential well it was in. Numerical…
Rectification of interacting Brownian particles is investigated in a two-dimensional asymmetric channel in the presence of an external periodic driving force. The periodic driving force can break the thermodynamic equilibrium and induces…
We produce the first example of bounding total variation distance to stationarity and estimating mixing times via orthogonal polynomials diagonalization of discrete reversible Markov chains, the Karlin-McGregor approach.
In this paper, we give estimates for the speed of convergence towards a limiting stable law in the recently introduced setting of mod-$\phi$ convergence. Namely, we define a notion of zone of control, closely related to mod-$\phi$…
Brownian and fractional processes are useful computational tools for the modelling of physical phenomena. Here, modelling linear homopolymers in solution as Brownian or fractional processes, we develop a formalism to take into account both…
We model an overdamped Brownian particle that is subject to resetting facilitated by a ratchet potential on a spatially periodic domain. This asymmetric potential switches on with a constant rate, but switches off again only upon the…
In this paper we apply Clark-Ocone formula to deduce an explicit integral representation for the renormalized self-intersection local time of the $d$% -dimensional fractional Brownian motion with Hurst parameter $H\in (0,1)$. As a…
The trend to equilibrium in large time is studied for a large particle system associated to a Vlasov-Fokker-Planck equation in the presence of a convex external potential, without smallness restriction on the interaction. From this are…