Related papers: Measuring the Initial Transient: Reflected Brownia…
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, which can change the structure of the underlying…
We study the precise large deviation probabilities for the sizes of intermediate level sets in branching Brownian motion (BBM). Our conclusions improve a result of A\"{i}dekon, Hu and Shi in [J. Math. Sci. \textbf{238}(2019)]. Additionally,…
Consider a generic triangle in the upper half of the complex plane with one side on the real line. This paper presents a tailored construction of a discrete random walk whose continuum limit is a Brownian motion in the triangle, reflected…
Transport phenomena in spatially periodic systems far from thermal equilibrium are considered. The main emphasize is put on directed transport in so-called Brownian motors (ratchets), i.e. a dissipative dynamics in the presence of thermal…
This article presents a review of some old and new results on the long time behavior of reflected diffusions. First, we present a summary of prior results on construction, ergodicity and geometric ergodicity of reflected diffusions in the…
It is known that in a stationary Brownian queue with both arrival and service processes equal in law to Brownian motion, the departure process is a Brownian motion, that is, Burke's theorem in this context. In this short note we prove…
We revisit the Markov approximation necessary to derive ordinary Brownian motion from a model widely adopted in literature for this specific purpose. We show that this leads to internal inconsistencies, thereby implying that further search…
We investigate the mean first passage time of an active Brownian particle in one dimension using numerical simulations. The activity in one dimension is modeled as a two state model; the particle moves with a constant propulsion strength…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
We study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…
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 quantum Brownian motion of a charged particle in the electromagnetic vacuum fluctuations is investigated near a perfectly reflecting flat boundary, taking into account the smooth switching process in the measurement. Constructing a…
We are interested to prove that the stationary distribution of a multiclass queueing network converges to the stationary distribution of a semimartingale reflecting Brownian motion (SRBM) in heavy traffic. A key condition for this…
We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.
We study a generalized geometric Brownian motion framework that incorporates both entries of new units and exit mechanisms for the current population, extending earlier stochastic resetting models where these rates are treated as identical.…
We study the Brownian motion of a charged test particle coupled to electromagnetic vacuum fluctuations near a perfectly reflecting plane boundary. The presence of the boundary modifies the quantum fluctuations of the electric field, which…
Brownian motion in a granular gas in a homogeneous cooling state is studied theoretically and by means of molecular dynamics. We use the simplest first-principle model for the impact-velocity dependent restitution coefficient, as it follows…
Fractional Brownian motion (FBM), a non-Markovian self-similar Gaussian stochastic process with long-ranged correlations, represents a widely applied, paradigmatic mathematical model of anomalous diffusion. We report the results of…
We study a single-server Markovian queueing model with $N$ customer classes in which priority is given to the shortest queue. Under a critical load condition, we establish the diffusion limit of the workload and queue length processes in…
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le…