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We construct obliquely reflected Brownian motions in all bounded simply connected planar domains, including non-smooth domains, with general reflection vector fields on the boundary. Conformal mappings and excursion theory are our main…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
A semi-martingale reflecting Brownian motion is a popular process for diffusion approximations of queueing models including their networks. In this paper, we are concerned with the case that it lives on the nonnegative half-line, but the…
We consider mean trajectories of multiple tracking points on a rigid body that conducts Brownian motion in the absence and presence of an external force field. Based on a na\"{\i}ve representation of rigid body - polygon and polyhedron…
Consider an multidimensional obliquely reflected Brownian motion in the positive orthant, or, more generally, in a convex polyhedral cone. We find sufficient conditions for existence of a stationary distribution and convergence to this…
We numerically investigate the transport of a suspended overdamped Brownian particle which is driven through a two-dimensional rectangular array of circular obstacles with finite radius. Two limiting cases are considered in detail, namely,…
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…
The resonant activation effect (RA) has been well studied in different ways during the last two decades. It consists in the presence of a minimum in the mean time spent by a Brownian particle to exit from a potential well in the presence of…
We consider the impact of inertia on biased Brownian motion of point particles in a two-dimensional channel with sinusoidally varying width. If the time scales of the problem separate, the adiabatic elimination of the transverse degrees of…
Criteria for the incipient motion of a rigid body initially resting on a rigid surface are formulated from first principles in this work. A modified Coulomb friction model and an associated distribution of reaction forces are proposed.…
Building upon the work of Hu, Paz, and Zhang [1,2] on open quantum systems we consider the quantum Brownian motion (QBM) model with one oscillator (position variable $x$) as the system, {\it nonlinearly} coupled to an environment of $N$…
Correlation functions are a standard tool for analyzing statistical particle trajectories. Recently, a so called mean back relaxation (MBR) has been introduced, which correlates positions at three time points. The deviation of its long time…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…
The transient processes of electron transport in nano-scale devices exhibit special phenomena that exist only in the transient regime. Besides how fast the steady states are approached, one interesting aspect of transient transport arises…
Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics similar to Gaussian processes although they are not Gaussian.…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
We study the distribution of additive functionals of reset Brownian motion, a variation of normal Brownian motion in which the path is interrupted at a given rate and placed back to a given reset position. Our goal is two-fold: (1) For…
The relativistic generalization of a free Brownian motion theory is presented. The global characteristics of the relaxation are {\it explicitly} found for the velocity and momentum (stochastic) kinetics. It is shown that the thermal…
We study fluctuations and correlations of the average transverse momentum of particles emitted in heavy-ion collisions. Fluctuations of the average transverse momentum are related to event-by-event fluctuations of the size and entropy of…