Related papers: Exact Distribution of Verhulst process
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a…
The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian…
We introduce a deductive statistical mechanics approach for granular materials which is formally built from few realistic physical assumptions. The main finding is an universal behavior for the distribution of the density fluctuations. Such…
In this paper we show a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some…
We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic…
We consider the solid or hexatic non-equilibrium phases of an interacting two-dimensional system of Active Brownian Particles at high density and investigate numerically and theoretically the properties of the velocity distribution function…
We suggest a governing equation which describes the process of polymer chain translocation through a narrow pore and reconciles the seemingly contradictory features of such dynamics: (i) a Gaussian probability distribution of the…
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Extensive time-series encoding the position of particles such as viruses, vesicles, or individual proteins are routinely garnered in single-particle tracking experiments or supercomputing studies. They contain vital clues on how viruses…
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From event-driven simulations of a gravity-driven channel flow of inelastic hard-disks, we show that the velocity distribution function remains close to a Gaussian for a wide range densities (even when the Knudsen number is of order one) if…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
In this short note we will provide a sufficient and necessary condition to have uniqueness of the location of the maximum of a stochastic process over an interval. The result will also express the mean value of the location in terms of the…
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
We describe a two-dimensional model for active particles whose self-propulsion speed is not fixed, but varies in time, and whose motion is subject to both translational and rotational diffusion. In the conventional treatment of active…