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Brownian dynamics of a self-propelled particle in linear shear flow is studied analytically by solving the Langevin equation and in simulation. The particle has a constant propagation speed along a fluctuating orientation and is…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper…
The directed transport of Brownian particles requires a system with an asymmetry and with non-equilibrium noise. We here investigate numerically alternative ways of fulfilling these requirements for a two-state Brownian motor, realised with…
This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed.…
We study the isothermal Brownian dynamics of a particle in a system with spatially varying diffusivity. Due to the heterogeneity of the system, the particle's mean displacement does not vanish even if it does not experience any physical…
A framework for performant Brownian Dynamics (BD) many-body simulations with adaptive timestepping is presented. Contrary to the Euler-Maruyama scheme in common non-adaptive BD, we employ an embedded Heun-Euler integrator for the…
Simultaneous diffusive and inertial motion of Brownian particles in laminar Couette flow is investigated via Lagrangian and Eulerian descriptions to determine the effect of particle inertia on diffusive transport in the long-time. The…
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 derive analytic solutions for the full time dependence of space-fractional Fokker-Planck equations corresponding to stochastic Langevin equations with additive tempered-stable L\'{e}vy noise terms. The drift terms are generalised to be…
This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…
We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…
We investigate the motility of a growing population of cells in a idealized setting: we consider a system of hard disks in which new particles are added according to prescribed growth kinetics, thereby dynamically changing the number…
In this paper we study the longtime dynamics of mild solutions to retarded stochastic evolution systems driven by a Hilbert-valued Brownian motion. As a preparation for this purpose we have to show the existence and uniqueness of a cocycle…
The paper contains a simple semi-quantitative analysis of a structure of solution to the exact Bogolyubov functional equation for a particle interacting with ideal gas and driven by an external force, in comparison with solutions to model…
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent…
In this paper, we study the unitary Dyson Brownian motion through a partial differential equation approach recently introduced for the real Dyson case. The main difference with the real Dyson case is that the spectrum is now on the circle…
We investigate by analytical means the stochastic equations of motion of a linear molecular motor model based on the concept of protein friction. Solving the coupled Langevin equations originally proposed by Mogilner et al. (A. Mogilner et…
We propose a stochastic model for intracellular transport processes associated with the activity of molecular motors. This out-of-equilibrium model, based on a generalized Langevin equation, considers a particle immersed in a viscoelastic…
In this paper, we obtain the existence and finite-time blow-up for the solution to a system of semilinear stochastic partial differential equations driven by a combination of Brownian and fractional Brownian motions. Under suitable…