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In this note, we present the closed form solution for the joint distribution of the range and terminal value of a Brownian motion. Based on this distribution we build a range scaled terminal value distribution and show the derivation steps…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…
In the last decade there has been increasing interest in the fields of random matrices, interacting particle systems, stochastic growth models, and the connections between these areas. For instance, several objects appearing in the limit of…
We introduce and study the random non-compact metric space called the Brownian plane, which is obtained as the scaling limit of the uniform infinite planar quadrangulation. Alternatively, the Brownian plane is identified as the…
In this article we study the distribution of the number of points of a simple random walk, visited a given number of times (the k-multiple point range). In a previous article we had developed a graph theoretical approach which is now…
Consider a massive (inert) particle impinged from above by N Brownian particles that are instantaneously reflected upon collision with the inert particle. The velocity of the inert particle increases due to the influence of an external…
In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider $N$-dimensional Ito integrals with time varying matrix-valued…
We examine the behavior of $n$ Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient…
We consider one-dimensional diffusions, with polynomial drift and diffusion coefficients, so that in particular the motion can be space-inhomogeneous, interacting via one-sided reflections. The prototypical example is the well-known model…
We provide some equations for the Variance Gamma process due to the fact that we do not consider only the definition as a time-changed Brownian motion. This brings us to a new non-local equation, even true in the drifted case, involving…
Is it possible to recover the position of a source from the steady-state fluxes of Brownian particles to small absorbing windows located on the boundary of a domain? To address this question, we develop a numerical procedure to avoid…
For every integer $n\geq 1$, we consider a random planar map $\mathcal{M}_n$ which is uniformly distributed over the class of all rooted bipartite planar maps with $n$ edges. We prove that the vertex set of $\mathcal{M}_n$ equipped with the…
We consider the relation between the microscopic and effective descriptions of the unfolding experiment on a model polypeptide. We evaluate the probability distribution function of the performed work by Monte Carlo simulations and compare…
We introduce modifications to Monte Carlo simulations of the Feynman path integral that improve sampling of localised interactions. The new algorithms generate trajectories in simple background potentials designed to concentrate them about…
We study systems of interacting Brownian particles in one dimension constructed as the diffusion scaling limits of Fisher's vicious walk models. We define two types of nonintersecting Brownian motions, in which we impose no condition (resp.…
Brownian particles in random potentials show an extended regime of subdiffusive dynamics at intermediate times. The asymptotic diffusive behavior is often established at very long times and thus cannot be accessed in experiments or…
Aims To propose and analyze a general, dynamic, process-oriented theory of the area of distribution. Methods The area of distribution is modelled by combining (by multiplication) three matrices: one matrix represents movements, another…
The Poisson-binomial distribution is useful in many applied problems in engineering, actuarial science, and data mining. The Poisson-binomial distribution models the distribution of the sum of independent but not identically distributed…
In general, the distribution of residuals cannot be obtained explicitly. We give an asymptotic formula for the density of Pearson residuals in continuous generalized linear models corrected to order $n^{-1}$, where $n$ is the sample size.…
Brownian motion is a Gaussian process described by the central limit theorem. However, exponential decays of the positional probability density function $P(X,t)$ of packets of spreading random walkers, were observed in numerous situations…