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We outline a reduction scheme for a class of Brownian dynamics which leads to meaningful corrections to the Smoluchowski equation in the overdamped regime. The mobility coefficient of the reduced dynamics is obtained by exploiting the…
Elaboration of some fundamental relations in three dimensional quantum mechanics is considered taking into account the restricted character of areas in radial distance. In such cases the boundary behavior of the radial wave function and…
A subordinate Brownian motion is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. The infinitesimal generator of a subordinate Brownian motion is $-\phi(-\Delta)$, where…
This paper was devoted to study the quantitative homogenization problems for nonlinear elliptic operators in perforated domains. We obtained a sharp error estimate $O(\varepsilon)$ when the problem was anchored in the reference domain…
In this work, we establish $\mathrm{L}^2$-exponential convergence for a broad class of Piecewise Deterministic Markov Processes recently proposed in the context of Markov Process Monte Carlo methods and covering in particular the Randomized…
According to a version of Donsker's theorem, geodesic random walks on Riemannian manifolds converge to the respective Brownian motion. From a computational perspective, however, evaluating geodesics can be quite costly. We therefore…
In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…
We consider a class of second-order partial differential operators $\mathscr A$ of H\"ormander type, which contain as a prototypical example a well-studied operator introduced by Kolmogorov in the '30s. We analyze some properties of the…
The non-parametric estimation of covariance lies at the heart of functional data analysis, whether for curve or surface-valued data. The case of a two-dimensional domain poses both statistical and computational challenges, which are…
In this article we study transition probabilities of a class of subordinate Brownian motions. Under mild assumptions on the Laplace exponent of the corresponding subordinator, sharp two sided estimates of the transition probability are…
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst…
A study of the diffusion of a passive Brownian particle on the surface of a sphere and subject to the effects of an external potential, coupled linearly to the probability density of the particle's position, is presented through a numerical…
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing…
The aim of this paper is to establish the weak convergence, in the topology of the Skorohod space, of the $\nu$-symmetric Riemann sums for functionals of the fractional Brownian motion when the Hurst parameter takes the critical value…
In the present paper we consider the Ornstein-Uhlenbeck process of the second kind defined as solution to the equation $dX_{t} = -\alpha X_{t}dt+dY_{t}^{(1)}, \ \ X_{0}=0$, where $Y_{t}^{(1)}:=\int_{0}^{t}e^{-s}dB^H_{a_{s}}$ with…
We study the law of a hypoelliptic Brownian motion on an infinite-dimensional Heisenberg group based on an abstract Wiener space. We show that the endpoint distribution, which can be seen as a heat kernel measure, is absolutely continuous…
We prove explicit coercivity estimates for the linearized Boltzmann and Landau operators, for a general class of interactions including any inverse-power law interactions, and hard spheres. The functional spaces of these coercivity…
In this work, we establish higher-order div-curl type estimates in the sense of Coifman, Lions, Meyer & Semmes, in a local setting for elliptic homogeneous linear differential operators with smooth coefficients acting on localizable Hardy…
We study the transversal wave equation on a compact Riemannian foliated manifold. As applications, we get an Egorov's type theorem for transversally elliptic operators, state a relationship between the singularities of the Fourier transform…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…