Related papers: Transporting random measures on the line and embed…
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion…
This article begins with a brief review of random matrix theory, followed by a discussion of how the large-$N$ limit of random matrix models can be realized using operator algebras. I then explain the notion of "Brown measure," which play…
It is shown that in systems with time-dependent and/or spatially nonuniform temperature $T(t,x)$, (i) most of the transport processes is weakly non-ergodic, and (ii) the diffusion (Brownian motion, BM) is anomalous. A few examples of simple…
We give an algorithm to construct a translation-invariant transport kernel between ergodic stationary random measures $\Phi$ and $\Psi$ on $\mathbb R^d$, given that they have equal intensities. As a result, this yields a construction of a…
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…
Motivated by problems of statistical language modeling, we consider probability measures on infinite sequences over two countable alphabets of a different cardinality, such as letters and words. We introduce an invertible mapping between…
We consider a pair of probability measures $\mu,\nu$ on the unit circle such that $\Sigma_{\lambda}(\eta_{\nu}(z))=z/\eta_{\mu}(z)$. We prove that the same type of equation holds for any $t\geq 0$ when we replace $\nu$ by…
Let $B$ denote the range of the Brownian motion in $\mathbb{R}^{d}$ ($d\geq3$). For a deterministic Borel measure $\nu$ on $\mathbb{R}^{d}$ we wish to find a random measure $\mu$ such that the support of $\mu$ is contained in $B$ and it is…
We study the large time behavior of the optimal transportation cost towards the uniform distribution, for the occupation measure of a stationary Brownian motion on the flat torus in $d$ dimensions, where the cost of transporting a unit of…
In this paper we investigate the argmin process of Brownian motion $B$ defined by $\alpha_t:=\sup\left\{s \in [0,1]: B_{t+s}=\min_{u \in [0,1]}B_{t+u} \right\}$ for $t \geq 0$. The argmin process $\alpha$ is stationary,with invariant…
Consider a sequence of n bi-infinite and stationary Brownian queues in tandem. Assume that the arrival process entering in the first queue is a zero mean ergodic process. We prove that the departure process from the n-th queue converges in…
To study electronic transport through chaotic quantum dots, there are two main theoretical approachs. One involves substituting the quantum system with a random scattering matrix and performing appropriate ensemble averaging. The other…
The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a…
It is proved that generalized excursion measures can be constructed via time change of Ito's Brownian excursion measure. A tightness-like condition on strings is introduced to prove a convergence theorem of generalized excursion measures.…
We are interested in the quasi-stationarity of the time-inhomogeneous Markov process X t = B t (t + 1) $\kappa$ where (B t) t$\ge$0 is a one-dimensional Brownian motion and $\kappa$ $\in$ (0, $\infty$). We first show that the law of X t…
Let $\{B(t), t \geq 0\}$ be a standard Brownian motion in $\mathbb{R}$. Let $T$ be the first return time to 0 after hitting 1, and $\{L(T,x), x \in \mathbb{R}\}$ be the local time process at time $T$ and level $x$. The distribution of…
Deviations from Brownian motion leading to anomalous diffusion are found in transport dynamics from quantum physics to life sciences. The characterization of anomalous diffusion from the measurement of an individual trajectory is a…
Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process given the driving Brownian motion, both at an independent…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…
The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…