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We consider different types of processes obtained by composing Brownian motion $B(t)$, fractional Brownian motion $B_{H}(t)$ and Cauchy processes $% C(t)$ in different manners. We study also multidimensional iterated processes in…
We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…
We revisit the description provided by Ph. Biane of the spectral measure of the free unitary Brownian motion. We actually construct for any $t \in (0,4)$ a Jordan curve $\gamma_t$ around the origin, not intersecting the semi-axis…
This paper is concerned with Random walk approximations of the Brownian motion on the Affine group Aff(R). We are in particular interested in the case where the innovations are discrete. In this framework, the return probability of the walk…
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the…
The Brownian motion $(U^N_t)_{t\ge 0}$ on the unitary group converges, as a process, to the free unitary Brownian motion $(u_t)_{t\ge 0}$ as $N\to\infty$. In this paper, we prove that it converges strongly as a process: not only in…
We obtain a formula for the density of the winding number of planar Brownian motion around the origin, and deduce from it asymptotic expansions in inverse powers of the logarithm of the squared time, explicit in the angular variable. In…
This paper is the sequel to another with the same name (Buttigieg et al., Comput. Methods Funct. Theory, 2023), and is concerned with results of the same type. We deduce a result on the moments of the exit time of Brownian motion from…
A number of recent new proofs of Euler's celebrated identity are presented, all of which are probabilistic in nature and depend on the conformal invariance of planar Brownian motion.
Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…
Active Brownian motion commonly assumes spherical overdamped particles. However, self-propelled particles are often neither symmetric nor overdamped yet underlie random fluctuations from their surroundings. Active Brownian motion has…
For a large class of quickly mixing dynamical systems, we prove that the error in the almost sure approximation with a Brownian motion is of order O((log n)^a) with a $\ge$ 2. Specifically, we consider nonuniformly expanding maps with…
An analysis is presented of a Brownian particle moving on the half-line, subject to a restoring force proportional to its displacement and an absorbing boundary at the origin. When the initial displacement is large, the central moments of…
We introduce particle systems in one or more dimensions in which particles perform branching Brownian motion and the population size is kept constant equal to $N > 1$, through the following selection mechanism: at all times only the $N$…
The Brownian web (BW) is a collection of coalescing Brownian paths indexed by the plane. It appears in particular as continuous limit of various discrete models of directed forests of coalescing random walks and navigation schemes. Radial…
For every bounded planar domain $D$ with a smooth boundary, we define a `Lyapunov exponent' $\Lambda(D)$ using a fairly explicit formula. We consider two reflected Brownian motions in $D$, driven by the same Brownian motion (i.e., a…
We study interacting Brownian particles on the half-line whose interaction occurs through boundary local times at the origin. The particle system is given by \[ X_i^n(t)=X^n_{0,i}+W_i^n(t)+L_i^n(t) +\frac{1}{n-1}\sum_{j\ne…
We study the one-dimensional ballistic aggregation process in the continuum limit for one-sided Brownian initial velocity (i.e. particles merge when they collide and move freely between collisions, and in the continuum limit the initial…
We compute the Brown measure of $x_{0}+i\sigma_{t}$, where $\sigma_{t}$ is a free semicircular Brownian motion and $x_{0}$ is a freely independent self-adjoint element that is not a multiple of the identity. The Brown measure is supported…
We study the diffusion of Brownian particles on the surface of a sphere and compute the distribution of solid angles enclosed by the diffusing particles. This function describes the distribution of geometric phases in two state quantum…