Related papers: A guide to Brownian motion and related stochastic …
We derive the generalized Markovian description for the non-equilibrium Brownian motion of a heated particle in a simple solvent with a temperature-dependent viscosity. Our analytical results for the generalized fluctuation-dissipation and…
Energy absorption by driven chaotic systems, the theory of energy spreading and quantal Brownian motion are considered. In particular we discuss the theory of a classical particle that interacts with quantal chaotic degrees of freedom, and…
This is a pedagogical introduction to Brownian motion on the occasion of the 100th anniversary of Einstein's 1905 paper on the subject. After briefly reviewing Einstein's work in its contemporary context, we pursue some lines of further…
We present an interesting connection between Brownian motion and magnetism. We use this to determine the distribution of areas enclosed by the path of a particle diffusing on a sphere. In addition, we find a bound on the free energy of an…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
In this paper, we prove a mimicking theorem for stochastic processes with an additive Gaussian noise along with some entropy and transport type estimates. As an application of these results, we prove sharp quantitative propagation of chaos…
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and best ask, and get executed whenever this…
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to…
In this article, we consider slow-fast McKean-Vlasov stochastic differential equations driven by Brownian motions and fractional Brownian motions. We give a definition of the large deviation principle (LDP) on the product space related to…
This paper considers the orthogonal expansion of the fractional Brownian motion relative to the Legendre polynomials. Such an expansion has not only theoretical but also practical interest, since it can be applied to approximate and…
In this paper, we investigate a Brownian motion (BM) with purely time dependent drift and difusion by suggesting and examining several Brownian functionals which characterize the lifetime and reactivity of such stochastic processes. We…
A fully quantum treatment of Einstein's Brownian motion is given, showing in particular the role played by the two original requirements of translational invariance and connection between dynamics of the Brownian particle and atomic nature…
In this paper we show a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some…
Dynamics of quantum systems which are perturbed by linear coupling to the reservoir stochastically can be studied in terms of quantum stochastic differential equations (for example, quantum stochastic Liouville equation and quantum Langevin…
This book covers a wide range of problems involving the applications of stochastic processes, stochastic calculus, large deviation theory, group representation theory and quantum statistics to diverse fields in dynamical systems,…
In a simple model of a continuous random walk a particle moves in one dimension with the velocity fluctuating between V and -V. If V is associated with the thermal velocity of a Brownian particle and allowed to be position dependent, the…
This primer explains how continuous-time stochastic processes (precisely, Brownian motion and other Ito diffusions) can be defined and studied on manifolds. No knowledge is assumed of either differential geometry or continuous-time…
Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
In this article we present an intrinsec construction of foliated Brownian motion via stochastic calculus adapted to foliation. The stochastic approach together with a proposed foliated vector calculus provide a natural method to work on…