Related papers: Malliavin Calculus for Non-colliding Particle Syst…
Non-colliding Brownian particles in one dimension is studied. $N$ Brownian particles start from the origin at time 0 and then they do not collide with each other until finite time $T$. We derive the determinantal expressions for the…
We provide a rigorous derivation of the brownian motion as the limit of a deterministic system of hard-spheres as the number of particles $N$ goes to infinity and their diameter $\varepsilon$ simultaneously goes to $0$, in the fast…
On any denumerable product of probability spaces, we extend the discrete Malliavin structure for conditionally independent random variables. As a consequence, we obtain the chaos decomposition for functionals of conditionally independent…
We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
By using the Malliavin calculus and finite-jump approximations, the Driver-type integration by parts formula is established for the semigroup associated to stochastic differential equations with noises containing a subordinate Brownian…
Elastic confinements are an important component of many biological systems and dictate the transport properties of suspended particles under flow. In this chapter, we review the Brownian motion of a particle moving in the vicinity of a…
We derive diffusive macroscopic equations for the particle and energy density of a system whose time evolution is described by a kinetic equation for the one particle position and velocity function f(r,v,t) that consists of a part that…
The problem of mass diffusion in layered systems has relevance to applications in different scientific disciplines, e.g., chemistry, material science, soil science, and biomedical engineering. The mathematical challenge in these type of…
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
We establish regularity and, under suitable assumptions, convergence to stationary states for weak solutions of a parabolic equation with a non-linear non-local drift term; this equation was derived from a model of active Brownian particles…
We introduce a new framework based on Malliavin calculus to derive exact analytical expressions for the score function $\nabla \log p_t(x)$, i.e., the gradient of the log-density associated with the solution to stochastic differential…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…
We investigate the classical Brownian motion of a particle in a two-dimensional noncommutative (NC) space. Using the standard NC algebra embodied by the sympletic Weyl-Moyal formalism we find that noncommutativity induces a non-vanishing…
In this paper we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart…
We develop a unifying theory for four different objects: (1) infinite systems of interacting massive particles; (2) solutions to the Dean-Kawasaki equation with singular drift and space-time white noise; (3) Wasserstein diffusions with a.s.…
We present an exact solution for one-dimensional overdamped dynamics near a hard wall, allowing us to connect steady-state distributions under confinement with the extreme value statistics of unconfined stochastic processes. This mapping…
We describe a test particle approach based on dynamical density functional theory (DDFT) for studying the correlated time evolution of the particles that constitute a fluid. Our theory provides a means of calculating the van Hove…
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit representations. To address this limitation, we focus on a subclass…
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…
Stochastic models of varying complexity have been proposed to describe the dispersion of particles in turbulent flows, from simple Brownian motion to complex temporally and spatially correlated models. A method is needed to compare…