Related papers: Reflected Brownian motion on simple nested fractal…
There are many fields where the transition from diffusive to ballistic motion is important. Here we deal with relaxation processes in nmr in gases. Correlation functions for trajectory variables (position and velocity) valid across this…
We propose a new method for calculating reflection and transmission coefficients for an arbitrarily polarized electromagnetic plane wave incident on a one-dimensional dielectric medium of finite thickness and with dielectric permittivity…
Motivated by the study of the convex hull of the trajectory of a Brownian motion in the unit disk reflected orthogonally at its boundary, we study inhomogeneous fragmentation processes in which particles of mass $m \in (0,1)$ split at a…
In this paper we develop the spectral theory of the fractional Brownian motion (fBm) using the ideas of Krein's work on continuous analogous of orthogonal polynomials on the unit circle. We exhibit the functions which are orthogonal with…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…
We show that geodesic random walks on a complete Finsler manifold of bounded geometry converge to a diffusion process which is, up to a drift, the Brownian motion corresponding to a Riemannian metric.
Let $\{B_H(t):t\ge 0\}$ be a fractional Brownian motion with Hurst parameter $H\in(\frac{1}{2},1)$. For the storage process $Q_{B_H}(t)=\sup_{-\infty\le s\le t} \left(B_H(t)-B_H(s)-c(t-s)\right)$ we show that, for any $T(u)>0$ such that…
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…
For some discrete parameters $k\ge0$, multivariate (Dunkl-)Bessel processes on Weyl chambers $C$ associated with root systems appear as projections of Brownian motions without drift on Euclidean spaces $V$, and the associated transition…
We derive fractional Brownian motion and stochastic processes with multifractal properties using a framework of network of Gaussian conditional probabilities. This leads to the derivation of new representations of fractional Brownian…
In a recent experiment, the out-of-plane surface susceptibility of a single-layer two-dimensional atom crystal in the visible spectrum has been measured. This susceptibility gives a measurable contribution to the reflectivity of…
The scattering properties of quantum particles on fractal potentials at different stages of fractal growth are obtained by means of the transfer matrix method. This approach can be easily adopted for project assignments in introductory…
The Fokker-Planck equation provides complete statistical description of a particle undergoing random motion in a solvent. In the presence of Lorentz force due to an external magnetic field, the Fokker-Planck equation picks up a tensorial…
Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
We consider an optical diffraction grating in which the spatial distribution of open slits forms a fractal set. The Fraunhofer diffraction patterns through the fractal grating are obtained analytically for the simplest triad Cantor type and…
We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…
We establish an integral test describing the exact cut-off between recurrence and transience for normally reflected Brownian motion in certain unbounded domains in a class of warped product manifolds. Besides extending a previous result by…
Computer vision applications have heavily relied on the linear combination of Lambertian diffuse and microfacet specular reflection models for representing reflected radiance, which turns out to be physically incompatible and limited in…