Related papers: Snapping out Walsh's Brownian motion and related s…
By analyzing matrices involved, we prove that a snapping-out Brownian motion with large permeability coefficients is a good approximation of Walsh's spider process on the star-like graph $K_{1,k}$. Thus, the latter process can be seen as a…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
We elaborate on the theorem saying that as permeability coefficients of snapping-out Brownian motions tend to infinity in such a way that their ratio remains constant, these processes converge to a skew Brownian motion. In particular,…
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…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…
We define what we call an on/off Brownian snake. We use this to construct on/off super Brownian motion recently introduced to the literature by Blath and Jacobi and which is a measure-valued branching process with a dormant state and an…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
The stiff problem is concerned with a thermal conduction model with a singular barrier of zero volume. In this paper, we shall build the phase transitions for the stiff problems in one-dimensional space. It turns out that every phase…
This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motivates this survey. This article ends with…
This paper investigates the relationship between the geometric properties of a domain and the diffusion dynamics of Brownian motion, with a specific focus on the phenomenon of "trapping" in terms of the behavior of stochastic processes.
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…
We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed.…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this…
We study the occupation fluctuations of drifted Brownian motion in a closed interval, and show that they undergo a dynamical phase transition in the long-time limit without an additional low-noise limit. This phase transition is similar to…
This paper introduces a general and new formalism to model the turbulent wave-front phase using fractional Brownian motion processes. Moreover, it extends results to non-Kolmogorov turbulence. In particular, generalized expressions for the…
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its local time at zero reaches some exponential level, then…