Related papers: Snapping out Walsh's Brownian motion and related s…
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 consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999)…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
We investigate piecewise-linear stochastic models as with regards to the probability distribution of functionals of the stochastic processes, a question which occurs frequently in large deviation theory. The functionals that we are looking…
We map the problem of diffusion in the quenched trap model onto a new stochastic process: Brownian motion which is terminated at the coverage "time" ${\cal S}_\alpha=\sum_{x=-\infty} ^\infty (n_x)^\alpha$ with $n_x$ being the number of…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
We present a new proof of the extended arc-sine law related to Walsh's Brownian motion, known also as Brownian spider. The main argument mimics the scaling property used previously, in particular by D. Williams in the 1-dimensional Brownian…
We consider a model of branching Brownian motion with self repulsion. Self-repulsion is introduced via change of measure that penalises particles spending time in an $\e$-neighbourhood of each other. We derive a simplified version of the…
In this article we explore the phenomena of nonequilibrium stochastic process starting from the phenomenological Brownian motion. The essential points are described in terms of Einstein's theory of Brownian motion and then the theory…
In the 1950s, W. Feller characterized the most general Brownian motion on the closed half-line. He showed that any such process is a mixture of reflected, sticky, and killed Brownian motions. By most general Brownian motion, we mean a…
We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provide necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem…
Following our previous work on `perpendicular' boundary conditions, we show that transmission conditions \[ f'(0-)=\alpha(f(0+)-f(0-)), \quad f'(0+)=\beta(f(0+)-f(0-)),\] describing so-called snapping out Brownian motions on the real line,…
Fractional Brownian motion is a Gaussian stochastic process with long-range correlations in time; it has been shown to be a useful model of anomalous diffusion. Here, we investigate the effects of mutual interactions in an ensemble of…
We briefly go through the problem of the quantum description of Brownian motion, concentrating on recent results about the connection between dynamics of the particle and dynamic structure factor of the medium.
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
Brownian motion on a smash line algebra (a smash or braided version of the algebra resulting by tensoring the real line and the generalized paragrassmann line algebras), is constructed by means of its Hopf algebraic structure. Further,…
We consider a Brownian motion forced to stay in the quadrant by an electrostatic oblique repulsion from the sides. We tackle the question of hitting the corner or an edge, and find product-form stationary measures under a certain condition,…
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…
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh…
Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H…