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An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…

Pricing of Securities · Quantitative Finance 2015-07-09 Gurjeet Dhesi , Muhammad Bilal Shakeel , Ling Xiao

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…

Statistical Mechanics · Physics 2018-02-21 Alexander H. O. Wada , Thomas Vojta

We study many interacting Brownian particles under a tilted periodic potential. We numerically measure the linear response coefficient of the density field by applying a slowly varying potential transversal to the tilted direction. In…

Statistical Mechanics · Physics 2009-03-02 Takenobu Nakamura , Shin-ichi Sasa

In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…

Probability · Mathematics 2016-07-25 Johanna Garzón , Jorge A. León , Soledad Torres

This article analyzes the behavior of a Brownian fluctuation process under a mixed strategic game setup. A variant of a compound Brownian motion has been newly proposed, which is called the Shifted Brownian Fluctuation Process to predict…

Probability · Mathematics 2022-05-23 Song-Kyoo Kim

Protein translocation in cells has been modelled by \emph{Brownian ratchets}. In such models, the protein diffuses through a nanopore. On one side of the pore, ratcheting molecules bind to the protein and hinder it to diffuse out of the…

Probability · Mathematics 2009-12-07 Andrej Depperschmidt , Peter Pfaffelhuber

The Brownian motion of a particle in a harmonic potential, which is simultaneously exposed either to a linear shear flow or to a plane Poiseuille flow is investigated. In the shear plane of both flows the probability distribution of the…

Fluid Dynamics · Physics 2010-04-22 Lukas Holzer , Jochen Bammert , Roland Rzehak , Walter Zimmermann

The energetic efficiency of an overdamped Brownian particle in a saw tooth potential in the presence of time asymmetric forcing is studied in the adiabatic limit. An error made in the earlier work on the same problem in literature is…

Statistical Mechanics · Physics 2007-05-23 Raishma Krishnan , Soumen Roy , A. M. Jayannavar

The transport of interacting Brownian particles in a periodic asymmetric (ratchet) substrate is studied numerically. In a zero-temperature regime, the system behaves as a reversible step motor, undergoing multiple sign reversals of the…

Statistical Mechanics · Physics 2008-12-31 Rogério M. da Silva , Clécio C. de Souza Silva , Sérgio Coutinho

We consider a massive inelastic piston, whose opposite faces have different coefficients of restitution, moving under the action of an infinitely dilute gas of hard disks maintained at a fixed temperature. The dynamics of the piston is…

Statistical Mechanics · Physics 2008-06-06 G. Costantini , U. Marini Bettolo Marconi , A. Puglisi

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…

Statistical Mechanics · Physics 2009-11-10 I. M. Sokolov , J. Klafter

We investigate the stochastic dynamics of one sedimenting active Brownian particle in three dimensions under the influence of gravity and passive fluctuations in the translational and rotational motion. We present an analytical solution of…

Soft Condensed Matter · Physics 2018-08-24 Jérémy Vachier , Marco G. Mazza

Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…

Statistical Mechanics · Physics 2025-03-10 Michał Balcerek , Adrian Pacheco-Pozo , Agnieszka Wyłomanska , Krzysztof Burnecki , Diego Krapf

We present a generic formalism to describe Brownian motion of particles with intrinsic asymmetry and give predictions for the drift behavior in unbiased time-dependent force fields. Our findings are supported by molecular dynamics…

Statistical Mechanics · Physics 2011-04-01 M. van den Broek , R. Eichhorn , C. Van den Broeck

We consider a model of Branching Brownian Motion in which the usual spatially-homogeneous and catalytic branching at a single point are simultaneously present. We establish the almost sure growth rates of population in certain…

Probability · Mathematics 2018-03-29 Sergey Bocharov , Li Wang

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…

Probability · Mathematics 2025-04-08 Zaniar Ahmadi , Xiaowen Zhou

We consider a primary model of ac-driven Brownian motors, i.e., a classical particle placed in a spatial-time periodic potential and coupled to a heat bath. The effects of fluctuations and dissipations are studied by a time-dependent…

Statistical Mechanics · Physics 2009-07-01 S. Denisov , P. Hanggi , J. L. Mateos

We study the transport properties for a walker on a ratchet potential. The walker consists of two particles coupled by a bistable potential that allow the interchange of the order of the particles while moving through a one-dimensional…

Adaptation and Self-Organizing Systems · Physics 2012-01-24 José L. Mateos , Fernando R. Alatriste

Brownian motion is the erratic motion of an object due to collisions with the fluid in which it is immersed. In this work, we detail a tabletop laboratory demonstration of underdamped Brownian motion wherein a macroscopic particle resting…

Physics Education · Physics 2025-12-19 Jack-William Barotta , Caroline M. Barotta , Eli Silver , Daniel M. Harris

Motivated by a biased diffusion of molecular motors with the bias dependent on the state of the substrate, we investigate a random walk on a one-dimensional lattice that contains weak links (called "bridges'') which are affected by the…

Statistical Mechanics · Physics 2007-05-23 T. Antal , P. L. Krapivsky