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We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of…
We prove the Large Deviation Principle for the empirical process in a system of locally interacting Brownian motions in the nonequilibrium dynamic. Such a phenomenon has been proven only for two lattice systems: the symmetric simple…
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…
In this work, we present a detailed procedure of computer implementation of the laws of refraction and reflection on an arbitrary surface with rotational symmetry with respect to the propagation axis. The goal is to facilitate the…
We describe a simple geometrical derivation of the formula for reflection of light from a uniformly moving plane mirror directly from the postulates of special relativity.
A microscopic theory of molecular motion in classical monatomic liquids, proposed by Glass and Rice [Phy. Rev. 176, 239 (1968)], is revisited and extended to incorporate the dynamic friction in the Brownian description of the atomic…
We study the Brownian motion of a charged test particle coupled to electromagnetic vacuum fluctuations near a perfectly reflecting plane boundary. The presence of the boundary modifies the quantum fluctuations of the electric field, which…
Recent advances in twistor theory are applied to geometric optics in ${\Bbb{R}}^3$. The general formulae for reflection of a wavefront in a surface are derived and in three special cases explicit descriptions are provided: when the…
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,…
The conformal invariance of Brownian motion is used to give a short proof of the Open Mapping Theorem for analytic functions.
This paper studies Brownian motion subject to the occurrence of a minimal length excursion below a given excursion level. The law of this process is determined. The characterization is explicit and shows by a layer construction how the law…
We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration…
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 give a geometric description of the motion of eigenvalues of a Brownian motion with values in some matrix spaces. In the second part we consider a paper by Polya where he introduced a function close to the Riemann zeta function, which…
We study a family of essentially pairwise independent Brownian motions indexed by a continuum of labels and show how the Fubini extension framework provides a rigorous way to represent such families as a single jointly measurable process.…
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
We develop a general framework for response theory in diffusion processes governed by Fokker-Planck equations, based on the notion of the Dissipation Function. Using the analytically solvable Brownian oscillator model, we derive exact…
We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.
A semi-martingale reflecting Brownian motion is a popular process for diffusion approximations of queueing models including their networks. In this paper, we are concerned with the case that it lives on the nonnegative half-line, but the…
In this work we connect the theory of Dirichlet forms and direct stochastic calculus to obtain strong existence and pathwise uniqueness for Brownian motion that is perturbed by a series of constant multiples of local times at a sequence of…