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We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…
The phenomenon of Brownian motion and Einstein's contribution to its understanding are introduced in a simple language.
We prove the existence and uniqueness of a strong solution of a stochastic differential equation with normal reflection representing the random motion of finitely many globules. Each globule is a sphere with time-dependent random radius and…
At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation…
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 =…
Diffusion processes $(\underline{\bf X}_d(t))_{t\geq 0}$ moving inside spheres $S_R^d \subset\mathbb{R}^d$ and reflecting orthogonally on their surfaces $\partial S_R^d$ are considered. The stochastic differential equations governing the…
The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…
In this paper, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equation driven by G-Brownian motion satisfying the obstacle constraint with monotone coefficients.
In this note we give a wellfoundedness proof of a computable notation system for first-order reflection.
The Brownian motion of a test particle interacting with a quantum scalar field in the presence of a perfectly reflecting boundary is studied in (1 + 1)-dimensional flat spacetime. Particularly, the expressions for dispersions in velocity…
We developed a formula for the law of reflection of a plane-polarized light beam from an inclined flat mirror in uniform rectilinear motion by a direct application of the Huygens-Fresnel principle. Applying the obtained formula and the…
Consider an multidimensional obliquely reflected Brownian motion in the positive orthant, or, more generally, in a convex polyhedral cone. We find sufficient conditions for existence of a stationary distribution and convergence to this…
A uniform dimensional result for normally reflected Brownian motion (RBM) in a large class of non-smooth domains is established. Exact Hausdorff dimensions for the boundary occupation time and the boundary trace of RBM are given. Extensions…
In this paper we prove matching upper and lower bounds for the transition density function of the subordinate reflected Brownian motion on fractals.
In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The…
The trace of a Markov process is the time changed process of the original process on the support of the Revuz measure used in the time change. In this paper, we will concentrate on the reflecting Brownian motions on certain closed strips.…
We derive a simple integral representation for the distribution of the maximum of Brownian motion minus a parabola, which can be used for computing the density and moments of the distribution, both for one-sided and two-sided Brownian…
In this paper, we study reflecting Brownian motion with Poissonian resetting. After providing a probabilistic description of the phenomenon using jump diffusions and semigroups, we analyze the time-reversed process starting from the…
The $n$th order fractional Brownian motion was introduced by Perrin et al. It is the (upto a multiplicative constant) unique self-similar Gaussian process with Hurst index $H \in (n-1,n)$, having $n$th order stationary increments. We…
The paper gives a new representation for the fractional Brownian motion that can be applied to simulate this self-similar random process in continuous time. Such a representation is based on the spectral form of mathematical description and…