Related papers: Quantitative inequalities for the expected lifetim…
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…
Known results show that the diameter $d_1$ of the trace of planar Brownian motion run for unit time satisfies $1.595 \leq \mathbb{E} d_1 \leq 2.507$. This note improves these bounds to $1.601 \leq \mathbb{E} d_1 \leq 2.355$. Simulations…
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in…
We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…
Measurements of protein motion in living cells and membranes consistently report transient anomalous diffusion (subdiffusion) which converges back to a Brownian motion with reduced diffusion coefficient at long times, after the anomalous…
We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…
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…
Based on recent work [L. Machura, M. Kostur, P. Talkner, J. Luczka, and P. Hanggi, Phys. Rev. Lett. 98, 040601 (2007)], we extend the study of inertial Brownian motors to the case of an asymmetric potential. It is found that some transport…
An integral inequality due to Ball involves the $L_{q}$ norm of the $\sinc_p$ function; the dependence of this norm on $q$ as $q\rightarrow\infty$ is now understood. By use of recent inequalities involving $p-$trigonometric functions…
It is known that the Brownian bridge or L\'evy-Ciesielski construction of Brownian paths almost surely converges uniformly to the true Brownian path. In the present article the focus is on the uniform error. In particular, we show…
Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
In the present work, we obtain the constants of motion for isoperimetric variational problems with time delay. We consider a constrained optimization problem where the Lagrangian function defining the functional depends on time delayed…
We show that a Brownian motion on $\mathbb{R}_{\ge 0}$ which is allowed to spend a total of $s > 0$ time units outside a bounded interval does not leave the interval at all. This can be seen as an extreme example of entropic repulsion.…
Carbery (2006) proposed novel estimates for the $L^p$ norm of a sum of two nonnegative measurable functions. Subsequently, Carlen, Frank, Ivanisvili and Lieb (2018) provided stronger bounds, which Ivanisvili and Mooney (2020) further…
In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…
We describe the solutions to the problem of identifying the continuum in the complex plane that minimizes the logarithmic capacity among all the continuum that contain a prefixed finite set of points. This description can be implemented…
We condition a Brownian motion on having an atypically small $L_2$-norm on a long time interval. The obtained limiting process is a non-stationary Ornstein-Uhlenbeck process.
We consider a Brownian particle performing an overdamped motion in a power-law repulsive potential. If the potential grows with the distance faster than quadratically, the particle escapes to infinity in a finite time. We determine the…
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Levy process until the passage time of a given level. Their marginal distributions up to an independent exponential time are also…