Related papers: Sticky Brownian Motion and its Numerical Solution
The standard diffusive spreading, characterized by a Gaussian distribution with mean square displacement that grows linearly with time, can break down, for instance, under the presence of correlations and heterogeneity. In this work, we…
In this paper, we study elastic Brownian motion on a \(C^2\) domain. Instead of being killed at the boundary, the process restarts from a random position inside the domain. We characterize this process through its stochastic differential…
Understanding the spread of infectious diseases requires integrating movement, physical constraints, and spatial configurations into epidemiological models. In this study, we investigate how particle diffusivity, hardcore interactions, and…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
We investigate the mean first passage time of an active Brownian particle in one dimension using numerical simulations. The activity in one dimension is modeled as a two state model; the particle moves with a constant propulsion strength…
Over a century ago, Einstein formulated a precise mathematical model for describing Brownian motion. While this model adequately explains the diffusion of micron-sized particles in fluids, its limitations become apparent when applied to…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…
The first of $N$ identical independently distributed (i.i.d.) Brownian trajectories that arrives to a small target, sets the time scale of activation, which in general is much faster than the arrival to the target of only a single…
Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serves as a model for diffusion in a crack. If \tau is the first…
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The…
We investigate the Brownian diffusion of particles in one spatial dimension and in the presence of finite regions within which particles can either evaporate or be reset to a given location. For open boundary conditions, we highlight the…
The stationary radial distribution, $P(\rho)$, of the random walk with the diffusion coefficient $D$, which winds with the tangential velocity $V$ around the impenetrable disc of radius $R$ for $R\gg 1$ converges to the distribution…
In recent years, several experiments highlighted a new type of diffusion anomaly, which was called Brownian yet non-Gaussian diffusion. In systems displaying this behavior, the mean squared displacement of the diffusing particles grows…
We present an exact solution for one-dimensional overdamped dynamics near a hard wall, allowing us to connect steady-state distributions under confinement with the extreme value statistics of unconfined stochastic processes. This mapping…
Inspired by the collective phenomenon of territorial emergence, whereby animals move and interact through the scent marks they deposit, we study the dynamics of a 1D Brownian walker in a random environment consisting of confining boundaries…
We investigate the transience/recurrence of a non-Markovian, one-dimensional diffusion process which consists of a Brownian motion with a non-anticipating drift that has two phases---a transient to $+\infty$ mode which is activated when the…
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the…
Active Brownian Particles are self-propelled particles that move in a dissipative medium subject to random forces, or noise . Additionally, they can be confined by an external field and/or they can interact with one another. The external…