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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…
We study the asymptotic behavior of a self-interacting one-dimensional Brownian polymer first introduced by Durrett and Rogers [Probab. Theory Related Fields 92 (1992) 337--349]. The polymer describes a stochastic process with a drift which…
We analyze a specific role of probability density gradients in the theory of irreversible transport processes. The classic Fisher information and information entropy production concepts are found to be intrinsically entangled with the very…
We presented a methodology to approximate the entropy production for Brownian motion in a tilted periodic potential. The approximation stems from the well known thermodynamic uncertainty relation. By applying a virial-like expansion, we…
Strong embeddings, that is, couplings between a partial sum process of a sequence of random variables and a Brownian motion, have found numerous applications in probability and statistics. We extend Chatterjee's novel use of Stein's method…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
The Arcsine laws of Brownian motion are a collection of results describing three different statistical quantities of one-dimensional Brownian motion: the time at which the process reaches its maximum position, the total time the process…
We study the large population limit of the Moran process, assuming weak-selection, and for different scalings. Depending on the particular choice of scalings, we obtain a continuous model that may highlight the genetic-drift (neutral…
Matrix Dirichlet processes, in reference to their reversible measure, appear in a natural way in many different models in probability. Applying the language of diffusion operators and the method of boundary equations, we describe Dirichlet…
We provide a detailed derivation of a recently developed first-principles approach to calculating averages in systems of interacting, spherical Brownian particles under time-dependent flow. Although we restrict ourselves to flows which are…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…
Given a sequence of resistance forms that converges with respect to the Gromov-Hausdorff-vague topology and satisfies a uniform volume doubling condition, we show the convergence of corresponding Brownian motions and local times. As a…
A set of interacting vortices in $2D$ in the presence of a substrate with square symmetry and at filling ratio $1$ can display a low temperature solid phase where only one of the reciprocal lattice vectors of the substrate is…
This paper provides a multivariate extension of Bertoin's pathwise construction of a L\'evy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original…
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…
We study the dynamics of solutions of infinitely thin needles up to densities deep in the semidilute regime by Brownian dynamics simulations. For high densities, these solutions become strongly entangled and the motion of a needle is…
Nonintersecting Brownian bridges on the unit circle form a determinantal stochastic process exhibiting random matrix statistics for large numbers of walkers. We investigate the effect of adding a drift term to walkers on the circle…
We propose a metric space of coalescing pairs of paths on which we are able to prove (more or less) directly convergence of objects such as the persistence probability in the (one dimensional, nearest neighbor, symmetric) voter model or the…
Peskin's Immersed Boundary (IB) model and method are among one of the most important modeling tools and numerical methods. The IB method has been known to be first order accurate in the velocity. However, almost no rigorous theoretical…
We prove that the weak version of the SPDE problem \begin{align*} dV_{t}(x) & = [-\mu V_{t}'(x) + \frac{1}{2} (\sigma_{M}^{2} + \sigma_{I}^{2})V_{t}"(x)]dt - \sigma_{M} V_{t}'(x)dW^{M}_{t}, \quad x > 0, \\ V_{t}(0) &= 0 \end{align*} with a…