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Functional limit theorems are presented for the rescaled occupation time fluctuations process of a critical finite variance branching particle system in $R^d$ with symmetric a-stable motion starting off from either a standard Poisson random…
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…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
Aging refers to the property of two-time correlation functions to decay very slowly on (at least) two time scales. This phenomenon has gained recent attention due to experimental observations of the history dependent relaxation behavior in…
Aiming to understand the distribution of fitness levels of individuals in a large population undergoing selection, we study the particle configurations of branching Brownian motion where each particle independently moves as Brownian motion…
A physical experiment comprises along the time trajectory a start, a time evolution (duration), and an end, which is the measurement. In non relativistic quantum mechanics the start of the experiment is defined by the wave function at time…
A major part of the many thermally driven processes in our natural environment as well as in engineering solutions of Carnot-type machinery is based on the second law of thermodynamics (or principle of entropy increase). An interesting link…
The migration of living cells obeys usually the Einstein law of Brownian motion. While the latter is due to the thermal motion of surrounding matter, the cells locomotion is generally associated to their vitality. In the present paper the…
We focus on the dynamics of a Brownian particle whose mass fluctuates. First we show that the behaviour is similar to that of a Brownian particle moving in a fluctuating medium, as studied by Beck [Phys. Rev. Lett. 87 (2001) 180601]. By…
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…
Consider a Langevin process, that is an integrated Brownian motion, constrained to stay on the nonnegative half-line by a partially elastic boundary at 0. If the elasticity coefficient of the boundary is greater than or equal to a critical…
We consider a system of $N$ non-crossing Brownian particles in one dimension. We find the exact rate function that describes the long-time large deviation statistics of their occupation fraction in a finite interval in space. Remarkably, we…
We consider one-dimensional directed trap models and suppose that the trapping times are heavy-tailed. We obtain the inverse of a stable subordinator as scaling limit and prove an aging phenomenon expressed in terms of the generalized…
We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
In the present paper we discuss how to generalize ``Quantum-Classical Correspondence'' by means of the notion of interacting Fock spaces, which associates algebraic probability theory and the theory of orthogonal polynomials of probability…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
In this paper we study the rate of convergence of the iterates of \iid random piecewise constant monotone maps to the time-$1$ transport map for the process of coalescing Brownian motions. We prove that the rate of convergence is given by a…
We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…
We identify the limit of the internal DLA cluster generated by Sinai's walk as the law of a functional of a Brownian motion which turns out to be a new interpretation of the Arcsine law.