Related papers: Random continuum and Brownian motion
We address the theory of records for integrated random walks with finite variance. The long-time continuum limit of these walks is a non-Markov process known as the random acceleration process or the integral of Brownian motion. In this…
We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…
We describe in detail the history of Brownian motion, as well as the contributions of Einstein, Sutherland, Smoluchowski, Bachelier, Perrin and Langevin to its theory. The always topical importance in physics of the theory of Brownian…
In this paper, we introduce a model of Brownian polymer in a continuous random environment. The asymptotic behavior of the partition function associated to this polymer measure is studied, and we are able to separate a weak and strong…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
The (standard) Brownian web is a collection of coalescing one- dimensional Brownian motions, starting from each point in space and time. It arises as the diffusive scaling limit of a collection of coalescing random walks. We show that it is…
Motivated by critical planar percolation, we investigate a ``backbone'' event of planar Brownian motion, i.e.~the existence of two disjoint subpaths on the Brownian trajectory connecting the $\varepsilon$-neighborhood of the starting point…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
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…
In this paper we prove an analogue of the Koml\'os-Major-Tusn\'ady (KMT) embedding theorem for random walk bridges. The random bridges we consider are constructed through random walks with i.i.d jumps that are conditioned on the locations…
We derive a quenched invariance principle for random walks in random environments whose transition probabilities are defined in terms of weighted cycles of bounded length. To this end, we adapt the proof for random walks among random…
Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…
The motion of weakly inertial Brownian particles, transported by steady two-dimensional fluid flows, is investigated by means of asymptotic methods. We focus on the phenomenon of noise-induced separatrix crossing, which can force particles…
We consider non-colliding Brownian motions with two starting points and two endpoints. The points are chosen so that the two groups of Brownian motions just touch each other, a situation that is referred to as a tacnode. The extended kernel…
The kinetic Brownian motion on the cosphere bundle of a Riemannian manifold $\mathbb{M}$ is a stochastic process that models the geodesic equation perturbed by a random white force of size $\varepsilon$. When $\mathbb{M}$ is compact with…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is…
We consider an infinite system of Brownian motions which interact through a given Brownian motion being reflected from its left neighbor. Earlier we studied this system for deterministic periodic initial configurations. In this contribution…