Related papers: A free boundary problem arising from branching Bro…
This note is devoted to continuity results of the time derivative of the solution to the one-dimensional parabolic obstacle problem with variable coefficients. It applies to the smooth fit principle in numerical analysis and in financial…
This is part II of our study on the free boundary problems with nonlocal and local diffusions. In part I, we obtained the existence, uniqueness, regularity and estimates of global solution. In part II here, we show a spreading-vanishing…
We present an interesting connection between Brownian motion and magnetism. We use this to determine the distribution of areas enclosed by the path of a particle diffusing on a sphere. In addition, we find a bound on the free energy of an…
We consider the behaviour of branching-selection particle systems in the large population limit. The dynamics of these systems is the combination of the following three components: (a) Motion: particles move on the real line according to a…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…
We study the interior Bernoulli free boundary problem for the infinity Laplacian. Our results cover existence, uniqueness, and characterization of solutions (above a threshold representing the "infinity Bernoulli constant"), their…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
The fully coupled dynamic interaction problem of the free surface of an incompressible fluid and a rigid body beneath it, in an inviscid, irrotational framework and in the absence of surface tension, is considered. Evolution equations of…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
In this paper we establish the exact growth of the solution of the singular quasilinear p-parabolic obstacle problem near the free boundary from which we deduce its porosity.
We establish the scaling limit of a class of boundary random walks to the full spectrum of Brownian-type processes on the half-line. By solving the associated martingale problem and employing weak convergence techniques, we prove that under…
We prove the hydrodynamic limit for a particle system in which particles may have different velocities. We assume that we have two infinite reservoirs of particles at the boundary: this is the so-called boundary driven process. The dynamics…
We consider an interacting particle system in the interval $[1,N]$ with reservoirs at the boundaries. While the dynamics in the channel is the simple symmetric exclusion process, the reservoirs are also particle systems which interact with…
The transition from a microscopic model for the movement of many particles to a macroscopic continuum model for a density flow is studied. The microscopic model for the free flow is completely deterministic, described by an interaction…
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all the particles. If this local time drift is too strong, such…
The dynamical boundary value problem for viscoelastic half-space with cut in the form of a strip is considered. The problem is reduced to the singular integral equation of first kind. Using the method of orthogonal polynomials, the integral…
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…