Related papers: Weak-consistent dynamic correlation estimators for…
We provide a deep connection between elastic drifted Brownian motions and inverses to tempered subordinators. Based on this connection, we establish a link between multiplicative functionals and dynamical boundary conditions given in terms…
When two populations of "particles" move in opposite directions, like oppositely charged colloids under an electric field or intersecting flows of pedestrians, they can move collectively, forming lanes along their direction of motion. The…
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of completely correlated fractional Brownian motions. We…
We derive a dynamic Ornstein-Zernike equation for classical fluids undergoing overdamped Brownian motion and driven out of equilibrium. Inhomogeneous two-time correlation functions are obtained from functional differentiation of the…
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
A dynamical pair breaking effect is evidenced at very low excitation energies. For this purpose, a new set of time-dependent coupled channel equations for pair-breaking in superfluid systems are deduced from the variational principle. These…
We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having a certain density. This density is constructed using the…
We study dynamic two-body correlation functions, i.e. the two-body density, the current-density correlator or van Hove current, and the current-current correlator in Brownian dynamics computer simulations of a dense Lennard-Jones bulk…
Dynamical instrument limitations, such as finite detection bandwidth, do not simply add statistical errors to fluctuation measurements, but can create significant systematic biases that affect the measurement of steady-state properties.…
Estimation of quantiles is one of the most fundamental real-time analysis tasks. Most real-time data streams vary dynamically with time and incremental quantile estimators document state-of-the art performance to track quantiles of such…
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…
Time domain interferometry is a promising method to characterizes spatial and temporal correlations at x-ray energies, via the so-called intermediate scattering function and the related dynamical couple correlations. However, so far, it has…
The standard kinetic path integral for all spatially closed Brownian paths (loops) of duration t weighted by the product mn is evaluated, where m and n are the linking numbers of the Brownian loop with two arbitrary curves in 3D space. The…
We use computer simulations to test a simple idea for mapping between long-time self diffusivities obtained from molecular and Brownian dynamics. The strategy we explore is motivated by the behavior of fluids comprising particles that…
We define a time dependent empirical process based on $n$ i.i.d.~fractional Brownian motions and establish Gaussian couplings and strong approximations to it by Gaussian processes. They lead to functional laws of the iterated logarithm for…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…
We exhibit some explicit co-adapted couplings for n-dimensional Brownian motion and all its Levy stochastic areas. In the two-dimensional case we show how to derive exact asymptotics for the coupling time under various mixed coupling…
We consider the problem of efficient statistical inference for comparing two regression curves estimated from two samples of dependent measurements. Based on a representation of the best pair of linear unbiased estimators in continuous time…
The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate…
Multibody dynamics simulators are an important tool in many fields, including learning and control for robotics. However, many existing dynamics simulators suffer from inaccuracies when dealing with constrained mechanical systems due to…