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This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian…
The pair-distribution function, which provides information about correlations in a system of interacting particles, is one of the key objects of theoretical soft matter physics. In particular, it allows for microscopic insights into the…
A novel approach to account for hard-body interactions in (overdamped) Brownian dynamics simulations is proposed for systems with non-vanishing force fields. The scheme exploits the analytically known transition probability for a Brownian…
Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
Brownian motion near soft surfaces is a situation widely encountered in nanoscale and biological physics. However, a complete theoretical description is lacking to date. Here, we theoretically investigate the dynamics of a two-dimensional…
The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many time series are not stationary and the use of classical…
Estimating time-varying correlation matrices is challenging because existing methods may adapt slowly to structural changes, impose insufficient regularization, or produce diffuse posterior uncertainty. In moderate dimensions, an additional…
We consider the estimation of the drift and the level sets of the stationary distri- bution of a Brownian motion with drift, reflected in the boundary of a compact set $S\subset R^d$ , departing from the observation of a trajectory of this…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
In this article, results have been presented for the two-time correlation functions for a free and a harmonically confined Brownian particle in a simple shear flow. For a free Brownian particle, the motion along the direction of shear…
Based on Brownian dynamics simulations we study the collective behavior of a twodimensional system of repulsively interacting colloidal particles, where each particle is propelled by a repulsive feedback force with time delay $\tau$.…
The conditional expectation and conditional variance of Brownian motion is considered given the argmax, B(t|argmax), as well as those with additional information: B(t|close, argmax), B(t|max, argmax), B(t|close, max, argmax) where the close…
We propose a reduction scheme for a system constituted by two coupled harmonically-bound Brownian oscillators. We reduce the description by constructing a lower dimensional model which inherits some of the basic features of the original…
The same system can exhibit a completely different dynamical behavior when it evolves in equilibrium conditions or when it is driven out-of-equilibrium by, e.g., connecting some of its components to heat baths kept at different…
We introduce a new dynamic model with the capability of recognizing both activities that an individual is performing as well as where that ndividual is located. Our model is novel in that it utilizes a dynamic graphical model to jointly…
We present some new results on the dynamic regressor extension and mixing parameter estimators for linear regression models recently proposed in the literature. This technique has proven instrumental in the solution of several open problems…
Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics similar to Gaussian processes although they are not Gaussian.…
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility. We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel…
We investigate the nonequilibrium dynamics of spherical active Brownian particles in three spatial dimensions that interact via a pair potential. The investigation is based on a predictive local field theory that is derived by a rigorous…
Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial returns are crucial in portfolio management. In particular,…