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Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The problem is to detect the disorder time as quickly as possible after…
Stochastic motion of particles in a highly unstable potential generates a number of diverging trajectories leading to undefined statistical moments of the particle position. This makes experiments challenging and breaks down a standard…
We study the large-time behaviour of Brownian particles moving through a viscous medium in a confined potential, and which are further subjected to position-dependent driving forces that are periodic in time. We focus on the case where…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
Starting with a Brownian motion, we define and study a novel diffusion process by combining stickiness and oscillation properties. The associated stochastic differential equation, resolvent and semigroup are provided. Also the trivariate…
For $0<\alpha \leq 2$ and $0<H<1$, an $\alpha$-time fractional Brownian motion is an iterated process $Z = \{Z(t)=W(Y(t)), t \ge 0\}$ obtained by taking a fractional Brownian motion $\{W(t), t\in \RR{R} \}$ with Hurst index $0<H<1$ and…
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with…
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…
Simultaneous diffusive and inertial motion of Brownian particles in laminar Couette flow is investigated via Lagrangian and Eulerian descriptions to determine the effect of particle inertia on diffusive transport in the long-time. The…
Upon almost-every realisation of the Brownian continuum random tree (CRT), it is possible to define a canonical diffusion process or `Brownian motion'. The main result of this article establishes that the cover time of the Brownian motion…
We study two Brownian particles in dimension $d=1$, diffusing under an interacting resetting mechanism to a fixed position. The particles are subject to a constant drift, which biases the Brownian particles toward each other. We derive the…
We study a branching Brownian motion $Z$ in $\mathbb{R}^d$, among obstacles scattered according to a Poisson random measure with a radially decaying intensity. Obstacles are balls with constant radius and each one works as a trap for the…
Uncertain changes in data streams present challenges for machine learning models to dynamically adapt and uphold performance in real-time. Particularly, classification boundary change, also known as real concept drift, is the major cause of…
The ability to detect and adapt to changes in data distributions is crucial to maintain the accuracy and reliability of machine learning models. Detection is generally approached by observing the drift of model performance from a global…
Consider a finite system of competing Brownian particles on the real line. Each particle moves as a Brownian motion, with drift and diffusion coefficients depending only on its current rank relative to the other particles. We find a…
Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=\rho\,{\rm sgn}(x)|x|^\alpha/t^\beta$. This process can be viewed as a distorted Brownian…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we…
We study the Brownian motion of a charged test particle driven by quantum electromagnetic fluctuations in the vacuum region near a non-dispersive and non-absorbing dielectric half-space and calculate the mean squared fluctuations in the…
We consider the problem of detecting abrupt changes (i.e., large jump discontinuities) in the rate function of a point process. The rate function is assumed to be fully unknown, non-stationary, and may itself be a random process that…