Related papers: Quickest Real-Time Detection of a Brownian Coordin…
Let $B=(B_t)_{t\geq 0}$ be a standard Brownian motion. The main objective is to find a uniform (in time) control of the modulus of continuity of $B$ in the spirit of what appears in (Kurtz, 1978). More precisely, it involves the control of…
We introduce a system of Brownian particles, each absorbed upon hitting an associated moving boundary. The boundaries are determined by the conditional probabilities of the particles being absorbed before some final time horizon, given the…
Brownian dynamics is a popular fine-grained method for simulating systems of interacting particles, such as chemical reactions. Though the method is simple to simulate, it is generally assumed that the dynamics is impossible to solve…
A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two methods. On one hand, we propose a locally linear estimator…
We consider a single Brownian particle in a spatially symmetric, periodic system far from thermal equilibrium. This setup can be readily realized experimentally. Upon application of an external static force F, the average particle velocity…
The non-thermal nature of self-propelling colloids offers new insights into non-equilibrium physics. The central mathematical model to describe their trajectories is active Brownian motion, where a particle moves with a constant speed,…
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 consider the model of branching Brownian motion with a single catalytic point at the origin and binary branching. We establish some fine results for the asymptotic behaviour of the numbers of particles travelling at different speeds and…
This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is…
In this short note we will provide a sufficient and necessary condition to have uniqueness of the location of the maximum of a stochastic process over an interval. The result will also express the mean value of the location in terms of the…
The Brownian motion of a charged test particle caused by quantum electromagnetic vacuum fluctuations between two perfectly conducting plates is examined and the mean squared fluctuations in the velocity and position of the test particle are…
Concept drift refers to the change of data distributions over time. While drift poses a challenge for learning models, requiring their continual adaption, it is also relevant in system monitoring to detect malfunctions, system failures, and…
The stochastic motion of a particle with long-range correlated increments (the moving phase) which is intermittently interrupted by immobilizations (the traping phase) in a disordered medium is considered in the presence of an external…
Consider a system of infinitely many Brownian particles on the real line. At any moment, these particles can be ranked from the bottom upward. Each particle moves as a Brownian motion with drift and diffusion coefficients depending on its…
This paper derives a complete analytical solution for the probability distribution of the configuration of a non-holonomic vehicle that moves in two spatial dimensions by satisfying the unicycle kinematic constraints and in presence of…
Business processes are prone to unexpected changes, as process workers may suddenly or gradually start executing a process differently in order to adjust to changes in workload, season, or other external factors. Early detection of business…
We consider a generic system operating under non-equilibrium conditions. Explicitly, we consider an inertial classical Brownian particle dwelling a periodic structure with a spatially broken reflection symmetry. The particle is coupled to a…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
The area swept out under a one-dimensional Brownian motion till its first-passage time is analysed using a backward Fokker-Planck technique. We obtain an exact expression of the area distribution for the zero drift case, and provide various…
We consider active Brownian particles that intermittently switch between active and inactive states. Such behavior is ubiquitous at all scales, from bacteria to animals and in artificial active systems. We derive exact expressions for key…