Related papers: An algorithm for simulating Brownian increments on…
The first passage time density of a diffusion process to a time varying threshold is of primary interest in different fields. Here we consider a Brownian motion in presence of an exponentially decaying threshold to model the neuronal…
The impact of turbulent fluctuations on the forces exerted by a fluid on a towed spherical particle is investigated by means of high-resolution direct numerical simulations. The measurements are carried out using a novel scheme to integrate…
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability... The usual procedure is to use discretiza-tion schemes…
Diffusion models provide a principled framework for generative modeling via stochastic differential equations and time-reversed dynamics. Extending spectral diffusion approaches to spherical data, however, raises nontrivial geometric and…
The eigenfunction expansion by Gegenbauer polynomials for the diffusion on a hypersphere is transformed into the diffusion for the Wright-Fisher model with a particular mutation rate. We use the Ito calculus considering stochastic…
Dynamic particle-scale numerical simulations are used to show that the shear thickening observed in dense colloidal, or Brownian, suspensions is of a similar nature to that observed in non-colloidal suspensions, i.e., a stress-induced…
Einstein's kinetic theory of the Brownian motion, based upon light water molecules continuously bombarding a heavy pollen, provided an explanation of diffusion from the Newtonian mechanics. Since the discovery of quantum mechanics it has…
While the theory of diffusion of a single Brownian particle in confined geometries is well-established by now, we discuss here the theoretical framework necessary to generalize the theory of diffusion to dense suspensions of strongly…
Brownian motion is essential for describing diffusion in systems ranging from simple to complex liquids. Unlike simple liquids, which consist of only a solvent, complex liquids, such as colloidal suspensions or the cytoplasm of a cell, are…
We present a Bayesian inference scheme for scaled Brownian motion, and investigate its performance on synthetic data for parameter estimation and model selection in a combined inference with fractional Brownian motion. We include the…
Over a century ago, Einstein formulated a precise mathematical model for describing Brownian motion. While this model adequately explains the diffusion of micron-sized particles in fluids, its limitations become apparent when applied to…
Characterizing time-evolution of allele frequencies in a population is a fundamental problem in population genetics. In the Wright-Fisher diffusion, such dynamics is captured by the transition density function, which satisfies well-known…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the…
We give an effective upper escape rate function for Brownian motion on a complete Riemannian manifold in terms of the volume growth of the manifold. An important step in the work is estimating the small tail probability of the crossing time…
Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for example in biology, where toroidal data arises naturally when…
Consider the fractional Brownian Motion (fBM) $B^H=\{B^H(t): t \in [0,1] \}$ with Hurst index $H\in (0,1)$. We construct a probability space supporting both $B^H$ and a fully simulatable process $\hat B_{\epsilon}^H $ such that $$\sup_{t\in…
Assuming an effective quadratic Hamiltonian, we derive an approximate, linear stochastic equation of motion for the density-fluctuations in liquids, composed of overdamped Brownian particles. From this approach, time dependent two point…
Three-dimensional particle tracking experiments were conducted in a turbulent boundary layer with friction Reynolds number $Re_\tau$ of 700 and 1300. Two finite size spheres with specific gravities of 1.003 (P1) and 1.050 (P2) and diameters…
Single-particle tracking allows to infer the motion of single molecules in living cells. When we observe a long trajectory (more than 100 points), it is possible that the particle switches mode of motion over time. Then, fitting a single…