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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…
We propose a new type of SPDEs, singular or with regularized noises, motivated by a study of the fluctuation of the density field in a microscopic interacting particle system. They include a large scaling parameter $N$, which is the ratio…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
We present an exact solution for the probability density function $P(\tau=t_{\min}-t_{\max}|T)$ of the time-difference between the minimum and the maximum of a one-dimensional Brownian motion of duration $T$. We then generalise our results…
We study the local mass of a dyadic branching Brownian motion $Z$ evolving in $\mathbb{R}^d$. By 'local mass,' we refer to the number of particles of $Z$ that fall inside a ball with fixed radius and time-dependent center, lying in the…
In this paper, we provide a continuum model for the fluctuations of the symmetric simple exclusion process about its hydrodynamic limit. The model is based on an approximating sequence of stochastic PDEs with nonlinear, conservative noise.…
What is the probability that all the gas in a box accumulates in the same half of this box? Though amusing, this question underlies the fundamental problem of density fluctuations at equilibrium, which has profound implementations in many…
Suppose that an infinite lattice gas of constant density $n_0$, whose dynamics are described by the symmetric simple exclusion process, is brought in contact with a spherical absorber of radius $R$. Employing the macroscopic fluctuation…
The problem of nonlinear filtering of a random field observed in the presence of a noise, modeled by a persistent fractional Brownian sheet of Hurst index $(H_1,H_2)$ with $0.5<H_1,H_2<1$, is studied and a suitable version of the Bayes'…
Brownian motion of single particles with various masses M and diameters D is studied by molecular dynamics simulations. Besides the momentum auto-correlation function of the Brownian particle the memory function and the fluctuating force…
At long times, a fractional Brownian particle in a confining external potential reaches a non-equilibrium (non-Boltzmann) steady state. Here we consider scale-invariant power-law potentials $V(x)\sim |x|^m$, where $m>0$, and employ the…
We study a spatial branching model, where the underlying motion is $d$-dimensional ($d\ge1$) Brownian motion and the branching rate is affected by a random collection of reproduction suppressing sets dubbed mild obstacles. The main result…
We introduce and study analytically and numerically a simple model of inter-agent competition, where underachievement is strongly discouraged. We consider $N\gg 1$ particles performing independent Brownian motions on the line. Two particles…
We find the exponential growth rate of the population outside a ball with time dependent radius for a branching Brownian motion in Euclidean space. We then see that the upper bound of the particle range is determined by the principal…
We derive the distribution of particle currents for a system of interacting active Brownian particles in the long time limit using large deviation theory and a weighted many body expansion. We find the distribution is non-Gaussian, except…
It is well-known that the maximal particle in a branching Brownian motion sits near $\sqrt2 t - \frac{3}{2\sqrt2}\log t$ at time $t$. One may then ask about the paths of particles near the frontier: how close can they stay to this critical…
We present a theory for the steady-state dynamics of a two-dimensional system of spherically symmetric active Brownian particles. The derivation of the theory consists of two steps. First, we integrate out the self-propulsions and obtain a…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…
We study the problem of parametric estimation for continuously observed stochastic differential equation driven by fractional Brownian motion. Under some assumptions on drift and diffusion coefficients, we construct maximum likelihood…