Related papers: Kinetic Dyson Brownian motion
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Using the relation of the latter process with the Skew…
In 1962, Dyson introduced dynamics in random matrix models, in particular into GUE (also for beta=1 and 4), by letting the entries evolve according to independent Ornstein-Uhlenbeck processes. Dyson shows the spectral points of the matrix…
We describe a two-dimensional model for active particles whose self-propulsion speed is not fixed, but varies in time, and whose motion is subject to both translational and rotational diffusion. In the conventional treatment of active…
Einstein-Smoluchowski diffusion, damped harmonic oscillations, and spatial decoherence are special cases of an elegant class of Markovian quantum Brownian motion models that is invariant under linear symplectic transformations. Here we…
We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…
It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for…
Anomalous diffusion is frequently described by scaled Brownian motion (SBM), a Gaussian process with a power-law time dependent diffusion coefficient. Its mean squared displacement is $\langle x^2(t)\rangle\simeq\mathscr{K}(t)t$ with…
We establish an integration by parts formula for the semi-group in time $T > 0$ of the kinetic Brownian motion in the Euclidean plane together with its speed in the circle. The stochastic differential equation of our kinetic Brownian motion…
We prove the convergence of the spectrum of the generator of the kinetic Brownian motion to the spectrum of the base Laplacian for closed Riemannian manifolds. This generalizes recent work of Kolb--Weich--Wolf [arXiv:2011.06434] on constant…
The motion of a quantum particle hopping on a simple cubic lattice under the influence of thermal noise and of a static random potential is expected to be diffusive, i.e., the particle is expected to exhibit `quantum Brownian motion', no…
We consider Brownian motion on symmetric matrices of octonions, and study the law of the spectrum. Due to the fact that the octonion algebra is nonassociative, the dimension of the matrices plays a special role. We provide two specific…
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…
We define kinetic Brownian motion on the diffeomorphism group of a closed Riemannian manifold, and prove that it provides an interpolation between the hydrodynamic flow of a fluid and a Brownian-like flow.
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
We derive a general quantum formula giving the mean-square displacement of a diffusing particle as a function of time. Near {\bf 0 K} we find a universal logarithmic behavior (valid for times longer than the relaxation time), and deviations…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…