Related papers: Kinetic Dyson Brownian motion
The dynamics of a Brownian particle in a constant magnetic field and time-dependent electric field is studied in the limit of white noise, using a Langevin approach for the classical problem and the path-integral Feynman-Vernon and…
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential…
In the simplest realization of Brownian motion, a colloidal sphere moves randomly in an isotropic fluid; its mean squared displacement (MSD) grows linearly with time $\textit{\tau}$. Brownian motion in an orientationally ordered fluid, a…
In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and…
We study the large scale behaviour of a population consisting of two types which evolve in dimension d = 1, 2 according to a spatial Lambda- Fleming-Viot process subject to random time-independent selection. If one of the two types is rare…
We prove that the empirical law of eigenvalues of Brownian motion on the Lie Group $\mathrm{GL}(N,\mathbb{C})$ converges almost surely to a deterministic probability measure, characterized by a free stochastic differential equation. This…
The one-dimensional overdamped Brownian motion in a symmetric periodic potential modulated by external time-reversible noise is analyzed. The calculation of the effective diffusion coefficient is reduced to the mean first passage time…
We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many…
We study a $d$-dimensional branching Brownian motion inside subdiffusively expanding balls, where the boundary of the ball is deactivating in the sense that once a particle hits the moving boundary, it is instantly deactivated but is…
We draw attention to the fact that a Hermitian matrix is always diagonalizable and has real discrete spectrum whereas the Hermitian Schr{\"o}dinger Hamiltonian: $H=p^2/2\mu+V(x)$, may not be so. For instance when $V(x)=x, x^3, -x^2$, $H$…
Levy flights and fractional Brownian motion (fBm) have become exemplars of the heavy tailed jumps and long-ranged memory seen in space physics and elsewhere. Natural time series frequently combine both effects, and Linear Fractional Stable…
We measured the overall motion of Brownian particles suspended in water by a self-mixing thin-slice solid-state laser with extreme optical sensitivity. From the demodulated signal of laser intensity fluctuations through self-mixing…
In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains $D$ in $\mathbb{R}^n$ that includes all bounded Lipschitz domains…
Based on analytical and numerical calculations we study the dynamics of an overdamped colloidal particle moving in two dimensions under time-delayed, non-linear feedback control. Specifically, the particle is subject to a force derived from…
We study the large deviations of time-integrated observables of Markov diffusions that have perfectly reflecting boundaries. We discuss how the standard spectral approach to dynamical large deviations must be modified to account for such…
We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the…
We study boundary traces of shift-invariant diffusions: two-dimensional diffusions in the upper half-plane $\mathbb{R} \times [0, \infty)$ (or in $\mathbb{R} \times [0, R)$) invariant under horizontal translations. We prove that the…
We present a detailed study of a simple quantum stochastic process, the quantum phase space Brownian motion, which we obtain as the Markovian limit of a simple model of open quantum system. We show that this physical description of the…
In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian…
One century after Einstein's work, Brownian Motion still remains both a fundamental open issue and a continous source of inspiration for many areas of natural sciences. We first present a discussion about stochastic and deterministic…