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We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on…
We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…
In this paper we discuss fractional generalizations of the filtering problem. The "fractional" nature comes from time-changed state or observation processes, basic ingredients of the filtering problem. The mathematical feature of the…
When monitoring the dynamics of stochastic systems, such as interacting particles agitated by thermal noise, disentangling deterministic forces from Brownian motion is challenging. Indeed, we show that there is an information-theoretic…
We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical criterion due to Jain and Monrad [Ann. Probab. 11 (1983)…
The $N$-branching Brownian motion with selection ($N$-BBM) is a particle system consisting of $N$ independent particles that diffuse as Brownian motions in $\mathbb{R}$, branch at rate one, and whose size is kept constant by removing the…
Brownian motion is the perpetual irregular motion exhibited by small particles immersed in a fluid. Such random motion of the particles is produced by statistical fluctuations in the collisions they suffer with the molecules of the…
In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose exact confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the…
This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…
We consider the occupation area of spherical (fractional) Brownian motion, i.e. the area where the process is positive, and show that it is uniformly distributed. For the proof, we introduce a new simple combinatorial view on occupation…
The purpose of this note is to prove a central limit theorem for the $L^2$-modulus of continuity of the Brownian local time obtained in \cite{CLMR}, using techniques of stochastic analysis. The main ingredients of the proof are an…
Time-reversal symmetry breaking and entropy production are universal features of nonequilibrium phenomena. Despite its importance in the physics of active and living systems, the entropy production of systems with many degrees of freedom…
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…
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 put forward a measure based on Gaussian steering to quantify the non-Markovianity of continuous-variable (CV) Gaussian quantum channels. We employ the proposed measure to assess and compare the non-Markovianity of a quantum Brownian…
We consider a new type of lookdown processes where spatial motion of each individual is influenced by an individual noise and a common noise, which could be regarded as an environment. Then a class of probability measure-valued processes on…
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…
In this article, we study a finite horizon linear-quadratic stochastic control problem for Brownian particles, where the cost functions depend on the state and the occupation measure of the particles. To address this problem, we develop an…
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…