Related papers: Transition density estimates for subordinated refl…
In this paper we study a subordinate Brownian motion with a Gaussian component and a rather general discontinuous part. The assumption on the subordinator is that its Laplace exponent is a complete Bernstein function with a L\'evy density…
We study analytically the single-trajectory spectral density (STSD) of an active Brownian motion as exhibited, for example, by the dynamics of a chemically-active Janus colloid. We evaluate the standardly-defined spectral density, i.e. the…
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional Brownian motion with drift. As a result, a small time…
In this paper, we consider transient subordinate Brownian motion X in R^d, d \geq 1, where the Laplace exponent \phi of the corresponding subordinator satisfies some mild conditions. The scaleinvariant Harnack inequality is proved for X. We…
In this article we prove a representation formula for non-negative generalized harmonic functions with respect to a subordinate Brownian motion in a general open set $D\subset \mathbb{R}^d$. We also study oscillation properties of quotients…
It is discussed the limitations of the widely used markovian approximation applied to model the turbulent refractive index in lightwave propagation. It is well-known the index is a passive scalar field. Thus, the actual knowledge about…
We derive several explicit distributions of functionals of Brownian motion indexed by the Brownian tree. In particular, we give a direct proof of a result of Bousquet-M\'elou and Janson identifying the distribution of the density at 0 of…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
We study the radius $R_T$ of a self-repellent fractional Brownian motion $\left\{B^H_t\right\}_{0\le t\le T}$ taking values in $\mathbb{R}^d$. Our sharpest result is for $d=1$, where we find that with high probability, \begin{equation*} R_T…
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large…
A well-known result with respect to the one dimensional nearest-neighbor symmetric simple exclusion process is the convergence to fractional Brownian motion with Hurst parameter 1/4, in the sense of finite-dimensional distributions, of the…
A progress report on two recent theoretical approaches proposed to understand the physics of irreversible fractal aggregates showing up a structural transition from a rather dense to a more multibranched growth is presented. In the first…
We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely…
We quantify the asymptotic behaviour of multidimensional drifltess diffusions in domains unbounded in a single direction, with asymptotically normal reflections from the boundary. We identify the critical growth/contraction rates of the…
We investigate anomalous diffusion processes governed by the fractional Langevin equation and confined to a finite or semi-infinite interval by reflecting potential barriers. As the random and damping forces in the fractional Langevin…
In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called…
The analytical expressions for the time-dependent cross-correlations of the translational and rotational Brownian displacements of a particle with arbitrary shape are derived. The reference center is arbitrary, and the reference frame is…
We consider the collective motion of finite-sized, overdamped Brownian particles (e.g., motor proteins) in a periodic potential. Simulations of our model have revealed a number of novel cooperative transport phenomena, including (i) the…
Generalizations of tempered fractional Brownian from single index to two indices and variable index or tempered multifractional Brownian motion are studied. Tempered fractional Brownian motion and tempered multifractional Brownian motion…
Security of oscillatory true random number generators remains not fully understood due to insufficient understanding of complex $1/f^\alpha$ phase noise. To bridge this gap, we introduce fractional Brownian motion as a comprehensive…