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The Levy transform of a Brownian motion B is the Brownian motion B't, the integral over (O,t) of sign of Bs with respect to dBs. Call T the corresponding transformation on the Wiener space W. We establish that a.s. the orbit of w in W under…
In this paper we identify the Fokker-Planck equation for (reflected) Sticky Brownian Motion as a Wasserstein gradient flow in the space of probability measures. The driving functional is the relative entropy with respect to a non-standard…
We discuss physical and mathematical aspects of the over-damped motion of a Brownian particle in fluctuating potentials. It is shown that such a system can be described quantitatively by fluctuating rates if the potential fluctuations are…
We extend the notion of effective resistance to metric spaces that are similar to graphs but can also be similar to fractals. Combined with other basic facts proved in the paper, this lays the ground for a construction of Brownian Motion on…
The distribution of the first-passage time (FPT)$T_a$ for a Brownian particle with drift $\mu$ subject to hitting an absorber at a level $a>0$ is well-known and given by its density $\gamma(t) = \frac{a}{\sqrt{2 \pi t^3} } e^{-\frac{(a-\mu…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
We present precise moderate deviation probabilities, in both quenched and annealed settings, for a recurrent diffusion process with a Brownian potential. Our method relies on fine tools in stochastic calculus, including Kotani's lemma and…
Let $\{u(t\,, x)\}_{(t, x)\in \mathbb{R}_+\times \mathbb{R}}$ be the density of one-dimensional super-Brownian motion starting from Lebesgue measure. Using the Laplace functional of super-Brownian motion, we prove that as $N\to \infty$, the…
We show that the uniform norm of generalized grey Brownian motion over the unit interval has an analytic density, excluding the special case of fractional Brownian motion. Our main result is an asymptotic expansion for the small ball…
Little is known about the coupling of rotation and translation in dense systems. Here, we report results of confocal fluorescence microscopy where simultaneous recording of translational and rotational particle trajectories from a…
Biased diffusive transport of Brownian particles through irregularly shaped, narrow confining quasi-one-dimensional structures is investigated. The complexity of the higher dimensional diffusive dynamics is reduced by means of the so-called…
Let $D\subsetneq R^d$ be an unbounded domain and let $B(t)$ be a Brownian motion in $D$ with normal reflection at the boundary. We study the transcience/recurrence dichotomy, focusing mainly on domains of the form $D=\{(x,z)\in…
We consider Fourier transforms of densities supported on curves in R^d. We obtain sharp lower and close to sharp upper bounds for the L^q decay rates.
We prove that reflected Brownian motion with normal reflections in a convex domain satisfies a dimension free Talagrand type transportation cost-information inequality. The result is generalized to other reflected diffusions with suitable…
We derive general results on the small deviation behavior for some classes of iterated processes. This allows us, in particular, to calculate the rate of the small deviations for $n$-iterated Brownian motions and, more generally, for the…
We prove strong existence and uniqueness for a reflection process $X$ in a smooth, bounded domain $D$ that behaves like obliquely-reflected-Brownian-motion, except that the direction of reflection depends on a (spin) parameter $S$, which…
Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(\pm T)=0 conditioned to stay above the semicircle c_T(t)=\sqrtT^2-t^2. In the limit of large T, the fluctuation scale of b(t)-c_T(t) is T^{1/3} and its…
In this note, we present the closed form solution for the joint distribution of the range and terminal value of a Brownian motion. Based on this distribution we build a range scaled terminal value distribution and show the derivation steps…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…