Related papers: Invariance of Brownian motion associated with expo…
We analyze \emph{fractional Brownian motion} and \emph{scaled Brownian motion} on the two-dimensional sphere $\mathbb{S}^{2}$. We find that the intrinsic long time correlations that characterize fractional Brownian motion collude with the…
Let X^{1}, X^{2} be two independent (two-sided) fractional Brownian motions having the same Hurst parameter H in (0,1), and let Y be a standard (one-sided) Brownian motion independent of (X^{1},X^{2}). In dimension 2, fractional Brownian…
For $0<\alpha \leq 2$ and $0<H<1$, an $\alpha$-time fractional Brownian motion is an iterated process $Z = \{Z(t)=W(Y(t)), t \ge 0\}$ obtained by taking a fractional Brownian motion $\{W(t), t\in \RR{R} \}$ with Hurst index $0<H<1$ and…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model…
In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related…
Time reversal symmetry is studied in a space with noncommutativity of coordinates and noncommutativity of momenta of canonical type. The circular motion is examined as an apparent example of time reversal symmetry breaking in the space. On…
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…
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
Let us consider a solution of the time-inhomogeneous stochastic differential equation driven by a Brownian motion with drift coefficient $b(t,x)=\rho\,{\rm sgn}(x)|x|^\alpha/t^\beta$. This process can be viewed as a distorted Brownian…
We present a Bayesian inference scheme for scaled Brownian motion, and investigate its performance on synthetic data for parameter estimation and model selection in a combined inference with fractional Brownian motion. We include the…
We consider the impact of inertia on biased Brownian motion of point particles in a two-dimensional channel with sinusoidally varying width. If the time scales of the problem separate, the adiabatic elimination of the transverse degrees of…
We employ renewal processes to characterize the spatiotemporal dynamics of an active Brownian particle under stochastic orientational resetting. By computing the experimentally accessible intermediate scattering function (ISF) and…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of the Brownian motion arise in the study of electronic transport in weakly…
Let $B=(B_t)_{t\in {\mathbb{R}}}$ be a two-sided standard Brownian motion. An unbiased shift of $B$ is a random time $T$, which is a measurable function of $B$, such that $(B_{T+t}-B_T)_{t\in {\mathbb{R}}}$ is a Brownian motion independent…
We consider parameterized exponential integrals coming from the time evolution of the probability distribution of Brownian motion on globally subanalytic sets. We establish definability results and asymptotic expansions.
Since the classical work of L\'evy, it is known that the local time of Brownian motion can be characterized through the limit of level crossings. While subsequent extensions of this characterization have primarily focused on Markovian or…
We have shown recently how to calculate the large deviation function of the position $X_{\max}(t) $ of the right most particle of a branching Brownian motion at time $t$. This large deviation function exhibits a phase transition at a…