Related papers: On oscillating sticky Brownian motion

We extend the ideas of (Barbour 1990) and use Stein's method to obtain a bound on the distance between a scaled time-changed random walk and a time-changed Brownian Motion. We then apply this result to bound the distance between a…

We study the stochastic dynamics of a particle with two distinct motility states. Each one is characterized by two parameters: one represents the average speed and the other represents the persistence quantifying the tendency to maintain…

We establish the consistency of a local time approximation of a diffusion at a sticky threshold based on high-frequency observations. First, we prove the result for sticky Brownian motion, and then extend it to It\^o diffusions with a…

The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian…

Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…

Cyclic structure and dynamics are of great interest in both the fields of stochastic processes and nonequilibrium statistical physics. In this paper, we find a new symmetry of the Brownian motion named as the quasi-time-reversal invariance.…

A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.

We prove the existence and uniqueness of a strong solution of a stochastic differential equation with normal reflection representing the random motion of finitely many globules. Each globule is a sphere with time-dependent random radius and…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…

We establish diffusion and fractional Brownian motion approximations for motions in a Markovian Gaussian random field with a nonzero mean.

We focus on the dynamics of a Brownian particle whose mass fluctuates. First we show that the behaviour is similar to that of a Brownian particle moving in a fluctuating medium, as studied by Beck [Phys. Rev. Lett. 87 (2001) 180601]. By…

We consider finite systems of interacting Brownian particles including active friction in the framework of nonlinear dynamics and statistical/stochastic theory. First we study the statistical properties for $1-d$ systems of masses connected…

The fluctuation-dissipation theorem is a central theorem in nonequilibrium statistical mechanics by which the evolution of velocity fluctuations of the Brownian particle under a fluctuating environment is intimately related to its…

We carry out a comprehensive linear stability analysis of active Brownian particle systems around a constant homogeneous state. These scalar models, being important prototypes for the continuous description of active matter, are…

A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal…

Optical tweezers setup is often used to probe the motion of individual tracer particle, which promotes the study of relaxation dynamics of a generic process confined in a harmonic potential. We uncover the dependence of ensemble- and…

In this paper we present a dynamical system to generate Brownian motion based on the Langevin equation without stochastic term and using fractional derivatives, i.e., a deterministic Brownian motion model is proposed. The stochastic process…

We derive a quantum master equation from first principles to describe friction in one dimensional, collisional Brownian motion. We are the first to avoid an ill-defined square of the Dirac delta function by using localized wave packets…

Diffusive transport of particles or, more generally, small objects is a ubiquitous feature of physical and chemical reaction systems. In configurations containing confining walls or constrictions transport is controlled both by the…