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We consider a 1-dimensional Brownian motion whose diffusion coefficient varies when it crosses the origin. We study the long time behavior and we establish different regimes, depending on the variations of the diffusion coefficient:…
A new nonlinear Schroedinger equation is obtained explicitly from the fractal Brownian motion of a massive particle with a complex-valued diffusion constant. Real-valued energy (momentum) plane wave and soliton solutions are found in the…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…
Active particles self-propel themselves with a stochastically evolving velocity, generating a persistent motion leading to a non-diffusive behavior of the position distribution. Nevertheless, an effective diffusive behavior emerges at times…
We describe in detail the history of Brownian motion, as well as the contributions of Einstein, Sutherland, Smoluchowski, Bachelier, Perrin and Langevin to its theory. The always topical importance in physics of the theory of Brownian…
Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
The friction coefficient of a particle can depend on its position as it does when the particle is near a wall. We formulate the dynamics of particles with such state-dependent friction coefficients in terms of a general Langevin equation…
This work proposes a method for the two-dimensional simulation of Brownian particles in a fluid with restrictions. The method is based on simple numerical rules between two matrices. One of the matrix represent the identification of all…
A Langevin process diffusing in a periodic potential landscape has a time dependent diffusion constant which means that its average mean squared displacement (MSD) only becomes linear at late times. The long time, or effective diffusion…
We consider the inverse problem of determining different type of information about a diffusion process, described by ordinary or fractional diffusion equations stated on a bounded domain, like the density of the medium or the velocity field…
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…
Geometrical optics provides an instructive insight into Brownian motion, ``pushed" into a large-deviations regime by imposed constraints. Here we extend geometrical optics of Brownian motion by accounting for diffusion inhomogeneity in…
Brownian motion in periodic potentials has been widely investigated in statistical physics and related interdisciplinary fields. In the overdamped regime, it has been well-known that the diffusion constant $D^*$ is given by the…
We study the motion of Brownian particle in modulated media in the strong damping limit by using {\em toy model}, with special emphasis on the transition from localise to diffusive behavior. By using model potential we have seen the…
Considering the example of interacting Brownian particles we present a linear response derivation of the boundary condition for the corresponding hydrodynamic description (the diffusion equation). This requires us to identify a non-analytic…
Aiming at providing an objective motion picture for the microscopic object described by the wave function, new analysis about motion is presented by use of the point set theory in mathematics, through which we show that a new kind of motion…
An active bath, made of self-propelling units, is a nonequilibrium medium in which the Einstein relation $D=\mu k_B T$ between the mobility $\mu$ and the diffusivity $D$ of a tracer particle cannot be expected to hold a priori. We consider…
This article discusses the numerical result predicted by the quantum Langevin equation of the generalized diffusion function of a Brownian particle immersed in an Ohmic quantum bath of harmonic oscillators. The time dependence of the…
Typically, in the description of active Brownian particles, a constant effective propulsion force is assumed, which is then subjected to fluctuations in orientation and translation leading to a persistent random walk with an enlarged…