Related papers: Hitting probability for Reflected Brownian Motion …
We investigate the extreme value statistics of a one-dimensional Brownian motion (with the diffusion constant $D$) during a time interval $\left[0, t \right]$ in the presence of a reflective boundary at the origin, starting from a positive…
We analyze the trapping of diffusing ligands, modeled as Brownian particles, by a sphere that has $N$ partially reactive boundary patches, each of small area and arbitrary shape, on an otherwise reflecting boundary. For such a structured…
Fractional Brownian motion, H-FBM , of index with d-dimensional time is considered in a spherical domain that contains 0 at its boundary. The main result : the log-asymptotics of probability that H-FBM does not exceed a fixed positive level…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
We relate the expected hyperbolic length of the perimeter of the convex hull of the trajectory of Brownian motion in the hyperbolic plane to an expectation of a certain exponential functional of a one-dimensional real-valued Brownian…
We consider the persistence probability for the integrated fractional Brownian motion and the fractionally integrated Brownian motion with parameter $H,$ respectively. For the integrated fractional Brownian motion, we discuss a conjecture…
Let $\pi$ be the occupancy density of an obliquely reflected Brownian motion in the half plane and let ($\rho$, $\alpha$) be the polar coordinates of a point in the upper half plane. This work determines the exact asymptotic behavior of…
We study the large-time behaviour of Brownian particles moving through a viscous medium in a confined potential, and which are further subjected to position-dependent driving forces that are periodic in time. We focus on the case where…
We consider a random walk in random environment in the low disorder regime on $\mathbb Z^d$. That is, the probability that the random walk jumps from a site $x$ to a nearest neighboring site $x+e$ is given by $p(e)+\epsilon \xi(x,e)$, where…
In noisy environments such as the cell, many processes involve target sites that are often hidden or inactive, and thus not always available for reaction with diffusing entities. To understand reaction kinetics in these situations, we study…
The problem of the time required for a diffusing molecule, within a large bounded domain, to first locate a small target is prevalent in biological modeling. Here we study this problem for a small spherical target. We develop uniform in…
Donsker's theorem shows that random walks behave like Brownian motion in an asymptotic sense. This result can be used to approximate expectations associated with the time and location of a random walk when it first crosses a nonlinear…
Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and (or) singular repellent drift. When the domain is a polyhedron, we prove that the…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…
Let $\tau$ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2\mu t)$ with drift $\mu \geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We…
Local perturbations of a Brownian motion are considered. As a limit we obtain a non-Markov process that behaves as a reflected Brownian motion on the positive half line until its local time at zero reaches some exponential level, then…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…
We consider a Brownian motion on the plane with semipermeable membranes on n rays that have a common endpoint in the origin. We obtain the necessary and sufficient conditions for the process to reach the origin and we show that the…
For a hyperbolic Brownian motion on the Poincar\'e half-plane $\mathbb{H}^2$, starting from a point of hyperbolic coordinates $z=(\eta, \alpha)$ inside a hyperbolic disc $U$ of radius $\bar{\eta}$, we obtain the probability of hitting the…
Excursion reflected Brownian motion (ERBM) is a strong Markov process defined in a finitely connected domain $D \subset \mathbb{C}$ that behaves like a Brownian motion away from the boundary of $D$ and picks a point according to harmonic…