Related papers: Two-dimensional Brownian motion with dependent com…
Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H \in (0, 1)$ called the Hurst index. The use of time-changed processes in modeling often requires the…
Brownian and fractional processes are useful computational tools for the modelling of physical phenomena. Here, modelling linear homopolymers in solution as Brownian or fractional processes, we develop a formalism to take into account both…
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time…
We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the…
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…
This work deals with the overdamped motion of a particle in a fluctuating one-dimensional periodic potential. If the potential has no inversion symmetry and its fluctuations are asymmetric and correlated in time, a net flow can be generated…
Dynamical phase transitions (DPTs) arise from qualitative changes in the long-time behavior of stochastic trajectories, often observed in systems with kinetic constraints or driven out of equilibrium. Here we demonstrate that first-order…
The horizontal dynamics of a bouncing ball interacting with an irregular surface is investigated and is found to demonstrate behavior analogous to a random walk. Its stochastic character is substantiated by the calculation of a permutation…
Recently, there has been much interest in activity-induced phase separations in concentrated suspensions of "active Brownian particles" (ABPs), self-propelled spherical particles whose direction of motion relaxes through thermal rotational…
We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…
Numerical algorithms are proposed for simulating the Brownian dynamics of charged particles in an external magnetic field, taking into account the Brownian motion of charged particles, damping effect and the effect of magnetic field…
At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation…
We present a methodology for the study of the dispersion of trajectories of stochastic processes in reconstructed phase spaces from observed data. The methodology allows to find ensembles of analog states, i.e. states that are close in the…
The structural and dynamical properties of suspensions of self-propelled Brownian particles of spherical shape are investigated in three spatial dimensions. Our simulations reveal a phase separation into a dilute and a dense phase, above a…
A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain. In this work, we give a complete characterization of the recurrent property of…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
Brownian motion is the perpetual irregular motion exhibited by small particles immersed in a fluid. Such random motion of the particles is produced by statistical fluctuations in the collisions they suffer with the molecules of the…
The energy partitioning during activation and relaxation events under steady-state conditions for a Brownian particle driven by multiple thermal reservoirs of different local temperatures is investigated. Specifically, we apply the…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…