Related papers: An explicit formula for free multiplicative Browni…
The most known example of a class of non-Gaussian stochastic processes which belongs to the homogenous Wiener chaos of an arbitrary order N > 1 are probably Hermite processes of rank N. They generalize fractional Brownian motion (fBm) and…
We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and $n$-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for…
We consider the orthogonalisation of the signature of a stochastic process as the analogue of orthogonal polynomials on path-space. Under an infinite radius of convergence assumption, we prove density of linear functions on the signature in…
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fractional Brownian motion. To this end, we…
We consider the noncolliding Brownian motion (BM) with $N$ particles starting from the eigenvalue distribution of Gaussian unitary ensemble (GUE) of $N \times N$ Hermitian random matrices with variance $\sigma^2$. We prove that this process…
We present a modified Brownian motion model for random matrices where the eigenvalues (or levels) of a random matrix evolve in "time" in such a way that they never cross each other's path. Also, owing to the exact integrability of the level…
This paper investigates homomorphisms \`a la Bercovici-Pata between additive and multiplicative convolutions. We also consider their matricial versions which are associated with measures on the space of Hermitian matrices and on the unitary…
We consider matrix-valued processes described as solutions to stochastic differential equations of very general form. We study the family of the empirical measure-valued processes constructed from the corresponding eigenvalues. We show that…
The present paper is concerned with the integral of the absolute value of a Brownian motion with drift. By establishing an asymptotic expansion of the space Laplace transform, we obtain series representations for the probability density…
We prove that the marginal law $\sigma_{t}\boxtimes\nu$ of free positive multiplicative Brownian motion is log-unimodal for all $t>0$ if $\nu$ is a multiplicatively symmetric log-unimodal distribution, and that $\sigma_{t}\boxtimes\nu$ is…
Overdamped Brownian motion of a self-propelled particle is studied by solving the Langevin equation analytically. On top of translational and rotational diffusion, in the context of the presented model, the "active" particle is driven along…
Keeping in view the ordering ambiguity that arises due to the presence of position-dependent effective mass in the kinetic energy term of the Hamiltonian, a general scheme for obtaining algebraic solutions of quantum mechanical systems with…
We study orbital functions associated to finitely generated geometrically infinite Kleinian groups acting on the hyperbolic space $\mathbb{H}^3$, developing a new method based on the use of the Brownian motion. On the way, we give some…
We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with…
In this paper, we give the expressions for the bounded spherical functions, or equivalently the spherical functions of positive type, for the free two-step nilpotent Lie groups endowed with the actions of orthogonal groups or their special…
Let $F_{BC}(\lambda,k;t)$ be the Heckman-Opdam hypergeometric function of type BC with multiplicities $k=(k_1,k_2,k_3)$ and weighted half sum $\rho(k)$ of positive roots. We prove that $F_{BC}(\lambda+\rho(k),k;t)$ converges for…
This paper reviews the formulation of the Feynman-Vernon model of linear dissipative systems for a standard Brownian particle moving in an external potential $V(x,t)$ and introduces the formulation of a generalized oscillator model of a…
We study the spectrum of the kinetic Brownian motion in the space of $d\times d$ Hermitian matrices, $d\geq2$. We show that the eigenvalues stay distinct for all times, and that the process $\Lambda$ of eigenvalues is a kinetic diffusion…
A Brownian spatial tree is defined to be a pair $(\mathcal{T},\phi)$, where $\mathcal{T}$ is the rooted real tree naturally associated with a Brownian excursion and $\phi$ is a random continuous function from $\mathcal{T}$ into…
We consider Brownian motions and other processes (Ornstein-Uhlenbeck processes, spherical Brownian motions) on various sets of symmetric matrices constructed from algebra structures, and look at their associated spectral measure processes.…