Related papers: Elastic Brownian motion with random jumps from the…
Statistical properties of Brownian motion that arise by analyzing, separately, trajectories over which the system energy increases (upside) or decreases (downside) with respect to a threshold energy level, are derived. This selective…
We study, both analytically and numerically, the dynamics of elastic boundaries such as crack fronts in fracture and surfaces of contact in solid on solid friction. The elastic waves in the solid give rise to kinks that move with a…
We identify an issue in recent approaches to learning-based control that reformulate systems with uncertain dynamics using a stochastic differential equation. Specifically, we discuss the approximation that replaces a model with fixed but…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some…
Our Recent advancements in stochastic processes have illuminated a paradox associated with the Einstein model of Brownian motion. The model predicts an infinite propagation speed, conflicting with the second law of thermodynamics. The…
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of…
Exact generalized stochastic representation of deterministic interaction between two dynamical (quantum or classical) systems is derived which helps when considering one of them to replace another by equivalent commutative ($c$-number…
We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coefficients, and with a full range of patterns of behavior upon collision that range from totally frictionless interaction, to elastic…
We consider one-dimensional Brownian motion conditioned (in a suitable sense) to have a local time at every point and at every moment bounded by some fixed constant. Our main result shows that a phenomenon of entropic repulsion occurs: that…
We discuss the two-dimensional motion of a Brownian particle that is confined to a harmonic trap and driven by a shear flow. The surrounding medium induces memory effects modelled by a linear, typically nonreciprocal coupling of the…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion…
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L\'evy process with finite L\'evy measure, whose drift coefficient depends on an…
We study the movement of the living organism in a band form towards the presence of chemical substrates based on a system of partial differential evolution equations. We incorporate Einstein's method of Brownian motion to deduce the…
Consider a d-dimensional Brownian motion in a random potential defined by attaching a nonnegative and polynomially decaying potential around Poisson points. We introduce a repulsive interaction between the Brownian path and the Poisson…
Fractional Brownian motion is a Gaussian stochastic process with long-range correlations in time; it has been shown to be a useful model of anomalous diffusion. Here, we investigate the effects of mutual interactions in an ensemble of…
We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose covariance depends on the so-called Hurst parameter $H\in…