Related papers: Worst-case mixing estimates for Brownian motion wi…
In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this…
Brownian escape is key to a wealth of physico-chemical processes, including polymer folding, and information storage. The frequency of thermally activated energy barrier crossings is assumed to generally decrease exponentially with…
Our model consists of a Brownian particle $X$ moving in $\mathbb{R}$, where a Poissonian field of moving traps is present. Each trap is a ball with constant radius, centered at a trap point, and each trap point moves under a Brownian motion…
Measurements of protein motion in living cells and membranes consistently report transient anomalous diffusion (subdiffusion) which converges back to a Brownian motion with reduced diffusion coefficient at long times, after the anomalous…
Within the framework of variational modelling we derive a one-phase moving boundary problem describing the motion of a semipermeable membrane enclosing a viscous liquid, driven by osmotic pressure and surface tension of the membrane. For…
We study a modification of the fractional analogue of the Brownian meander, which is Brownian motion conditioned to be positive on the time interval ${[0,1]}$. More precisely, we determine the weak limit of a fractional Brownian motion…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
Brownian motion with darning (BMD in abbreviation) is introduced and studied in [4] and [5, Chapter 7]. Roughly speaking, BMD travels across the "darning area" at infinite speed, while it behaves like a regular BM outside of this area. In…
A popular approach to modeling bimolecular reactions between diffusing molecules is through the use of reactive boundary conditions. One common model is the Smoluchowski partial absorption condition, which uses a Robin boundary condition in…
We study the problem of when a Brownian motion in the unit ball has a positive probability of avoiding a countable collection of spherical obstacles. We give a necessary and sufficient integral condition for such a collection to be…
In a series of recent works, Boyd, Diaconis, and their co-authors have introduced a semidefinite programming approach for computing the fastest mixing Markov chain on a graph of allowed transitions, given a target stationary distribution.…
This work is devoted to the investigation of the most probable transition time between metastable states for stochastic dynamical systems. Such a system is modeled by a stochastic differential equation with non-vanishing Brownian noise, and…
Throughout physics Brownian dynamics are used to describe the behaviour of molecular systems. When the Brownian particle is confined to a bounded domain, a particularly important question arises around determining how long it takes the…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
We consider the maximal displacement of one dimensional branching Brownian motion with (macroscopically) time varying profiles. For monotone decreasing variances, we show that the correction from linear displacement is not logarithmic but…
In this paper, we investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian…
We study a free boundary problem for a parabolic partial differential equation in which the solution is coupled to the moving boundary through an integral constraint. The problem arises as the hydrodynamic limit of an interacting particle…
We consider branching Brownian motion in which initially there is one particle at $x$, particles produce a random number of offspring with mean $m+1$ at the time of branching events, and each particle branches at rate $\beta = 1/2m$.…
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 study the splitting probabilities for a one-dimensional Brownian motion in a cage whose two boundaries move at constant speeds $c_1$ and $c_2$. This configuration corresponds to the capture of a diffusing, but skittish lamb, with an…