Related papers: Worst-case mixing estimates for Brownian motion wi…
A conditioned stochastic process can display a very different behavior from the unconditioned process. In particular, a conditioned process can exhibit non-Gaussian fluctuations even if the unconditioned process is Gaussian. In this work,…
Brownian motion is a central scientific paradigm. Recently, due to increasing efforts and interests towards miniaturization and small-scale physics or biology, the effects of confinement on such a motion have become a key topic of…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We consider the median of n independent Brownian motions, and show that this process, when properly scaled, converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct…
We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…
We study quantum Maxwell's demon in a discrete space-time setup. We consider a collection of particles hopping on a one-dimensional chain and a semipermeable barrier that allows the particles to hop in only one direction. Our main result is…
The diffusive transport of biased Brownian particles in a two-dimensional symmetric channel is investigated numerically considering both the no-flow and the reflection boundary conditions at the channel boundaries. Here, the geometrical…
We study the motion of a solid particle immersed in a Newtonian fluid and confined between two parallel elastic membranes possessing shear and bending rigidity. The hydrodynamic mobility depends on the frequency of the particle motion due…
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 analytically how noninteracting weakly active particles, for which passive Brownian diffusion cannot be neglected and activity can be treated perturbatively, distribute and behave near boundaries in various geometries. In…
We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM,…
Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…
Consider the sum $Y=B+B(H)$ of a Brownian motion $B$ and an independent fractional Brownian motion $B(H)$ with Hurst parameter $H\in(0,1)$. Even though $B(H)$ is not a semimartingale, it was shown in [\textit{Bernoulli} \textbf{7} (2001)…
We computationally study the frictional properties of sheared granular media subjected to harmonic vibration applied at the boundary. Such vibrations are thought to play an important role in weakening flows, yet the independent effects of…
We consider the behavior of the nonlocal minimal surfaces in the vicinity of the boundary. By a series of detailed examples, we show that nonlocal minimal surfaces may stick at the boundary of the domain, even when the domain is smooth and…
Conditioning a branching Brownian motion to have an atypically low maximum leads to a suppression of the branching mechanism. In this note, we consider a branching Brownian motion conditioned to have a maximum below $\sqrt{2}\alpha t$…
We consider the problem of mixing a passive scalar in a periodic box by incompressible vector fields subject to a fixed energy constraint. In that setting a lower bound for the time in which perfect mixing can be achieved has been given by…
This paper presents our study of the asymptotic behavior of a two-component system of Brownian motions undergoing certain singular interactions. In particular, the system is a combination of two different types of particles and 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…
We consider the model of Brownian motion indexed by the Brownian tree. For every $r\geq 0$ and every connected component of the set of points where Brownian motion is greater than $r$, we define the boundary size of this component, and we…