Related papers: Brownian Functionals in Physics and Computer Scien…
The Wiener's path integral plays a central role in the studies of Brownian motion. Here we derive exact path-integral representations for the more general \emph{fractional} Brownian motion (fBm) and for its time derivative process -- the…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
We study the heat statistics of a quantum Brownian motion described by the Caldeira-Leggett model. By using the path integral approach, we introduce a novel concept of the quantum heat functional along every pair of Feynman paths. This…
We revisit the classic problem of the effective diffusion constant of a Brownian particle in a square lattice of reflecting impenetrable hard disks. This diffusion constant is also related to the effective conductivity of non-conducting and…
Fractional Brownian motion is a non-Markovian Gaussian process indexed by the Hurst exponent $H\in [0,1]$, generalising standard Brownian motion to account for anomalous diffusion. Functionals of this process are important for practical…
Functionals of particles' paths have diverse applications in physics, mathematics, hydrology, economics, and other fields. Under the framework of continuous time random walk (CTRW), the governing equations for the probability density…
The effective diffusion of Brownian particles in periodic potential has been a central topic in nonequilibrium statistical physcis. A classical result is the Lifson formula which provides the effective diffusion constant in periodic…
We discuss the distribution of various estimators for extracting the diffusion constant of single Brownian trajectories obtained by fitting the squared displacement of the trajectory. The analysis of the problem can be framed in terms of…
A path integral approach to quantum physics has been developed. Fractional path integrals over the paths of the L\'evy flights are defined. It is shown that if the fractality of the Brownian trajectories leads to standard quantum and…
Despite the success of fractional Brownian motion (fBm) in modeling systems that exhibit anomalous diffusion due to temporal correlations, recent experimental and theoretical studies highlight the necessity for a more comprehensive approach…
A fully quantum treatment of Einstein's Brownian motion is given, showing in particular the role played by the two original requirements of translational invariance and connection between dynamics of the Brownian particle and atomic nature…
The basic mathematical properties of Green's functions used in statistical mechanics as well as the equations defining these functions and the techniques of solving these equations are reviewed. An approach is presented called the…
In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize the result which…
Diffusive transport properties of a quantum Brownian particle moving in a tilted spatially periodic potential and strongly interacting with a thermostat are explored. Apart from the average stationary velocity, we foremost investigate the…
Einstein's Brownian motion of a quantum particle in a classical environment is studied via virial and equipartition theorems. The effect of continuous measurement in a strongly dissipative environment is accounted for and a quantum…
In this paper, we investigate a Brownian motion (BM) with purely time dependent drift and difusion by suggesting and examining several Brownian functionals which characterize the lifetime and reactivity of such stochastic processes. We…
We review some applications of fractional calculus developed by the author (partly in collaboration with others) to treat some basic problems in continuum and statistical mechanics. The problems in continuum mechanics concern mathematical…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
The fundamental insight into Brownian motion by Einstein is that all substances exhibit continual fluctuations due to thermal agitation balancing with the frictional resistance. However, even at thermal equilibrium, biological activity can…
Work statistics characterizes important features of a non-equilibrium thermodynamic process. But the calculation of the work statistics in an arbitrary non-equilibrium process is usually a cumbersome task. In this work, we study the work…