Related papers: Generalised Brownian Motion and Second Quantisatio…

In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…

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…

We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time series--these series are synthetically generated. Both quantifiers are mainly used to…

Fractional Brownian motion (fBm) is an important scale-invariant Gaussian non-Markovian process with stationary increments, which serves as a prototypical example of a system with long-range temporal correlations and anomalous diffusion.…

We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…

This paper represents the second in a series of works aimed at reinvigorating the quantum geometrodynamics program. Our approach introduces a lattice regularization of the hypersurface deformation algebra, such that each lattice site…

The fractional Brownian motion can be considered as a Gaussian field indexed by $(t,H)\in {\mathbb{R}_{+}\times (0,1)}$, where $H$ is the Hurst parameter. On compact time intervals, it is known to be almost surely jointly H\"older…

We address the issue of when generalized quantum dynamics, which is a classical symplectic dynamics for noncommuting operator phase space variables based on a graded total trace Hamiltonian ${\bf H}$, reduces to Heisenberg picture complex…

We develop a systematic framework for the model reduction of multivariate geometric Brownian motions (GBMs), a fundamental class of stochastic processes with broad applications in mathematical finance, population biology, and statistical…

We analyze the statistical physics of self-propelled particles from a general theoretical framework that properly describes the most salient characteristic of active motion, $persistence$, in arbitrary spatial dimensions. Such a framework…

Stochastic motion of charged particles in the magnetic field was first studied almost half a century ago in the classical works by Taylor and Kursunoglu in connection with the diffusion of electrons and ions in plasma. In their works the…

In this work, we present a detailed analysis on the exact expression of the $L^2$-norm of the symmetric-Stratonovich stochastic integral driven by a multi-dimensional fractional Brownian motion $B$ with parameter $\frac{1}{4} < H <…

We consider randomized computation of continuous data in the sense of Computable Analysis. Our first contribution formally confirms that it is no loss of generality to take as sample space the Cantor space of infinite FAIR coin flips. This…

Scaling symmetries have previously been examined for classical field theories described by singular Lagrangians; in this article, we apply these results to the first-order formulation of General Relativity. It is shown that the dynamical…

Let $\{X(t)\}_{t\geqslant0}$ be the generalized fractional Brownian motion introduced by Pang and Taqqu (2019): \begin{align*} \{X(t)\}_{t\ge0}\overset{d}{=}&\left\{ \int_{\mathbb R} \left((t-u)_+^{\alpha}-(-u)_+^{\alpha} \right)…

It is shown that the quaternionic Hilbert space formulation of quantum mechanics allows a quantization, based on a generalized system of imprimitivity, that leads to a description of the motion of a quantum particle in the field of a…

For $0<\alpha \leq 2$ and $0<H<1$, an $\alpha$-time fractional Brownian motion is an iterated process $Z = \{Z(t)=W(Y(t)), t \ge 0\}$ obtained by taking a fractional Brownian motion $\{W(t), t\in \RR{R} \}$ with Hurst index $0<H<1$ and…

In this article we construct a generalized Gaussian process coming from Coxeter groups of type B. It is given by creation and annihilation operators on an $(\alpha,q)$-Fock space, which satisfy the commutation relation $$…

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H…

This article reports the modeling of inertial rotational Brownian motion as an Ornstein-Uhlenbeck process evolving on the cotangent bundle of the rotation group, SO(3). The benefit of this approach and the use of a different…