Related papers: Noncolliding Brownian motions and Harish-Chandra f…
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula. The…
A possible mechanism leading to anomalous diffusion is the presence of long-range correlations in time between the displacements of the particles. Fractional Brownian motion, a non-Markovian self-similar Gaussian process with stationary…
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
The spreading of a cloud of independent Brownian particles typically proceeds more effectively at higher temperatures, as it derives from the commonly known Sutherland-Einstein relation for systems in thermal equilibrium. Here, we report on…
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…
We study the long-time asymptotics of the probability P_t that the Riemann-Liouville fractional Brownian motion with Hurst index H does not escape from a fixed interval [-L,L] up to time t. We show that for any H \in ]0,1], for both…
In this paper we present a general mathematical construction that allows us to define a parametric class of $H$-sssi stochastic processes (self-similar with stationary increments), which have marginal probability density function that…
We present a numerical method that consistently implements thermal fluctuations and hydrodynamic interactions to the motion of Brownian particles dispersed in incompressible host fluids. In this method, the thermal fluctuations are…
We consider a continuum percolation model on $\R^d$, $d\geq 1$.For $t,\lambda\in (0,\infty)$ and $d\in\{1,2,3\}$, the occupied set is given by the union of independent Brownian paths running up to time $t$ whoseinitial points form a Poisson…
Overdamped Brownian motion of a self-propelled particle is studied by solving the Langevin equation analytically. On top of translational and rotational diffusion, in the context of the presented model, the "active" particle is driven along…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…
We consider an infinite system of Brownian motions which interact through a given Brownian motion being reflected from its left neighbor. Earlier we studied this system for deterministic periodic initial configurations. In this contribution…
We study a time-dependent non-Hermitian extension of the Sch\"utte-Da~Provid\^encia spin-boson Hamiltonian with complex couplings. A time-dependent Dyson map containing a squeezing transformation maps the model, in an admissible bounded…
We study the issue of integration with respect to the non-commutative fractional Brownian motion, that is the analog of the standard fractional Brownian in a non-commutative probability setting.When the Hurst index $H$ of the process is…
A family of reflected Brownian motions is used to construct Dyson's process of non-colliding Brownian motions. A number of explicit formulae are given, including one for the distribution of a family of coalescing Brownian motions.
We discuss a family of time-inhomogeneous two-dimensional diffusions, defined over a finite time interval $[0,T]$, having transition density functions that are expressible in terms of the integral kernels for negative exponentials of the…
We define a new diffusive matrix model converging towards the $\beta$-Dyson Brownian motion for all $\beta\in [0,2]$ that provides an explicit construction of $\beta$-ensembles of random matrices that is invariant under the…
Nonergodicity observed in single-particle tracking experiments is usually modeled by transient trapping rather than spatial disorder. We introduce models of a particle diffusing in a medium consisting of regions with random sizes and random…
The $n$th order fractional Brownian motion was introduced by Perrin et al. It is the (upto a multiplicative constant) unique self-similar Gaussian process with Hurst index $H \in (n-1,n)$, having $n$th order stationary increments. We…