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The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…
We consider Brownian motions with one-sided collisions, meaning that each particle is reflected at its right neighbour. For a finite number of particles a Sch\"{u}tz-type formula is derived for the transition probability. We investigate an…
It is shown that in systems with time-dependent and/or spatially nonuniform temperature $T(t,x)$, (i) most of the transport processes is weakly non-ergodic, and (ii) the diffusion (Brownian motion, BM) is anomalous. A few examples of simple…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
One-dimensional non-equilibrium models of particles subjected to a coagulation-diffusion process are important in understanding non-equilibrium dynamics, and fluctuation-dissipation relation. We consider in this paper transport properties…
We generalize Einstein's probabilistic method for the Brownian motion to study compressible fluids in porous media. The multi-dimensional case is considered with general probability distribution functions. By relating the expected…
A nonlinear theory of quantum Brownian motion in classical environment is developed based on a thermodynamically enhanced nonlinear Schrodinger equation. The latter is transformed via the Madelung transformation into a nonlinear quantum…
We construct the conditional version of $k$ independent and identically distributed random walks on $\R$ given that they stay in strict order at all times. This is a generalisation of so-called non-colliding or non-intersecting random…
We study a voting model on a branching Brownian motion process on $\mathbb{R}$ in which the diffusivity of each child particle is increased from that of the parent by a factor of $\gamma>1$. The probability distribution of the overall vote…
Time-independent scattering methods are widely employed to analyze transport in non-Hermitian systems. Their application, however, rests on a critical yet often overlooked assumption: that an incident wave is a pure superposition of…
We introduce a class of Markov processes conditioned to avoid intersection over a moving time window of length T>0, a setting we refer to as myopic non-intersection. In particular, we study a system of myopic non-intersecting Brownian…
We derive a new time-dependent Schr\"odinger equation(TDSE) for quantum models with non-hermitian Hamiltonian. Within our theory, the TDSE is symmetric in the two Hilbert spaces spanned by the left and the right eigenstates, respectively.…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
Phase transitions are fundamental in nature. A small parameter change near a critical point leads to a qualitative change in system properties. Across a regular phase transition, the system remains in thermal equilibrium and, therefore,…
This paper proposes a novel framework for manifold-valued regression and establishes its consistency as well as its contraction rate. It assumes a predictor with values in the interval $[0,1]$ and response with values in a compact…
We present a modified Brownian motion model for random matrices where the eigenvalues (or levels) of a random matrix evolve in "time" in such a way that they never cross each other's path. Also, owing to the exact integrability of the level…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
Encounter-based models of diffusion provide a probabilistic framework for analyzing the effects of a partially absorbing reactive surface, in which the probability of absorption depends upon the amount of surface-particle contact time.…
We introduce time-dependent variational principles to study the non-unitary dynamics of open quantum many-body systems, including dynamics described by the full Lindblad master equation, the non-Hermitian dynamics corresponding to the…