Related papers: Noncolliding Brownian motions and Harish-Chandra f…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
Critical phase transitions contain a variety of deep and universal physics, and are intimately tied to thermodynamic quantities through scaling relations. Yet, these notions are challenged in the context of non-Hermiticity, where spatial or…
We consider $\mathbb{R}^d$-valued diffusion processes of type \begin{align*} dX_t\ =\ b(X_t)dt\, +\, dB_t. \end{align*} Assuming a geometric drift condition, we establish contractions of the transitions kernels in Kantorovich ($L^1$…
We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…
The exact analytical expressions for the time-dependent cross-correlations of the translational and rotational Brownian displacements of a particle with arbitrary shape were derived by us in [J. Chem. Phys. 142, 214902 (2015) and 144,…
A collection of spherical obstacles in the ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and…
The one-dimensional Brownian motion starting from the origin at time $t=0$, conditioned to return to the origin at time $t=1$ and to stay positive during time interval $0 < t < 1$, is called the Bessel bridge with duration 1. We consider…
In this paper, we answer a question posed by Kurt Johansson, to find a PDE for the joint distribution of the Airy Process. The latter is a continuous stationary process, describing the motion of the outermost particle of the Dyson Brownian…
We consider two particles performing continuous-time nearest neighbor random walk on $\mathbb Z$ and interacting with each other when they are at neighboring positions. Typical examples are two particles in the partial exclusion process or…
We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with…
We consider the degenerate Einsteins Brownian motion model when the time interval of the moving particles before the collisions, is reciprocal to the number of particles per unit volume u(x,t), at the point of observation x at time t. The…
We extend the twin-space formulation of the hierarchical equations of motion approach in combination with the matrix product state representation (introduced in J. Chem. Phys. 150, 234102, [2019]) to nonequilibrium scenarios where the open…
We study the Brownian motion of a charged colloid, confined between two charged walls, for small separation between the colloid and the walls. The system is embedded in an ionic solution. The combined effect of electrostatic repulsion and…
We develop the kinetic theory of the flux-carrying Brownian motion recently introduced in the context of open quantum systems. This model constitutes an effective description of two-dimensional dissipative particles violating both…
We consider nonadiabatic transitions in explicitly time-dependent systems with Hamiltonians of the form $\hat{H}(t) = \hat{A} +\hat{B} t + \hat{C}/t$, where $t$ is time and $\hat{A}$, $\hat{B}$, $\hat{C}$ are Hermitian $N\times N$ matrices.…
In this paper we consider non-local (in time) heat equations on time-increasing parabolic sets whose boundary is determined by a suitable curve. We provide a notion of solution for these equations and we study well-posedness under Dirichlet…
A semi-martingale reflecting Brownian motion is a popular process for diffusion approximations of queueing models including their networks. In this paper, we are concerned with the case that it lives on the nonnegative half-line, but the…
Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this…
Over a century ago, Einstein formulated a precise mathematical model for describing Brownian motion. While this model adequately explains the diffusion of micron-sized particles in fluids, its limitations become apparent when applied to…
We consider the $N$-particle noncolliding Bernoulli random walk --- a discrete time Markov process in $\mathbb{Z}^{N}$ obtained from a collection of $N$ independent simple random walks with steps $\in\{0,1\}$ by conditioning that they never…