Related papers: A Capture Problem in Brownian Motion and Eigenvalu…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
We present a study of the distance between a Brownian motion and a submanifold of a complete Riemannian manifold. We include a variety of results, including an inequality for the Laplacian of the distance function derived from a Jacobian…
The free multiplicative Brownian motion $b_{t}$ is the large-$N$ limit of the Brownian motion on $\mathsf{GL}(N;\mathbb{C}),$ in the sense of $\ast $-distributions. The natural candidate for the large-$N$ limit of the empirical distribution…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
We consider (discrete time) branching particles in a random environment which is i.i.d. in time and possibly spatially correlated. We prove a representation of the limit process by means of a Brownian snake in random environment.
A result of R. Durrett, D. Iglehart and D. Miller states that Brownian meander is Brownian motion conditioned to stay positive for a unit of time, in the sense that it is the weak limit, as $x$ goes to 0, of Brownian motion started at $x>0$…
We propose an efficient numerical approach to simulate the boundary local time of reflected Brownian motion, as well as the time and position of the associated reaction event on a smooth boundary of a Euclidean domain. This approach…
We consider one-dimensional Brownian motion conditioned (in a suitable sense) to have a local time at every point and at every moment bounded by some fixed constant. Our main result shows that a phenomenon of entropic repulsion occurs: that…
We describe the solutions to the problem of identifying the continuum in the complex plane that minimizes the logarithmic capacity among all the continuum that contain a prefixed finite set of points. This description can be implemented…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
We ask if it is possible to find some particular continuous paths of unit length in linear Brownian motion. Beginning with a discrete version of the problem, we derive the asymptotics of the expected waiting time for several interesting…
We establish rigorous quantitative inequalities for the first eigenvalue of the generalized $p$-Robin problem, for both the classical diffusion absorption case, where the Robin boundary parameter $\alpha$ is positive, and the…
We show that the spine of the Fleming-Viot process driven by Brownian motion in a bounded Lipschitz domain with Lipschitz constant less than 1 converges to Brownian motion conditioned to stay in the domain forever.
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
We study the exit-time from a domain of a self-interacting diffusion, where the Brownian motion is replaced by $\sigma B_t$ for a constant $\sigma$. The first part of this work consists in showing that the rate of convergence (of the…
Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption…
Intracellular transport in living cells is often spatially inhomogeneous with an accelerated effective diffusion close to the cell membrane and a ballistic motion away from the centrosome due to active transport along actin filaments and…
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst…
This paper analyzes the meeting time between a pair of pursuer and evader performing random walks on digraphs. The existing bounds on the meeting time usually work only for certain classes of walks and cannot be used to formulate…
We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the…