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The distribution of the first hitting time of a disc for the standard two dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairy detailed asymptotic estimates of its density…
We investigate a stochastic model hierarchy for pedestrian flow. Starting from a microscopic social force model, where the pedestrians switch randomly between the two states stop-or-go, we derive an associated macroscopic model of…
Distribution of a Brownian motion conditioned to start from the boundary of an open set $G$ and to stay in $G$ for a finite period of time is studied. Characterizations of such distributions in terms of certain singular stochastic…
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it…
We develop a minimal theoretical model that reveals a structured steady-state flux field with four alternating local circulation, a phenomenon we refer to as quadrupolar gyration. A passive Brownian particle is confined to move in a…
We study the linear statistics of the circular $\beta$-ensemble with a Stein's method argument, where the exchangeable pair is generated through circular Dyson Brownian motion. This generalizes previous results obtained in such a way for…
We provide a probabilistic proof of a well known connection between a special case of the Allen-Cahn equation and mean curvature flow. We then prove a corresponding result for scaling limits of the spatial $\Lambda$-Fleming-Viot process…
We develop diffusion models for time-varying correlation using stochastic processes defined on the unit circle. Specifically, we study Brownian motion on the circle and the von Mises diffusion, and propose their use as continuous-time…
We consider the problem of strong existence and uniqueness of a Brownian motion forced to stay in the quadrant by an electrostatic repulsion from the sides that works obliquely. The results are reminiscent of the study of a Brownian motion…
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…
In this thesis, we study asymptotic properties of the standard branching Brownian motion, with a specific emphasis on the additive martingales at high temperature. We start by presenting classic and fundamental tools for our investigation.…
Given a family of rotationally symmetric compact manifolds indexed by the dimension and a weight function, the goal of this paper is to investigate the cut-off phenomenon for the Brownian motions on this family. We provide a class of…
Basic properties of Brownian motion are used to derive two results concerning birth-death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth-death chain are…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
We consider the random evolution described by the motion of a particle moving on a circle alternating the angular velocities $ \pm c $ and changing rotation at Poisson random times, resulting in a telegraph process over the circle. We study…
We revisit the problem of Brownian diffusion with drift in order to study finite-size effects in the geometric Galton-Watson branching process. This is possible because of an exact mapping between one-dimensional random walks and geometric…
We extend the ideas of (Barbour 1990) and use Stein's method to obtain a bound on the distance between a scaled time-changed random walk and a time-changed Brownian Motion. We then apply this result to bound the distance between a…
We consider a random walker on a ring, subjected to resetting at Poisson-distributed times to the initial position (the walker takes the shortest path along the ring to the initial position at resetting times). In the case of a Brownian…
Consider the Aldous--Pitman fragmentation process [Ann Probab, 26(4):1703--1726, 1998] of a Brownian continuum random tree ${\cal T}^{\mathrm{br}}$. The associated cut tree cut$({\cal T}^{\mathrm{br}})$, introduced by Bertoin and Miermont…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…