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We study systems of interacting Brownian particles in one dimension constructed as the diffusion scaling limits of Fisher's vicious walk models. We define two types of nonintersecting Brownian motions, in which we impose no condition (resp.…
We introduce an extension of the frog model to Euclidean space and prove properties for the spread of active particles. Fix $r>0$ and place a particle at each point $x$ of a unit intensity Poisson point process $\mathcal P \subseteq \mathbb…
Idealized networks of integrate-and-fire neurons with impulse-like interactions obey McKean-Vlasov diffusion equations in the mean-field limit. These equations are prone to blowups: for a strong enough interaction coupling, the mean-field…
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 derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…
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 the occupation fluctuations of drifted Brownian motion in a closed interval, and show that they undergo a dynamical phase transition in the long-time limit without an additional low-noise limit. This phase transition is similar to…
We consider a system of $N$ non-crossing Brownian particles in one dimension. We find the exact rate function that describes the long-time large deviation statistics of their occupation fraction in a finite interval in space. Remarkably, we…
We prove large deviations principles in large time, for the Brownian occupation time in random scenery. The random scenery is constant on unit cubes, and consist of i.i.d. bounded variables, independent of the Brownian motion. This model is…
We consider a system of classical Brownian particles interacting via a smooth long-range potential in the mean-field regime, and we analyze the propagation of chaos in form of sharp, uniform-in-time estimates on many-particle correlation…
Recently the so-called Prabhakar generalization of the fractional Poisson counting process attracted much interest for his flexibility to adapt real world situations. In this renewal process the waiting times between events are IID…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability characteristics. We derive closed form…
We introduce a four-parameter extended family of distributions related to the wrapped Cauchy distribution on the circle. The proposed family can be derived by altering the settings of a problem in Brownian motion which generates the wrapped…
We establish finite-dimensional central limit theorems for local, additive, interaction functions of temporally evolving point processes. The dynamics are those of a spatial Poisson process on the flat torus with points subject to a…
In this paper, a partially observed stochastic linear Stackelberg differential game with mean-variance criteria is studied. Randomness comes from Brownian motions and Poisson random measures. which leads to a circular dependency. We follow…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
In this paper we consider cases of existence of invariant measure, additional first integrals, and Poisson structure in a problem of rigid body's rolling without sliding on plane and sphere. The problem of rigid body's motion on plane was…
A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…