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We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward…
Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…
Long range frequency chirping of Bernstein-Greene-Kruskal modes, whose existence is determined by the fast particles, is investigated in cases where these particles do not move freely and their motion is bounded to restricted orbits. An…
We present a strategy for mapping the dynamics of a fermionic quantum system to a set of classical dynamical variables. The approach is based on imposing the correspondence relation between the commutator and the Poisson bracket, preserving…
We consider a 1-dimensional Brownian motion whose diffusion coefficient varies when it crosses the origin. We study the long time behavior and we establish different regimes, depending on the variations of the diffusion coefficient:…
We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…
We study a spatial branching model, where the underlying motion is Brownian motion and the branching is affected by a random collection of reproduction blocking sets called "mild" obstacles. We show that the quenched local growth rate is…
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…
We study periodic orbits in a time-dependent two-center Stark-Zeeman system, which models the motion of a charged particle attracted by two fixed Coulomb centers and subject to external magnetic and time-dependent electric fields. A…
We discuss the two-dimensional motion of a Brownian particle that is confined to a harmonic trap and driven by a shear flow. The surrounding medium induces memory effects modelled by a linear, typically nonreciprocal coupling of the…
By considering a counting-type argument on Brownian sample paths, we prove a result similar to that of Orey and Taylor on the exact Hausdorff dimension of the rapid points of Brownian motion. Because of the nature of the proof we can then…
We consider the occupation area of spherical (fractional) Brownian motion, i.e. the area where the process is positive, and show that it is uniformly distributed. For the proof, we introduce a new simple combinatorial view on occupation…
Neural computations arising from myriads of interactions between spiking neurons can be modeled as network dynamics with punctuate interactions. However, most relevant dynamics do not allow for computational tractability. To circumvent this…
We identify an issue in recent approaches to learning-based control that reformulate systems with uncertain dynamics using a stochastic differential equation. Specifically, we discuss the approximation that replaces a model with fixed but…
We present an efficient method to perform overdamped Brownian dynamics simulations in external force fields and for particle interactions that include a hardcore part. The method applies to particle motion in one dimension, where it is…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of…
We study the motion of neutral and charged spinning bodies in curved space-time in the test-particle limit. We construct equations of motion using a closed covariant Poisson-Dirac bracket formulation which allows for different choices of…
We introduce methods for large scale Brownian Dynamics (BD) simulation of many rigid particles of arbitrary shape suspended in a fluctuating fluid. Our method adds Brownian motion to the rigid multiblob method at a cost comparable to the…
The horizontal dynamics of a bouncing ball interacting with an irregular surface is investigated and is found to demonstrate behavior analogous to a random walk. Its stochastic character is substantiated by the calculation of a permutation…