Related papers: Computing the Loewner driving process of random cu…
In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…
This work introduces a construction of conformal processes that combines the theory of branching processes with chordal Loewner evolution. The main novelty lies in the choice of driving measure for the Loewner evolution: given a finite…
We develop two-dimensional Brownian dynamics simulations to examine the motion of disks under thermal fluctuations and Hookean forces. Our simulations are designed to be experimental-like, since the experimental conditions define the…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…
We construct a stochastic process, called the Liouville Brownian motion, which is the Brownian motion associated to the metric $e^{\gamma X(z)}\,dz^2$, $\gamma<\gamma_c=2$ and $X$ is a Gaussian Free Field. Such a process is conjectured to…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…
We obtain a first order differential equation for the driving function of the chordal Loewner differential equation in the case where the domain is slit by a curve which is a trajectory arc of certain quadratic differentials. In particular…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
The indefinite integral of the homogenized Ornstein-Uhlenbeck process is a well-known model for physical Brownian motion, modelling the behaviour of an object subject to random impulses [L. S. Ornstein, G. E. Uhlenbeck: On the theory of…
Our first result is a stochastic sewing lemma with quantitative estimates for mild incremental processes, with which we study SPDEs driven by fractional Brownian motions in a random environment. We obtain uniform $L^p$-bounds. Our second…
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
We establish an integration by parts formula for the semi-group in time $T > 0$ of the kinetic Brownian motion in the Euclidean plane together with its speed in the circle. The stochastic differential equation of our kinetic Brownian motion…
The process of diffusion is the most elementary stochastic transport process. Brownian motion, the representative model of diffusion, played a important role in the advancement of scientific fields such as physics, chemistry, biology and…
We introduce a stochastic version of Gubinelli's sewing lemma, providing a sufficient condition for the convergence in moments of some random Riemann sums. Compared with the deterministic sewing lemma, adaptiveness is required and the…
Motivated by applications in queueing theory, we consider a stochastic control problem whose state space is the $d$-dimensional positive orthant. The controlled process $Z$ evolves as a reflected Brownian motion whose covariance matrix is…
Curve samplers are sampling algorithms that proceed by viewing the domain as a vector space over a finite field, and randomly picking a low-degree curve in it as the sample. Curve samplers exhibit a nice property besides the sampling…
We disclose the origin of anisotropic percolation perimeters in terms of the Stochastic Loewner Evolution (SLE) process. Precisely, our results from extensive numerical simulations indicate that the perimeters of multi-layered and directed…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…