Related papers: Computing the Loewner driving process of random cu…
A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available…
We study a single-server Markovian queueing model with $N$ customer classes in which priority is given to the shortest queue. Under a critical load condition, we establish the diffusion limit of the workload and queue length processes in…
Combining information both within and across trajectories, we propose a simple estimator for the local regularity of the trajectories of a stochastic process. Independent trajectories are measured with errors at randomly sampled time…
Though the relationship between the theoretical statistical physics and machine learning techniques has been a well-discussed topic, the studies on the mechanism of learning inspired by the biological system are still developing. In this…
Overdamped Brownian motion of a self-propelled particle is studied by solving the Langevin equation analytically. On top of translational and rotational diffusion, in the context of the presented model, the "active" particle is driven along…
Given a submersion $\phi: M \to N$, where $M$ is Riemannian, we construct a stochastic process $X$ on $M$ such that the image $Y:=\phi(X)$ is a (reversed, scaled) mean curvature flow of the fibers of the submersion. The model example is the…
In addition to conformal weldings $\varphi$, simple curves $\gamma$ growing in the upper half plane generate driving functions $\xi$ and hitting times $\tau$ through Loewner's differential equation. While the Loewner transform $\gamma…
In this paper, we shall study the convergence of Taylor approximations for the backward Loewner differential equation (driven by Brownian motion) near the origin. More concretely, whenever the initial condition of the backward Loewner…
We deal with a complex-valued Ornstein-Uhlenbeck (OU) process with parameter $\lambda\in\mathbb{R}$starting from a point different from 0 and the way that it winds around the origin.The starting point of this paper is the skew product…
Traffic simulation software is used by transportation researchers and engineers to design and evaluate changes to roadways. These simulators are driven by models of microscopic driver behavior from which macroscopic measures like flow and…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we…
We study the asymptotic behaviour of a properly normalized time-changed multidimensional Wiener process; the time change is given by an additive functional of the Wiener process itself. At the level of generators, the time change means that…
We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of L\^e (2020). This approach allows one to exploit regularization by noise effects…
We address the problem of optimizing a Brownian motion. We consider a (random) realization $W$ of a Brownian motion with input space in $[0,1]$. Given $W$, our goal is to return an $\epsilon$-approximation of its maximum using the smallest…
Brownian circuits perform computations using stochastic transitions driven by thermal fluctuations. While the energetic costs of such fluctuation-driven computation have been extensively studied within stochastic thermodynamics, much less…
Modeling turbulent flows by a random Fourier decomposition is a classical procedure in order to use simplified models of turbulence in heat transport and other applications. We carefully investigate the Fourier time series of…
We present a detailed study of a simple quantum stochastic process, the quantum phase space Brownian motion, which we obtain as the Markovian limit of a simple model of open quantum system. We show that this physical description of the…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
We consider a L\'evy driven continuous time moving average process $X$ sampled at random times which follow a renewal structure independent of $X$. Asymptotic normality of the sample mean, the sample autocovariance, and the sample…